A Study of Fund Managers’Behavior under the System of Rating
Date Issued
2009
Date
2009
Author(s)
Chen, Mei-Jiun
Abstract
This thesis examines fund managers’ behavior under the system of rating. It uses the domestic equity funds dating from 1999 to 2008 in the TEJ database to test how funds’ past performances affect fund managers’ changes of portfolio risks in the next period. And it uses standard deviation and stock holding to measure the changing of managers’ behavior. First, we test if winners and losers have different strategies using Contingency Table Approach and T test. Then we employ regression model to examine the relation between risk-taking and prior performance, mutual fund size and the age of mutual fund. The major findings of this study are summarized as follows:.In the Contingency Table Approach, we find that prior performance and risk-taking are related. .In T test, standard deviation and stock holding have the same findings. That is losers have larger range of risk adjustment than winners..In the regression model, the range of risk adjustment has negative relation with prior performance and the age of mutual fund when the risk variables are standard deviation and stock holding. And about the mutual fund size, two variables have different findings. Large funds have small risk adjustment when the risk variable is standard deviation, but have opposite findings when the risk variable is stock holding.
Subjects
Domestic Equity Funds
Risk Adjustment
Contingency Table Approach
T-test
Regression
Type
thesis
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