《境外基金管理辦法》的實施是台灣基金市場發展的一個重要里程碑，意味著我國境外基金市場之新時代來臨，讓原先「不能銷售、只能推薦」境外基金業者放膽招兵買馬。國內核准的境外基金數目已超過700檔，正式宣告境外基金進入戰國時代，如何打響名號，讓投資人印象深刻，進而願意放心將錢交由這些公司來管理，將是業者面臨的最大挑戰。 本文以相關文獻探討為研究基礎，並以總代理之基金數較多、規模較大、較具代表性之總代理人進行個案訪談，同時輔以對投資人之問卷調查，剖析境外基金總代理人的STP行銷策略、4P行銷組合策略，以及關鍵成功因素，歸納出相關研究結論如下： ■STP行銷策略：市場區隔主要變數為顧客類型、所得及年齡。三大目標市場分別為理財專員、法人與高所得大戶，以及小額投資人。在市場定位方面，定位為專業投資顧問以提供穩健優質的商品與服務。 ■產品策略：「產品績效」最為重要，能提供績效表現優異的基金，才能提高顧客之滿意度。「附加價值」為次重要，包含服務品質、知名度與形象、買賣的便利性、投資標的，以及商品的廣度（包含基金類型與數量）等。 ■通路策略：以銀行為主要銷售管道，並建立保險與證券等新的通路之合夥關係。成立直銷部隊搶攻法人機構及金字塔頂端的高所得客戶。建置電子商務部門以逐步開拓小額投資人市場。 ■促銷策略：業者最常使用的促銷工具為說明會，並密集舉辦理財專員的教育訓練課程，提供大量的文宣DM，同時與理專形成緊密的夥伴關係。 ■價格策略：由銷售通路端不定期作手續費的折扣促銷，業者為了避免削價競爭引發不當後果，試圖以優質、專業的服務取代價格大戰。 ■關鍵成功因素：精準鎖定關鍵顧客、開發與管理綿密的行銷通路、創造價值的行銷活動、運用充沛資源進而贏得客戶口碑、每個投資流程都作化顧客關係管理、視員工為最重要的資產、強化媒體關係等。

Mutual funds currency risk management is analyzed in this bachelor paper. It aims to analyze hedging by currency forward and options under different hedge ratios and various durations of the contracts. Afterwards the outcome is compared to non-hedging. After comparing hedging on six emerging markets equity indexes, it is concluded, that fund managers should hedge not all the time, but only when they expect foreign currency to depreciate. It is shown that forward contracts are better means than options for currency risk insurance purposes. Moreover, it is demonstrated that hedging with the shortest duration forward contracts is most effective and it is recommended to use the hedge ratio of 50 %. / Bakalauro baigiamajame darbe yra analizuojama valiutų rizikos valdymas investiciniuose fonduose. Darbe analizuojamas valiutų rizikos draudimas ateities ir pasirinkimo sandoriais, bei gauti rezultatai palyginti su rezultatais kai rizika nebuvo valdoma. Išanalizavus šešių besivystančių rinkų akcijų indeksų valiutos draudimą, buvo prieita išvados, jog fondų valdytojai valiutą turėtų drausti ne nuolatos, o tik kai jie tikisi jog užsienio valiuta silpnės. Be to, darbe parodoma, jog valiutų draudimas ateities sandoriais yra geresnis būdas valdyti valiutos riziką nei kad pasirinkimo sandoriai. Taip pat pademonstruojama, jog trumpiausio periodo ateities sandoriai yra efektyviausi valiutų rizikos valdymo tikslais bei rekomenduojama naudoti 50 % draudimo koeficientą.

This thesis discusses the potential for private investment to fund ambitious renewable energy research and development to help mitigate climate change. I begin by discussing the threat of global warming and a brief history of renewable energy development in the United States. Next, I discuss existing avenues for private investment in renewable energy, potential methods of increasing corporate participation, and the belief that businesses must maximize only financial profits. Then I perform an in-depth case study of pension funds that have incorporated a social or environmental mission, existing environmentally focused mutual funds, and liquidated clean energy mutual funds. Finally, I compare the historical performance of the existing mutual funds to the liquidated to determine a profit threshold below which clean energy focused funds fail and discuss optimal investment strategies to foster bold renewable energy investment.

Submitted by Laura Guarana (lauraguarana@yahoo.com) on 2012-06-20T17:42:20Z No. of bitstreams: 1 Laura Guarana - Retorno vs Tamanho do fundo.pdf: 1260670 bytes, checksum: 3a56d77ef9d12cf66882e7c40b13d62e (MD5) / Approved for entry into archive by Vitor Souza (vitor.souza@fgv.br) on 2012-06-20T18:46:13Z (GMT) No. of bitstreams: 1 Laura Guarana - Retorno vs Tamanho do fundo.pdf: 1260670 bytes, checksum: 3a56d77ef9d12cf66882e7c40b13d62e (MD5) / Made available in DSpace on 2012-07-11T14:37:54Z (GMT). No. of bitstreams: 1 Laura Guarana - Retorno vs Tamanho do fundo.pdf: 1260670 bytes, checksum: 3a56d77ef9d12cf66882e7c40b13d62e (MD5) Previous issue date: 2012-04-16 / O aumento do patrimônio de um fundo de ações provoca impacto no dia-a-dia da gestão, uma vez que o volume de compra e venda aumenta. Isto por sua vez impacta diretamente o desempenho destes fundos. O objetivo desta dissertação é avaliar se este impacto é positivo ou negativo e o quão profundo ele pode ser. Para tal, é feito um estudo entre o patrimônio líquido e a rentabilidade dos fundos de investimentos em ações utilizando-se análises de regressão em painel desbalanceado com dados mensais de 2006 a 2011 referentes aos fundos de investimento em ações no mercado de capitais brasileiro. Em um segundo momento, baseando-se em estudos feitos sob a ótica da liquidez, são inseridas novas variáveis no modelo desenvolvido, com o propósito de se realizar análises econométricas que consigam captar o efeito causado pela redução na liquidez dos fundos dado o aumento do patrimônio líquido. Controlando-se por idade, turn over e a liquidez dos ativos do portfolio, achamos uma redução de 0,058% ao ano para cada R$ 100 milhões de aumento no patrimônio do fundo. / The increase in the asset under management of mutual funds causes an impact on the management routine, since the volume of selling and purchase in assets increases. This directly impacts the performance of these funds. This paper aims to evaluate if this impact is positive or negative and how deep it can be. Using cross sectional data from Brazilian mutual funds I measure the impact in returns when assets under management increase. After this first result, considering that funds investing in illiquid stocks have a greater effect in their performance, we introduce new variables to the model, to test the influence of the liquidity in the results. Controlling for fund age, turn over and the liquidity of the stocks in the portfolio, we find a 0.058% drop in annual return for each 100 mm R$ increase in assets.

<p>This dissertation studies the impact of mutual fund managers' beliefs on fund performance in the first chapter and focuses on the impact of firm behavior on stock performance in the second chapter. </p> <p><br></p> <p>In the first chapter, I utilize the Revealed Preference Theory to recover fund manager belief formation directly from their actual trading activities. By relating stock holdings in a fund's portfolio to past factor returns, I document three facts about managers' belief formation: 1. In contrast to belief extrapolation, a substantial fraction of mutual fund managers act as contrarian investors who expect lower factor returns after a good factor performance; 2. Whether a fund trades in an extrapolative or contrarian way is due to its managers' expectation biases rather than fund style investment strategy, fund catering strategy or fund risk preference; and 3. Contrarian managers generate superior performance, are more experienced investors, charge higher expense ratios, and manage smaller US equity funds. The top (contrarian) managers significantly outperform the bottom (extrapolative) managers by a return of 3.4% per annum after adjusting by FFC4 factor models.</p> <p><br></p> <p>The second chapter is co-authored paper with Yan Liu and Feng Zhang. In this chapter, we systematically replicate the bulk of long-run event studies conducted in the last three decades from 1990 to 2020 using extended samples and four long-run performance measures. The final sample contains 62 papers of long-run event studies and 148 corporate events. Our findings suggest that long-run return anomalies documented in the last three decades are not robust, and firms do not earn long-run abnormal returns following various types of corporate events. Only 2% of the 148 corporate events we replicate earn post-event abnormal returns that are statistically significant at the 5% level based on all the four performance measures, and the fraction further shrinks to 0% at the 1% significance level. Viewed together, our findings suggest that these long-run abnormal returns after corporate events are likely the result of data mining or "p-hacking".</p>

對一些退休基金或是壽險基金來說，因為它們的金額都相當龐大，進而影響的層面也相當廣泛；它們影響著金融市場的發展、有價證券的價格和市場的報酬。 所以，對現今市場投資在這樣長期資產的投資策略而言，以下我們要討論的議題將是非常重要。 以前的退休基金管理計畫是建立在單期的假設當中。根據目前所持有所有資產的部位、目前市場的狀況與對未來報酬的期望，基金管理人將尋求對下期的最適投資決策。傳統的方法都是用期望值-變異數方式(Mean-Variance approach)去極大化投資的報酬，以求取最適部位。但是單期的期望值-變異數方式(Mean-Variance approach)面對了二個問題： 一、 集合各個單期最適決策用多期的眼光來看不一定是最適。 二、 單期最適決策並不能同時處理投資面與集資面的問題。例如：退休基金同時間有每月的收入與每月的投資面。 不像單期的投資方式，使用多期的投資方法比較能符合這樣的投資問題與要求，也比較具有合理性。 投資在長期資產的部位與報酬率，最容易受到利率變動的影響。換句話說，利率變化是影響投資在長期性資產的最大變因。因此，我們將討論的問題：在利率是隨機變動時，以Vasicek (1977)的利率模型為主，加入投資人風險偏好的共同基金的分配原則。這樣的理論下，我們將利用風險中立的方法求出最適的投資組合，以滿足在長期投資觀點下避險與套利的需求。其中投資人的風險偏好是以Merton (1973)提出的常數相關風險偏好(Constant Relative Risk Aversion；CRRA)的效用函數去討論；在文章最後，我們將針對投資人的風險偏好做一些討論，包括：改變CRRA的參數、自然對數的效用函數(Logarithmic utility function)。 以往的研究都採用動態程式設計(Dynamic programming approach)的方法來解決這樣多期投資的問題，但是這樣的方法運用的計算相當複雜，也不一定求的出最適部位解；而利用Cox and Huang (1989)提出的風險中立方法(Martingale approach)將完全的解決以上遇到的問題。 / In this study, we investigate the dynamic mutual fund separation theorem applied to portfolio management for constant relative risk averse investors where, in particular, the interest rate risks are incorporated. Within this economy, the real interest rates and stock prices are assumed to follow the Markovian processes whose drifts and diffusion parameters are driven by certain state variables. Our approach involves the use of the martingale methodology developed by Cox and Huang (1989) as proposed in the work of Deelstra et al. (2003). Following their framework, we consider the economy of the investors that consists of cash, bond fund and stock indices. Adding to the previous works, we investigate the obtained optimal strategies through numerical examples in order to be compared to the allocations of popular advice and clarify the hedge and arbitrage demands in financial decision from long-term perspective. Finally, certain mutual funds are constructed to validate the validity of the popular advice.

本研究以民國86年至90年之54檔投資台灣開放式一般股票型之共同基金為研究對象，探討財務資訊與股票型基金持股間之關聯。主要實證議題包括：（一）在不同的產業之下，共同基金經理人從事持股決策所重視的財務屬性是否有差異及（二）公司之財務表現與共同基金對該公司平均持股比例之關聯性。 本研究分別針對建築、食品、塑化、紡織、電機、資訊電子及服務銷售類等七個產業，首先利用因素分析將16項財務比率萃取出數個具代表性之財務屬性，並加入股票週轉率、淨值市價比、本益比與每股股價等控制變數進行迴歸分析，以探討財務屬性與共同基金平均持股比例之關聯性。 實證結果發現，償債能力、經營能力、投資報酬、經營績效、固定資產資金之安全與效率和現金支應能力六個財務屬性最能代表建築產業之財務表現；償債能力、經營能力、應收帳款週轉率和獲利能力四個財務屬性最能代表食品產業之財務表現；償債能力、利息保障倍數、經營能力、和獲利能力四個財務屬性最能代表塑化產業之財務表現;償債能力、利息保障倍數、經營能力、獲利能力和財務結構五個財務屬性最能代表紡織產業之財務表現;償債能力、資金適足率、經營能力、獲利能力和財務結構五個財務屬性最能代表電機產業之財務表現；償債能力、經營能力和獲利能力三個財務屬性最能代表資訊電子產業之財務表現；而償債能力、經營能力、獲利能力、負債比率和固定資產資金之安全與效率五個財務屬性最能代表服務銷售產業之財務表現。各個產業所萃取出之財務屬性因素不盡相同，顯示彙總公司財務狀況及經營績效的財務屬性確有產業別之差異存在。在所探討的財務屬性構面中，償債能力、經營能力、獲利能力為各產業共同強調之財務屬性。 就基金經理人所做的持股策略來看，不論針對何種產業，償債能力、經營能力及獲利能力均是基金經理人最為重視的財務屬性指標。研究結果另外也顯示，除了服務銷售業、食品業與建築業外，其他產業之償債能力屬性表現越好，基金持股比例愈高。塑化業、紡織業、電機業、資訊電子業和服務銷售業之經營能力屬性表現愈好，基金持股比例也相對愈高。至於獲利能力屬性則在紡織業、電機業、資訊電子業和服務銷售業顯著地對基金持股比例有正面的影響。 本研究之發現顯示，不同的產業在不同的經營環境下，反映公司狀況的財務資訊會因產業別而有所不同，即使在相同的財務比率下，彙總公司財務狀況及經營結果之財務因素屬性仍有所差異，並進而影響基金經理人的持股決策，尤其是償債能力、經營能力和獲利能力，更是投資各產業時廣泛參考的基本財務屬性指標。 關鍵字：股票型基金、財務屬性、基金持股比例 / The primary object of this research is to exam the relationship between financial information of a firm and its share held by mutual funds, based on 54 mutual funds of general stock investments in Taiwan over the period of 1997 to 2001. Two major research issues are investigated in this thesis. The study first explores whether the managers of mutual funds emphasize on the same attributes abstracted from financial statements across different industries for their share-holding decisions. The study then examines the relationship between financial performance of a company and its average invested percentage by mutual funds. This thesis focuses on architecture, foods, plastic, textile, electrical machinery, information electronics, as well as service and sales industries. Based on a factor analysis approach, the thesis is able to obtain several representative dimensions of financial attributes out of 16 financial ratios. Then, the use of multiple regression models enables the study to investigate the relationship between financial attributes and average shareholding percentage of the mutual funds across industries. The empirical results indicate that financial attributes extracted are not exactly the same across industries. It implies that industry differences do exist in financial attributes that summarize the financial conditions and operating performances of companies. Among others, attributes that characterize the performance of liquidity, operating efficiency, and profitability of a firm are found important for share-holding percentage across all industries examined. The research findings show that with exceptions in the service and sales, foods, and architecture industries, liquidity has found to have a significant and positive relation with the share-holding percentage of mutual funds in all industries examined. Operating efficiency has also found to be significantly and positively associated with the share-holding percentage in the plastic, textile, electrical machinery, information electronics, as well as service and sales industries. In addition, a significant and positive relation is found between profitability and the share-holding percentage in the electrical machinery, information electronics, textile, as well as service and sales industries. The finding of this study implies that difference in financial conditions of firms may result in difference in financial attributes across industries; even the analysis is based on the same financial ratios. Further, the liquidity, operating efficiency and profitability are the most essential indicators shared by mutual funds managers in making investment decisions. Keywords: stock-type mutual fund, financial attribute, share-holding ratio

The predictability of the US-based international mutual fund returns has received renewed consideration in recent academic studies. This dissertation extends recent research by exploring the 2,479 daily return observations covering the period from January 4, 1993 to October 31, 2002 for all categories of international mutual funds. This exploration splits the sample, uses the initial sub-sample to investigate return patterns of international mutual funds and develops trading rules based on the predictable return patterns, and tests those rules on the holdout sample. The empirical findings suggest that smart investors may earn higher riskadjusted returns by following daily dynamic trading strategies. The excess returns earned by investors are statistically and economically significant, irrespective of load or no-load mutual funds and even in the presence of various exchange restrictions and regulations.

The following dissertation contains two unique empirical studies that contribute to the overall literature in the field of Financial Economics in the areas of mutual fund investing and financial intermediation and regulation. The first Chapter, entitled “The Impact of Macroeconomic Stress on the U.S. Financial Sector”, examines the relative impact of macroeconomic stress on financial and non-financial U.S. firms. Empirical results show that macroeconomic shocks appear to have a larger impact on financial firms. Additionally, the sensitivity of financial firms to macroeconomic events can be traced to the influence of non-depository institutions, or “shadow banks”, like finance and investment companies, which are less regulated than depository institutions. The results coincide with several trends in the financial sector including increased competition, complexity and interconnectedness and highlight the need for governance mechanisms that account for the risks associated with these factors. The second chapter, entitled “Partial Adjustment Towards Equilibrium Mutual Fund Allocations: Evidence from U.S.-based Equity Mutual Funds”, examines the relative efficiency of equity mutual funds in terms of speed of portfolio adjustment by applying a partial adjustment model. Empirical results show that mutual fund managers are able and willing to quickly adjust their portfolios when results have been sub-optimal, implying that the cost of persistent poor performance is perceived as being high. Managers can offset about 106 percent of the deviation within one period. Additionally, results show that funds that typically engage in the costly production of specialized information, like emerging market and sector funds have more efficient speeds of portfolio adjustment than more passive funds, like market index funds. The results imply that actively managed funds may have efficiency advantages that have been previously ignored in the empirical literature.

Bank-managed equity funds are not inferior to their non-bank counterparts. Previous research reporting relative underperformance of bank-managed funds ignored their differing fiduciary standards. To evaluate bank and non-bank funds facing similar fiduciary responsibilities, domestic retail funds approved for Singapore’s Central Provident Fund Investment Scheme were examined, as they meet the same standard for managing social security savings. Returns from these funds correlate highly with market performance. Even though these fund returns exceeded guaranteed interest rates, they did not outperform their market index.With financial market deregulation in Southeast Asia, local banks in small economies withstand erosion of business by foreign competitors. Banks, in order to increase profits, compete with local as well as foreign insurance and investment companies by offering mutual fund products. To remain competitive, banks need to shed their reputation for not being able to generate impressive fund returns, as their funds are not inferior to those from insurance and investment companies in terms of assets under management, expenditures, returns and risk. To gain competitive advantage, banks can differentiate their fund characteristics and reduce portfolio management costs.Mutual fund characteristics can affect expected returns or transaction costs. Factors affecting expected returns include asset allocation and systematic risk, while transaction costs include explicit and implicit ones, which can be measured by expense ratios and size of funds respectively. Insignificance of transaction cost determinants in affecting actual returns can be attributable to dominance of factors affecting expected returns.