Are Mutual Fund Tournaments Beneficial to Shareholders?

共同基金間之競賽是否有利於投資人

林美珍(Mei-Chen Lin)

《財務金融學刊》 20卷4期 (2012/12) Pp. 59-88

https://doi.org/10.6545/JFS.2012.20(4).3

摘要

本文探討共同基金間之競賽是否有利於投資人？結果顯示基金經理人於競賽過程中改變風險承擔行為，未必對投資人有利；缺乏資產管理能力之基金經理人無法只透過提高風險而打敗具備資產管理能力之基金經理人。資金流入共同基金市場於一月時特別明顯，此季節性現象可能源於個人所得與消費行為之季節性變化以及季節性的情緒失調。

關鍵字

共同基金 ； 競賽 ； 績效 ； 基金流量季節性 ； 投資人利益

並列摘要

This paper empirically examines the consequences of competition-like tournaments. This study shows that changes in risk-taking do not serve the best interest of some fund investors. Losers cannot reverse their losing status only by taking riskier positions. Fund flows into the mutual fund market are more prevalent in January than in other months. The phenomenon of seasonality in fund flows can be attributed to seasonal changes in the personal income and consumption as well as seasonal affective disorder (SAD).

並列關鍵字

Mutual fund ； tournament ； performance ； seasonality in fund flow ； shareholders' interests

參考文獻

Arellano, Manuel,Bond, Stephen(1991).Some tests of specification for panel data: Monte Carlo evidence and an application to employment equations.Review of Economic Studies.58,277-297.

Barber, Brad M.,Odean, Terrance,Zheng, Lu(2005).Out of sight, out of mind: The effects of expenses on mutual fund flows.Journal of Business.78,2095-2119.

Berk, Jonathan B.,Green, Richard C.(2004).Mutual fund flows and performance in rational markets.Journal of Political Economy.112,1269-1295.

Bloom, Matt,Milkovich, George T.(1998).Relationships among risk, incentive pay and organizational performance.Academy of Management Journal.43,283-297.

Bollen, Nicolas P.B.,Busse, Jeffrey A.(2005).Short-term persistence in mutual fund performance.Review of Financial Studies.18,569-597.