| Summary: | 博士 === 國立高雄第一科技大學 === 管理學院博士班 === 104 === From the risk and reward of view, Taiwan open-end mutual fund market as the research object, the 2008 financial tsunami event cut-off point, the first to track data regression model, during the empirical testing from 2007 to 2008, the financial tsunami and the 2009 to after 2012 during the financial crisis, the impact of fund flow volatility and idiosyncratic risk for Taiwan equity fund performance, followed by the application Koenker (2004) fixed effect tracking information quantiles regression model, empirical comparison of different performance components Fund flow volatility and unique risk marginal effect on the performance of the existence of significant differences.
The empirical results show that during the full sample after the financial tsunami, the fund flow volatility, the higher the better the performance, the better the performance and with the performance, the greater the effect of flow rate fluctuation impact on performance, investors have punished the implied effect in good times and short-term fund performance out frequently, fund performance is poor then wait to right, so that funds flow increased volatility, so the fund flow fluctuations and fund performance was positively correlated. Moreover, the idiosyncratic of the higher risk, the better the performance, the better the performance and with the performance, the greater the risk of the unique performance affect results, implicitly take an active portfolio strategy of the fund can earn risk premium.
During the financial tsunami, the Taiwan fund market only large fund with a unique risk can earn risk premium, to further quantiles regression analysis found that the larger the better performance with the performance of the idiosyncratic risk of significant positive impact on performance effect; flow rate volatility only moderate performance show significant funds have a positive impact. In addition, the performance of the performance of the fund under its average flow rate, the smaller the size, the lower the rate may slow down the cash holdings of the financial tsunami impact on performance.
During the financial crisis, a unique performance presented significant risk of negative impact and to take an active portfolio strategy of the fund was unable to improve performance, especially in the poor performance of fund performance, the idiosyncratic of the greater risk of a negative impact on the performance of the effect big, only the higher input costs to collect information, to maintain a high cash holdings, convertible and choose when to slow operating frequency small funds, which can effectively improve their performance.
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