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來源文獻資料
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外文摘要
引文資料
題名:
Can Fund Investors Benefit from Momentum and Herding Strategies in Taiwan Market?
書刊名:
管理學報
作者:
李存修
/
黃思綺
/
林榕芳
/
蔡維哲
作者(外文):
Lee, Tsun-siou
/
Huang, Szu-chi
/
Lin, Jung-fang
/
Tsai, Wei-che
出版日期:
2011
卷期:
28:2
頁次:
頁191-218
主題關鍵詞:
基金績效
;
基金流量
;
績效持續性
;
動能
;
Fund performance
;
Fund flow
;
Return persistence
;
Momentum
;
Herding
原始連結:
連回原系統網址
相關次數:
被引用次數:期刊(
1
) 博士論文(0) 專書(0) 專書論文(0)
排除自我引用:
1
共同引用:0
點閱:26
本文檢驗績效和流量交互影響下的基金動能投資策略的短、中、長期效果。以基金前期績效、前期流量、或是績效和流量的相依分組和獨立分組等不同排序機制來為基金排序分群,形成不同的零成本投資組合,並檢驗各個投資組合的短、中、長期績效。實證結果發現,根據績效和流量的相依分組和獨立分組等排序機制,基金績效的持續性在短、中、長期均存在,不論是否經過產業平均調整,或是否有控制前期流量。低流量基金在績效上優於高流量基金,不論是否經過產業平均調整,或是否有控制前期績效。證據顯示,以動能投資策略而言,追逐前期高報酬和冷門的基金,較適合追逐最高報酬的投資人。然而,動能投資策略在熊市時期可能會失效,投資人應選擇進場時機,並拉長投資期間以涵蓋完整的景氣循環期間,以發揮動能投資策略的效果。
以文找文
Fund performance and fund flow interaction of momentum strategies in short, intermediate and long horizons are investigated in this study. Various sorting schemes such as one-way sorting, two-way independent sorting and two-way dependent sorting are applied to both raw returns and category-adjusted returns to form portfolios with different return-flow combinations. It is found that, by two-way sorting, return momentum exits for all horizons, no matter controlling flow or not, being adjusted by category or not. Low flow funds tend to outperform high flow funds, no matter controlling return or not, being adjusted by category or not. The evidence suggests that chasing not only past return winners but also neglected funds may be best fit for the investors who want the best returns. However, the additional information offered by past returns and fund flows may not valid in bear markets. To utilize the momentum and anti-herding strategies, the investors still need to consider timing and adopt long horizon to cover whole business cycle.
以文找文
期刊論文
1.
Bilson, C.、Frino, A.、Heaney, R.(2005)。Australian Retail Fund Performance Persistence。Accounting and Finance,45(1),25-42。
2.
Sapp, T.、Tiwari, A.(2004)。Does Stock Return Momentum Explain the "Smart Money" Effect?。The Journal of Finance,59(6),2605-2622。
3.
Shu, P. G.、Yeh, Y. H.、Yamada, T.(2002)。The Behavior of Taiwan Mutual Fund Investor Performance and Fund Flows。Pacific-Basin Finance Journal,10(5),538-600。
4.
Goetzmann, William N.、Peles, Nadav(1997)。Cognitive Dissonance and Mutual Fund Investors。Journal of Financial Research,20(2),145-158。
5.
Goetzmann, William N.、Ibbotson, Roger G.(1994)。Do Winners Repeat? Patterns in Mutual Fund Performance。Journal of Portfolio Management,20(2),9-18。
6.
Bollen, Nicolas P. B.、Busse, Jeffrey A.(2004)。Short-term persistence in mutual fund performance。Review of Financial Studies,18(2),569-597。
7.
Elton, E. J.、Blake, C. R.、Gruber, M. J.(1996)。The Persistence of Risk-Adjusted Mutual Fund Performance。The Journal of Business,69(2),133-157。
8.
Berk, Jonathan B.、Green, Richard C.(2004)。Mutual fund flows and performance in rational markets。Journal of Political Economy,112(6),1269-1295。
9.
Gruber, Martin J.(1996)。Another Puzzle: The Growth in Actively Managed Mutual Funds。Journal of Finance,51(3),783-810。
10.
Frazzini, Andrea、Lamont, Owen A.(2008)。Dumb Money: Mutual Fund Flows and the Cross-section of Stock Returns。Journal of Financial Economics,88(2),299-322。
11.
Zheng, Lu(1999)。Is Money Smart? A Study of Mutual Fund Investors' Fund Selection Ability。Journal of Finance,54(3),901-933。
12.
Dissanaike, G.(1994)。On the computation of returns in tests of the stock market overreaction hypothesis。Journal of Banking & Finance,18(6),1083-1094。
13.
Conrad, Jennifer、Kaul, Gautam(1998)。An Anatomy of Trading Strategies。The Review of Financial Studies,11(3),489-519。
14.
Lee, Charles M. C.、Swaminathan, Bhaskaran(2000)。Price Momentum and Trading Volume。The Journal of Finance,55(5),2017-2069。
15.
Moskowitz, Tobias J.、Grinblatt, Mark(1999)。Do Industries Explain Momentum?。The Journal of Finance,54(4),1249-1290。
16.
Carhart, Mark M.(1997)。On persistence in mutual fund performance。The Journal of Finance,52(1),57-82。
17.
Brown, Stephen J.、Goetzmann, William N.(1995)。Performance Persistence。Journal of Finance,50(2),679-698。
18.
Titman, Sheridan、Grinblatt, Mark(1992)。The Persistence of Mutual Fund Performance。The Journal of Finance,47(5),1977-1984。
19.
Jensen, Michael C.(1968)。The performance of mutual funds in the period 1945-1964。Journal of Finance,23(2),389-416。
20.
Jegadeesh, Narasimhan、Titman, Sheridan(1993)。Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency。The Journal of Finance,48(1),65-91。
21.
Jegadeesh, Narasimhan(1990)。Evidence of Predictable Behavior of Security Returns。The Journal of Finance,45(3),881-898。
22.
Lehmann, Bruce N.(1990)。Fads, Martingales, and Market Efficiency。The Quarterly Journal of Economics,105(1),1-28。
23.
Lin, Mei-Chen(2005)。Returns and Investor Behavior in Taiwan: Does Overconfidence Explain this Relationship?。Review of Pacific Basin Financial Markets and Policies,8(3),405-446。
24.
Chih, H. H.、Lin, Y. E.、Chou, P. H.(2006)。Performance Persistence and Smart Money Effect: Evidence from Taiwan。Journal of Management,24(3),307-330。
25.
Keswani, A.、Stolin, D.(2008)。Which Money is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors。Journal of Finance,63(1),85-118。
26.
Elton, E. J.、Gruber, M. J.、Das, S.、Hlavka, M.(1993)。Efficiency with Costly Information: A Reinteipretation of Evidence from Managed Portfolios。Review of Financial Studies,6(1),1-21。
27.
Hendricks, Darryll、Jayendu Patel、Richard Zeckhauser(1993)。Hot Hands in Mutual Funds: The Persistence of Performance, 1974-1988。Journal of Finance,48(1),1974-1988。
研究報告
1.
Barber, Brad M.、Terrance Odean、Lu, Zheng.(2000)。The Behavior of Mutural Fund Investors。
2.
Berk, Jonathan B.、Green, Richard C.(2002)。Mutual Fund Flows and Performance in Rational Markets。
3.
Teo, M.、Woo, S. J.(2001)。Persistence in Style-adjusted Mutual Fund Returns。
4.
Wermers, R.(2003)。Is Money Really Smart? New Evidence on the Relation between Mutual Fund Flows, Manager Behavior, and Performance Persistence。
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