| Summary: | 博士 === 國立中正大學 === 財務金融所 === 96 === Essay 1.
Our study examines whether the “star effect” of the S&P 500 index compositions revisions can cause a significant shift in firms’ visibility and value through the channel of public media. Using additions and deletions announcements of S&P 500 index components over a long period ranging from September 1976 to December 2002, we find that the degree of a firm’s transparency seems to be negatively correlated with its required rate of return but positively related to its dividend payout level. The positive increase in firms'' media coverage entailed by the S&P 500 index component revisions not only helps enhance visibility of companies but also reinforce the outside monitoring power that could force managers to distribute surplus cash flow in the form of cash dividends. Overall, our findings suggest that the higher intensive press coverage is able to force the agents to act in shareholders'' interest, which could reduce the chance of value-ruining decisions. In sum, our evidence suggests that changes in firms'' value caused by the S&P 500 index composition revisions are related to changes in media exposure, which might be a more effective proxy for investors'' awareness and bear a direct relation with the agency problem embedded within these firms.
Essay 2.
This paper derives a theoretical equilibrium condition to describe the influence of managerial self-interest incentives on the degree of utilization of fund flows. We further use fund flows data supplied by Taiwan Economic Journal Data Bank to study the empirical relationship between fund flows and subsequent fund performance for the mutual fund industry in Taiwan. Although we find that mutual funds which are associated with new money arrival are more likely to earn abnormally positive returns, the utilization of the money governed by pecuniary incentives of fund managers probably plays a key role in making subsequent good performers. In universe, smart money effect appears to exist in Taiwan''s mutual fund market, but if funds managers are reluctant to raise their holdings level in response to fund flows, even a smart investor still works in vain. That is, the effectiveness of smart money may be conditional on the fund manager''s behavior. Consistent with our theoretical model and empirical findings, if an investor is going to follow smarts in the mutual fund market, he had better keep a close eye on fund managers.
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