研究生: |
許駿傑 HUI, CHON-KIT |
---|---|
論文名稱: |
共同基金風格飄移:影響與成因 Mutual Fund Style Drift:Influences and Causes |
指導教授: |
賴慧文
Lai, Hui-Wen |
口試委員: |
蔡蒔銓
Tsai, Shih-Chuan 張森林 Chung, S. L. |
口試日期: | 2020/08/17 |
學位類別: |
碩士 Master |
系所名稱: |
管理研究所 Graduate Institute of Management |
論文出版年: | 2021 |
畢業學年度: | 109 |
語文別: | 中文 |
論文頁數: | 25 |
中文關鍵詞: | 共同基金 、風格飄移 、從眾效應 |
英文關鍵詞: | Mutual Fund, Style Drift, Herding |
DOI URL: | http://doi.org/10.6345/NTNU202100676 |
論文種類: | 學術論文 |
相關次數: | 點閱:91 下載:0 |
分享至: |
查詢本校圖書館目錄 查詢臺灣博碩士論文知識加值系統 勘誤回報 |
Andreu, L., Ortiz, C., & Sarto, J. L.(2015). Herding in style allocations. Journal of Business Economics and Management, 16(4), 822-844.
Bauer, R., Koedijk, K., & Otten, R.(2005). International evidence on ethical mutual fund performance and investment style. Journal of Banking & Finance, 29(7), 1751-1767.
Bikhchandani, S., Hirshleifer, D., & Welch, I.(1992). A theory of fads, fashion, custom, and cultural change as informational cascades. Journal of political Economy, 100(5), 992-1026.
Brown, K. C., Harlow, W. V., & Starks, L. T.(1996). Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry. The Journal of Finance, 51(1), 85-110.
Brown, K. C., & Harlow, W. V.(2002). Staying the course: The impact of investment style consistency on mutual fund performance. Available at SSRN 306999.
Bello, Z. Y.(2008). The performance of US domestic equity mutual funds during recent recessions. Global Journal of Finance and Banking Issues, 3(2).
Brown, K. C., Harlow, W., & Zhang, H.(2011). Investment style volatility and mutual fund performance. In Working Paper.
Carhart, M. M.(1997). On persistence in mutual fund performance. The Journal of finance, 52(1), 57-82.
Chan, L. K., Karceski, J., & Lakonishok, J.(1997). The risk and return from factors(No. w6098). National Bureau of Economic Research.
Chan, L. K., Chen, H. L., & Lakonishok, J.(2002). On mutual fund investment styles. The Review of Financial Studies, 15(5), 1407-1437.
Cao, C., Iliev, P., & Velthuis, R.(2017). Style drift: Evidence from small-cap mutual funds. Journal of Banking & Finance, 78, 42-57.
Chevalier, J., & Ellison, G.(1997). Risk taking by mutual funds as a response to incentives. Journal of political economy, 105(6), 1167-1200.
DiBartolomeo, D., & Witkowski, E.(1997). Mutual fund misclassification: Evidence based on style analysis. Financial Analysts Journal, 53(5), 32-43.
Dor, A. B., Jagannathan, R., & Meier, I.(2005). Understanding mutual fund and hedge fund styles using return-based style analysis. In The world of hedge funds: characteristics and analysis(pp. 63-108).
Dasgupta, A., Prat, A., & Verardo, M.(2011). The price impact of institutional herding. The Review of Financial Studies, 24(3), 892-925.
Fama, E. F., & French, K. R.(1992). The cross‐section of expected stock returns. the Journal of Finance, 47(2), 427-465.
Ferreira, M. A., Keswani, A., Miguel, A. F., & Ramos, S. B.(2013). The determinants of mutual fund performance: A cross-country study. Review of Finance, 17(2), 483-525.
Frijns, B., Gilbert, A. B., & Zwinkels, R. C.(2013). On the style-based feedback trading of mutual fund managers. Journal of Financial and Quantitative Analysis(JFQA), 2.
Gallo, J. G., & Lockwood, L. J.(1999). Fund management changes and equity style shifts. Financial Analysts Journal, 55(5), 44-52.
Jiang, G. J., Liang, B., & Zhang, H.(2019). Hedge fund manager skills and style-shifting. Available at SSRN 3123660.
Jiang, H., & Verardo, M.(2018). Does herding behavior reveal skill? An analysis of mutual fund performance. The Journal of Finance, 73(5), 2229-2269.
Koski, J. L., & Pontiff, J.(1999). How are derivatives used? Evidence from the mutual fund industry. The journal of finance, 54(2), 791-816.
Kim, M., Shukla, R., & Tomas, M.(2000). Mutual fund objective misclassification. Journal of Economics and Business, 52(4), 309-323.
Kahn, R. N., & Rudd, A.(2003). The persistence of equity style performance: Evidence from mutual fund data. The Handbook of Equity Style Management, John Wiley & Sons, Inc., New York, 259-271.
Kacperczyk, M., Nieuwerburgh, S. V., & Veldkamp, L.(2014). Time‐varying fund manager skill. The Journal of Finance, 69(4), 1455-1484.
Mason, A., McGroarty, F., & Thomas, S.(2013). Complementary or contradictory? Combining returns-based and characteristics-based investment style analysis. Journal of Asset Management, 14(6), 423-438.
Sharpe, W. F.(1964). Capital asset prices: A theory of market equilibrium under conditions of risk. The journal of finance, 19(3), 425-442.
Sharpe, W. F.(1992). Asset allocation: Management style and performance measurement. Journal of portfolio Management, 18(2), 7-19.
Santi, C., & Zwinkels, R. C.(2020). Exploring style herding by mutual funds. Available at SSRN 2986059.
Wermers, R.(1999). Mutual fund herding and the impact on stock prices. the Journal of Finance, 54(2), 581-622
Wermers, R.(2012). Matter of style: The causes and consequences of style drift in institutional portfolios. Available at SSRN 2024259.