0601

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0601

  1. 1. Presenter : Chia-Yi Abi Lin Instructor : Dr. Pi-Ying Teresa Hsu Date : June 01, 2011
  2. 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. 3. - Background Introduction
  4. 4. purchases inflows redemptions outflows Flows Mutual Funds Open-end equity
  5. 5. Literature Review - Flows - Research Gap - Purposes of the study - Research Question
  6. 6. <ul><li>Investors make investment decisions usually based on the past fund performance . </li></ul><ul><li>(Ippolito, 1992; Gruber, 1996; Chevalier & Ellison, 1997; </li></ul><ul><li>Goetzmann & Peles, 1997; Sirri & Tufano, 1998) </li></ul>Flows-Performance
  7. 7. <ul><li>- Young funds behave differently from old funds. </li></ul><ul><li>- Younger funds have higher flows on average and a greater sensitivity to prior period returns. </li></ul><ul><li>(Chevalier & Ellison, 1997) </li></ul>Flows-Age
  8. 8. Flows-Size The size of previous-period market has a strong influence on fund’s flows . (Roston, 1996)
  9. 9. <ul><li>Annual net flows are negatively related to fund expenses . </li></ul><ul><li>(Sirri & Tufano, 1998) </li></ul>Flows-Expense
  10. 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. 11. <ul><ul><li>- To analyze the relationship between the performance and outflows in mutual fund </li></ul></ul>Purposes of the Study <ul><ul><li>- To investigate the outflows are more sensitive to bad performance in illiquid funds than in liquid funds </li></ul></ul>
  12. 12. <ul><li>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? </li></ul>Research Question
  13. 13. Methodology - Participants - Procedures - Instruments - Statistical Analysis
  14. 14. Taiwan Economic Journal (TEJ) database Participants Open-end equity mutual funds Stock funds (at least 70%)
  15. 15. - The empirical analysis focuses on _ open-end equity mutual funds <ul><li>- Size (total asset value of a fund share) </li></ul><ul><li>Age (number of years since the fund’s inception) </li></ul><ul><li>Expens e (Expenses of a fund share as percentage of total assets) </li></ul><ul><li>Return (Return of a fund in excess of that of the category, averaged over the past six months ) </li></ul>Procedure <ul><li>Flows </li></ul><ul><li>*_____ </li></ul><ul><li>Liquidity & Illiquidity </li></ul><ul><li>*global game </li></ul>Sample Control Variables - The Taiwan Economic Journal (TEJ) - 1991 to February 2011 Instrument Database
  16. 16. Regression analysis Statistical Analysis Sample Control Variables Instrument Database
  17. 17. THANKS FOR LISTENING .
  18. 18. A Q &

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