Portfolio rebalance of mutual fund and financial crisis
Date Issued
2014
Date
2014
Author(s)
Lin, Yu-Ting
Abstract
How to cope with and choose appropriate investment target during financial crisis are important issues for both fund managers and investors. Past scholars had studied not only the relationship between fund performance and fund characteristics but also company characteristics. But there are no researches about factors that influence net asset value return period. This article investigates the recovery period from five different sections, fund characteristics, company characteristics hold by fund managers, differences in shares held, density differences in shares held and ability of stock and timing selection. According to the regression result, only the fund size has significant impact on recovery period in all fund characteristics. There is no variable has significant impact on recovery period in all company characteristics. Almost all the variables in the differences in shares held are not significant, except for the Biotech & Medical and Oil, gas & Elec. The density difference of shares held is significant for recovery period. The ability of stock selection has negative significant impact on recovery period but the timing selection has no significant impact.
Subjects
fund performance
HHI
TM model
stock selection
Type
thesis
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