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Teresa 0601
 

Teresa 0601

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    Teresa 0601 Teresa 0601 Presentation Transcript

    • Presenter : Chia-Yi Abi Lin Instructor : Dr. Pi-Ying Teresa Hsu Date : June 01, 2011
    • Methodology 3 - Participants - Procedures - Instruments - Statistical Analysis Contents Literature Review 2 - Flows - Research Gap - Purposes of the study - Research Question - Background Introduction 1
    • - Background Introduction
    • purchases inflows redemptions outflows Flows Mutual Funds Open-end equity
    • Literature Review - Flows - Research Gap - Purposes of the study - Research Question
      • 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
      • - 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
    • Flows-Size The size of previous-period market has a strong influence on fund’s flows . (Roston, 1996)
      • Annual net flows are negatively related to fund expenses .
      • (Sirri & Tufano, 1998)
      Flows-Expense
    • 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.
        • - 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
      • 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
    • Methodology - Participants - Procedures - Instruments - Statistical Analysis
    • Taiwan Economic Journal (TEJ) database Participants Open-end equity mutual funds Stock funds (at least 70%)
    • - 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
    • Regression analysis Statistical Analysis Sample Control Variables Instrument Database
    • THANKS FOR LISTENING .
    • A Q &