Are Both Fund Managers and Fund Investors Smart? Evidence from U.S. Mutual Funds

基金經理人與基金投資人聰明嗎？美國基金實證

池祥萱(Hsiang-Hsuan Chin) ； 周賓凰(Pin-Huang Chou) ； 鍾惠民(Hui-Min Chung)林煜恩(Yu-En Lin)

《財務金融學刊》 17卷4期 (2009/12) Pp. 31-55

https://doi.org/10.6545/JFS.2009.17(4).2

摘要

過去績效與基金流量被視為是解是未來基金績效的重要因素，但是在基金績效持續性以及聰明錢效果上的交互作用卻不明確，本篇文章檢驗共同基金績效與流量在預測基金未來報酬上的能力，Sapp and Tiwari（2004）認為共同基金流量是追逐過去績效而非是投資人的基金選擇能力，本文在排除了績效對流量的影響之後驗證了共同基金績效持續性以及聰明錢效果是兩個獨立的效果，更進一步驗證後發現，共同基金績效持續性的期間較長，而基金聰明錢效果只有在短期存在，聰明錢效果在長期將會消失或者變為笨錢效果。

關鍵字

共同基金績效 ； 基金流量 ； 聰明錢效果 ； 笨錢效果

並列摘要

Past performance and fund flow have been identified as two of the most important factors in explaining future mutual fund performance. However, performance 'persistence and the smart-money effect are considered as two independent phenomena. We examine the competing abilities of past performance and fund flow in predicting future fund returns. The empirical evidence confirms performance persistence and the smart-money effect as two independent effects. A closer examination indicates that performance persistence lasts longer, whereas the smart-money effect exists only in the short run. The smart money eventually becomes dump in the long run because of a significant negative relation between pervious fund inflow and the subsequent long-term fund returns.

並列關鍵字

Mutual fund performance ； Fund flows ； Smart money effect ； Dumb money effect