Return Persistence and Fund Flow of Mutual Funds: The Case of Taiwan
Date Issued
2009
Date
2009
Author(s)
Lin, Jung-Fang
Abstract
The objective of this study is to investigate fund performance and fund flow interaction of momentum strategies for Taiwan mutual fund market in short, intermediate, and long horizons. Our findings show that the persistence of mutual fund performance and high inflow funds underperform low inflow funds over multi-year time periods. Since mutual funds are grouped into different categories, we use the measure relative to category when investigating managerial ability excluding the industry or market effect. By one-way sorted, two-way independently sorted, and two-way dependently sorted, we use past return (category-adjusted return) and past flow (category-adjusted flow) group to examine fund performance persistence and fund flow effect.
Subjects
fund performance
fund flow
fund persistence
smart money
Type
thesis
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ntu-98-R95723011-1.pdf
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