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The defense date of the thesis is 2006-06-28
The current date is 2019-06-20
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URN etd-0628106-131641 Statistics This thesis had been viewed 2893 times. Download 20 times. Author Po-Ya Hsu Author's Email Address email@example.com Department Management Business Administration Year 2005 Semester 2 Degree Master Type of Document Master's Thesis Language English Page Count 92 Title CONCENTRATION OF MUTUAL FUND, SEASONALITY AND PERFORMANCE OF FUND MANAGER Keyword Seasonality and Window dressing Investment concentration Fund performance Fund performance Investment concentration Seasonality and Window dressing Abstract If the efficiency market hypothesis is proved, the fund managers’ main function would be to eliminate the market risk and create a portfolio with specific risk to satisfy the need of the investors. Some research papers imply that the investment market doesn’t possess efficiency when fund managers have the ability to get some information to gain the extra profit.
In order to analyze if the fund managers have the information that are superior to market, we have a discussion in this research paper as follow. When fund managers don’t take the traditional diversified investment method and focus on centralizing their investment in one specific industry. Can we say that they may have the strength in controlling this industry’s information? We use the stock mutual funds of Taiwan during 2000 to 2004 as our sample and calculate the level of their concentration. The method we take is four factors equation which is used by Carhart (1997) and we find the returns without the risk. And then we try to discuss that if the performance of these aggressive mutual funds is higher than the other traditional conservative mutual funds. And uses the holding-based performance measures of DGTW(1997) to examine the overall return of a fund into a characteristic selectivity and characteristic timing.
Besides, we also consider the influences of seasonal cycle mentioned in some research papers. We use this concept to analyze that if there is a relationship between the centralization investment behavior and the seasonal cycle. The other point is if the window dressing behaviors of the fund managers change the level of centralization and affect the result of our research.
Advisor Committee Ruey-Shii Chen - advisor
Ming-Chuan Pan - co-chair
Tai-Wei Chang - co-chair
Files Date of Defense 2006-06-16 Date of Submission 2006-06-28