| Summary: | 碩士 === 國立臺灣師範大學 === 管理研究所 === 105 === Mutual fund is a popular investment instrument. However, when there are many different types of shareholders with different investment horizons in the same mutual fund, it is more difficult for a fund manager to manage the fund. When short-term investors purchase and redeem a fund too often, they will cause the fluctuation of the assets under management.Because a fund manager usually holds a small percentage of assets in the form of cash, then fund manager will face fire sale when short-term investors as a whole redeem a lot of shares.The extra trades will increase not only the direct transaction costs but the indirect costs
resulting from liquidity motivated trades. In addition, keeping a higher percentage of cash to provide liquidity will reduce the return of the portfolio. The purpose of the thesis is to examine whether a fund pooling both long-term and short-term investors incurs the liquidity cost and deteriorate the return due to too many short-term investors in the mutual fund. When short-term investors redeem their funds, long-term investors bear such liquidity cost. The
thesis provides evidence that there is a significant effect of cost transfers across mutual fund shareholders with different investment horizons.
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