The Determinants of Mutual Fund Rating

• Main Authors: Jia-Wei Lin, 林家葦
• Other Authors: Sheng-ching Wu
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/13654473578138713115

碩士 === 大葉大學 === 管理學院碩士在職專班 === 103 === The awarded funds on the Taipei Foundation of Finance (TFF)-Bloomberg Best Fund Award and The Lipper Awards (Sector: Equity Taiwan) are our data, also the sample period is from 2008 to 2013. Using the Chi-square contingency table testing and logit regression, author examines the fluency of seven factors, namely: performance, risk, expense ratio, turn-over ratio, size, market share of Security Investment Trust and Consulting Business, and the age of fund, on the fund rating. The empirical results are as follows: 1. The abnormal profit, Jensen α, and the getting award are positive correlation, that is, the fund has the bigger of the abnormal profit then it is easier to get the award. However, the relation between the year rate of return and the fund rating is not significant possibly because there is the collinearity with Jensen α. In short, the performance of fund will affect the getting award. The performance is better; the possibility of getting award is higher. 2. The system risk, Beta, and the getting award are negative correlation. The larger coefficient of Beat means that stock market has more influence on the return of mutual fund, so the fund is more difficulty to get the award. In addition, the annualized standard deviation and the obtain award are positive correlation. The standard deviation is larger, the higher volatility, then the possibility of getting the award is bigger. Consequently, the risk will affect the mutual fund rating. 3. The connection between the average turn-over ratio and the getting award is negative, that is, the turn-over ratio is lower, and the fund is easier to get the award. Hence, the turn-over ratio has the influence on the fund rating. 4. The expense ratio and the obtaining an award have the negative relationship; it presents that the lower expense ratio, the fund is easier to get the higher rating. So, the expense ratio has an impact on the fund rating. 5. The relative between the market share of fund and the getting an award is positively, because the market share is higher (bigger size), the fund rating will be greater. 6. The relation between the market share of Security Investment Trust and Consulting Business and the getting an award is insignificantly. 7. There is negative connection among the age of mutual fund and the rating. After factoring in the age of the fund, the finding shows that the younger funds are more likely getting the award.