Presenter : Chia-Yi Abi Lin Instructor : Dr. Pi-Ying Teresa Hsu Date : June 01, 2011
Presenter: Chia-Yi Abi LinInstructor: Dr. Pi-Ying Teresa HsuDate: June 01, 2011
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Contents
Methodology3
Literature Review2
- Flows- Research Gap- Purposes of the study- Research Question
- Participants- Procedures- Instruments- Statistical Analysis
- Background
Introduction1
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3
- Background
Introduction
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purchases
inflows
Flows
redemptions
outflows
Mutual Funds
Open-end equity
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Literature Review
- Flows- Research Gap- Purposes of the study- Research Question
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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
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- 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
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Flows-Size
The size of previous-period market has a strong influence on fund’s flows.
(Roston, 1996)
20.4
30.6
45.9
65.3
0
10
20
30
40
50
60
70
1st Qtr
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Annual net flows are negatively related to fund expenses.
(Sirri & Tufano, 1998)
Flows-Expense
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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.
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- 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
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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
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Methodology
- Participants- Procedures- Instruments- Statistical Analysis
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Taiwan Economic Journal (TEJ) database
Participants
Open-end equity mutual funds
Stock funds(at least 70%)
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- 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)- Expense (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)
Sample
Procedure
Control Variables
- The Taiwan Economic Journal (TEJ)- 1991 to February 2011 Instrument Database
- Flows *_____- Liquid & Illiquid *global game
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Regression analysis
Statistical Analysis
Sample Control
Variables
Instrument Database
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THANKS FOR LISTENING.
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