The Impacts of Management Fees on Performance Persistence and Capital Flows－The Case of Taiwan Stock-Typed Mutual Funds

• Main Authors: Shih-Fang Huang, 黃詩芳
• Other Authors: Wen-Cheng Hsiao
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/hy8u6g

碩士 === 銘傳大學 === 管理研究所 === 97 === This study investigates the performance persistence and capital flows of Taiwan stock-typed mutual fund and investment skills of fund managers based on the TEJ database. The investigation considers whether management fees are included in the measurement of performance. The evaluation criteria include excess Sharpe ratio (ESR), Sharpe ratio and raw returns. The methodology consists of Spearman rank correlation coefficient, Wilcoxon signed-rank correlations, and Chi-square tests. The empirical results are as follows. Firstly, with a high fund management fees, the relationship between risk and performance during November 2001-August 2003 is negative, it is positive correlated during September 2003-June 2005 and during July 2005-April 2007. Secondly, 3-year ESRs keep increasing. This finding suggests that investment skills of fund managers are confirmed and fund performances are persistent. Finally, the result shows that if performance is below the median, investors may put more money into the fund because of optimistic expectation about the future fund performance. Nevertheless, performance above the median induces fund redemption.