- 學位論文
Investment Strategies and Fund Performance During the 2007-2009 Financial Crisis
Investment Strategies and Fund Performance During the 2007-2009 Financial Crisis
並列摘要
In this paper, we focus on “aggressive growth” category to investigate the relationship between investment strategies and mutual fund performance. We separate entire data period, from March 2003 to March 2009, into before and during financial crisis. We use CAPM model and Fama-French three-factor model to calculate the excess return of mutual funds, we find that no matter which period, all of the estimated excess return is significant negative in both models, that implies the aggressive growth mutual funds can’t beat the market. Besides, we use momentum and contrarian investment strategies, compared each stock selected with its benchmark, including top thirty and top fifty percent stocks listed on NYSE, AMEX, and NASDAQ in United States, to investigate mutual fund performance. The results show that momentum and/or contrarian investment strategies significantly contribute to the aggressive growth mutual fund performance before and during financial crisis. The relationship between aggressive growth mutual fund performance and momentum investment strategies is positive. Conversely, the relationship between aggressive growth mutual fund performance and contrarian investment strategies is negative. We divide momentum investment strategies into buying past winner and selling past loser. And also divide contrarian investment strategies into buying past loser and selling past winner. We find that the selling past loser strategies in momentum investment strategies significantly positive affects aggressive growth mutual fund performance, and the buying past loser strategies in contrarian investment strategies significantly negative affects aggressive growth mutual fund performance. In order to conduct sensitivity test, we add fund characteristics, including Holdings Number, Manager Tenure, Turnover Ratio, Expense Ratio, and Net Assets, into our models. After adding fund characteristics, the effect on momentum investment strategies disappears, and the effect on contrarian investment strategies is still significant during financial crisis. To conduct robustness tests of investment strategies, we use multi-dimension criteria to define the past returns, No matter which investment strategies and which criteria is chosen, the results still remain. Therefore, we provide the evidence that momentum investment strategy effectively influence mutual fund performance only before financial crisis, contrarian investment strategy effectively influence mutual fund performance before and during financial crisis. Specially, value strategies, buying or selling past loser, are the most important strategies to contribute aggressive growth mutual fund excess return. We suggest that fund managers should change their investment strategies to keep mutual fund performance during economic recession period.