Teresa 0601
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Teresa 0601 Presentation Transcript

  • 1. Presenter : Chia-Yi Abi Lin Instructor : Dr. Pi-Ying Teresa Hsu Date : June 01, 2011
  • 2. Methodology 3 - Participants - Procedures - Instruments - Statistical Analysis Contents Literature Review 2 - Flows - Research Gap - Purposes of the study - Research Question - Background Introduction 1
  • 3. - Background Introduction
  • 4. purchases inflows redemptions outflows Flows Mutual Funds Open-end equity
  • 5. Literature Review - Flows - Research Gap - Purposes of the study - Research Question
  • 6.
    • Investors make investment decisions usually based on the past fund performance .
    • (Ippolito, 1992; Gruber, 1996; Chevalier & Ellison, 1997;
    • Goetzmann & Peles, 1997; Sirri & Tufano, 1998)
    Flows-Performance
  • 7.
    • - Young funds behave differently from old funds.
    • - Younger funds have higher flows on average and a greater sensitivity to prior period returns.
    • (Chevalier & Ellison, 1997)
    Flows-Age
  • 8. Flows-Size The size of previous-period market has a strong influence on fund’s flows . (Roston, 1996)
  • 9.
    • Annual net flows are negatively related to fund expenses .
    • (Sirri & Tufano, 1998)
    Flows-Expense
  • 10. Research Gap No providing empirical evidence of differentiating the high and low of flows Few studies have focused on using Taiwanese data from Taiwan Economic Journal (TEJ) database.
  • 11.
      • - To analyze the relationship between the performance and outflows in mutual fund
    Purposes of the Study
      • - To investigate the outflows are more sensitive to bad performance in illiquid funds than in liquid funds
  • 12.
    • Based on the prior studies, there is a significant positive relationship between performance and flows, conditional on low past performance, are funds that hold illiquid assets experienced more outflows than funds that hold liquid assets?
    Research Question
  • 13. Methodology - Participants - Procedures - Instruments - Statistical Analysis
  • 14. Taiwan Economic Journal (TEJ) database Participants Open-end equity mutual funds Stock funds (at least 70%)
  • 15. - The empirical analysis focuses on _ open-end equity mutual funds
    • - Size (total asset value of a fund share)
    • Age (number of years since the fund’s inception)
    • Expens e (Expenses of a fund share as percentage of total assets)
    • Return (Return of a fund in excess of that of the category, averaged over the past six months )
    Procedure
    • Flows
    • *_____
    • Liquid & Illiquid
    • *global game
    Sample Control Variables - The Taiwan Economic Journal (TEJ) - 1991 to February 2011 Instrument Database
  • 16. Regression analysis Statistical Analysis Sample Control Variables Instrument Database
  • 17. THANKS FOR LISTENING .
  • 18. A Q &