| Summary: | 碩士 === 輔仁大學 === 應用統計學研究所 === 88 === The sample of this study includes the several of fund management companies, which publish open-end equity mutual funds for the period of November 1996 to October 1999. The major empirical results are summarized as followed:
Under the behavior of investors of purchase and redemption, the past one-month or beyond performance has influence on an increase in the purchase amount. It shows the positive relationship. As for large funds, we can define it as general investors when the average net asset value per person is small. If the past three-month or beyond performance is better, the general investors will purchase or redeem. However, the investors will redeem because they may have achieved their return goals. The general investors will tend toward purchase for all that they will purchase or redeem mutual funds. As for small funds, we can observe that investors will redeem mutual fund if the past performance gets worse. It’s insignificant for the better performance in the past to purchase. So it has an asymmetric situation.
All funds are positively related to net purchase amount, especially large funds. The better performance in the past is, the higher net purchase amount become. The purchase amount of small mutual funds will rise when the past one-year performance is better. The reason will tell us that investors who will care about the past one-year or beyond performance invest small mutual funds. Now we discuss the problem of fund flow. We find that the large mutual funds will be purchase if the past performance is better, but the small mutual funds won’t. When adding the new funds, the fund flow will increase faster if the past one-month performance becomes better. The reason may be that the new funds will attract inventors to buy. When the new funds exist for long, the fund flow of new funds will be lower than old funds.
We also discuss the relationship of the low and high management fee of the past performance and fund flows. The result shows that investors will redeem funds if the past three- month or beyond performance that has high management fee becomes worse. It appears that the redemption amount will become a power of punishment. However, when we add new funds to old funds, we can see the large funds’ relationship between low and high management fee. If the fund is well performed in the past, the funds that have high management fee will be sooner redeemed than the funds that have low management fee. Therefore, we can conclude that investor is uncertainly for the new funds or get their return goals.
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