The Study of Forecast Ability of High Turnover Mutual Fund Managers by Intra-Month Round-Trip Trading Data

• Main Authors: Jui Teng Liu, 劉睿騰
• Other Authors: Shin Ta Tung
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/07004203931504251583

碩士 === 實踐大學 === 企業管理學系碩士班 === 97 === This paper presents the forecast ability of high turnover mutual fund managers by investigating returns of monthly round-trip trading data and tracking future stock price of the stock in the round-trip trading. After analyzing 8,312 monthly round-trip trading data of monthly high turnover mutual funds from May 2001 to February 2008, We find that the mean return of monthly round-trip transactions is significantly negative. Furthermore, the 1 to 6-month returns after round-trip transaction are significantly positive. These results show that high turnover mutual fund managers make a loss from their intra-month round-trip transactions, and they even lose potential profit opportunities of selling stock at higher price in the future. Therefore, we conclude that high turnover mutual fund managers are not good short-term institutional traders. Moreover, we suspect stock price forecast ability of high turnover mutual fund managers. Keywords: mutual fund, high turnover rate, transaction data, forecast ability