| Summary: | 碩士 === 國立高雄第一科技大學 === 金融營運所 === 92 === The purpose of this study is to investigate whether pool-performing funds would replace investment strategy and whether this behavior would reduce the sensitivities of future fund flow and future performance upon current performance. The sample of this study includes 80 open-end stock mutual funds for the period of January 1998 to September 2003 with the methods of test, t test, and piecewise flow-performance regression analysis to identify the relevant search hypotheses. This study have three proxies for strategy replacement. The first is the level of risk adjustment ratio. The second is the average absolute change in fund’s factor loadings from year y-1 to year y+1. The third is fund manager replacement.
The empirical results are summarized as following:
1.Overall, the results for three proxies all bear out the prediction that the investment advisors of poor performers exercise the strategy to replace.
2.The sensitivity of future flow upon current performance of poor funds is not significantly reduced when the proxy indicate high risk adjustment manipulation. Bad performers that have large loading changes or change managers suffer more outflow than those retain.
3.Bad performers who manipulate high risk adjustment have less sensitivity about future performance upon current performance than those that do not. However, using neither loading changes nor manager replacement proxy could not weaken the link between current performance and subsequent performance.
|
|---|
