Exploring the Factors that Affect the Performance of Mutual Fund Under Different Scale：Application of Quantile Regression

• Main Authors: Lai, Zheng-Jia, 賴正佳
• Other Authors: Chen, Dar-Hsin
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/hgwhv4

碩士 === 國立臺北大學 === 企業管理學系 === 102 === The performance of mutual funds is one of the focus for all investors. However, investing choices are hard to make because of various types of mutual funds. Our research would try to find the factors that would affect the performance of mutual funds. Because each mutual fund has different scales, we would see the different performance between each of them. In previous research, there are many factors that would affect mutual funds performance. Some of researches consider liquidity is a significant factor; other researchers believe the change of fund managers is an important element. Moreover, there are other factors such as fund managers’ over-confidence and mutual fund ages discussed in prior literatures. Due to different samples, time and regions, different sizes of funds still have definitely diverse performance. Some researchers think small funds have excellent performance; whereas another researchers propose large funds have better performance, and the other researchers consider there are concave figures between fund sizes and performance. Our research collects equity funds from 2003 to 2013 in Taiwan fund market, and all data source are from Taiwan Economic Journal. The research method is Quantile regression, and we divide the mutual fund scales into four groups based on quartile. Then, we try to investigate the relationship between eight independent variables and performance of funds, which is dependent variable in this paper. There are three main results： 1.The impact of independent variables are distinctive between whole sample data and quantile data. 2.Buying and selling turnover rates influence large funds, but they do not have an impact on small funds. In other words, when we want to explore the performance of funds under different scales, we might view different factors. 3.It appears concave graph between fund size and performance, which means fund performance is rising with fund scales. However, when fund scales increase to some extent, performance of fund have no significant increase.