This dissertation consists of three stand-alone but interrelated empirical studies investigating various aspects of the well-documented ??home bias anomaly?? in international investment. The findings help to understand the international investment allocation behaviour of mutual funds as well as their implications for asset pricing and mutual fund evaluation. The first study investigates the roles of various firm attributes that encapsulate the deadweight costs in determining firm level investment bias. The main findings suggest that firm characteristics related to transaction costs, corporate governance and information asymmetry create significant barriers for fund managers. In addition, foreign funds are more constrained than domestic funds by information asymmetry, even in developed and liberalized markets. Moreover, this study stylises the international investment allocation model in Cooper and Kaplanis (1986) with a quadratic cost function, which reveals the marginal influence of market level deadweight costs on the relationship between firm characteristics and investment bias. It is found that when market level cross-border barriers are exacerbated, as in the case of emerging and restricted financial markets, foreign fund managers become more sensitive to market level deadweight costs and ignore firm characteristics. In general, these findings imply that the market level ??home bias anomaly?? is an outcome of the complementary effects of investment barriers at both firm and market levels. The second study examines the role of firm level investment bias in predicting future stock returns. It is found that both firm level foreign and domestic biases contain valuable information with respect to firm prospects. However, domestic bias is more informative than foreign bias in terms of subsequent stock returns, partially because of information asymmetry. The third study explores the determinants of fund level investment bias and its ability to predict fund performance. It is found that fund portfolio attributes determine fund level investment biases after controlling for market and fund investment objective specific effects, and fund level investment bias is positively related to fund performance due to lower deadweight costs. Moreover, good macroeconomic environments foster the development of the mutual fund industry.

Classical decision-making theory suggests that decisions made by an individual or a team of decision makers should lead to the same performance outcome. Conversely, behavioral decision-making theory argues that decisions made by teams result in superior micro or macro forecasts and performance outcomes. Our tests using mutual funds support the classical decision-making theory. The empirical results are time invariant and robust with respect to the selected index or model specification.

Prior studies have found that a firm advertising for one of its products not only can increase the sales of the advertised product, but also spill over the advertising effect by increasing sales of other existing products in the same brand. This study examines whether a fund family spending money on one of its managed funds can attract more money flows into the advertised fund and bring the advertising spillover effect that attract more money flows into other members in the same family. Under the assumption that a fund family is a risk aversion investor endowed with a negative exponential utility function, this study finds a theoretical allocation proportion for a fund family¡¦s spending on advertising of individual funds under management, which is the function of the fund family¡¦s risk aversion level and initial wealth, as well as the mean and the variance of the expected returns generated by individual funds¡¦ advertising and the advertising spillover effect. Empirically, the evidence shows that an advertised fund can significantly attract greater cash flows and bring the significant advertising spillover effect on cash flows of other individual funds in the same family. After grouping funds into lower-, mid- and higher-performing funds based on funds¡¦ past performance, the results indicate that an advertised fund with mid performance can attract greater cash flows than an advertised fund with higher and lower performance. Moreover, an advertised fund can bring stronger advertising spillover effect on cash flows of higher-performing funds than lower- and mid-performing funds in the same family. Regarding with the family cash flows, the evidence shows that a fund family¡¦s aggregating advertising expenditures on managed funds can significantly increase the family cash flows and the advertising effect on the family cash flows is stronger in large families than in small families. The empirical results suggest that a fund family can benefit from its advertising expenditures and which allocating higher proportion for advertising of mid-performing funds than higher-performing funds could attract money flows into its managed funds more efficiently.

This study analyzes 66 Swedish actively managed mutual funds investing in the Swedish stock market during the period 2005-2014. The purpose is through pooled data regressions analyze the relationship between both the mutual fund’s annual fee and risk-adjusted return to the fund’s characteristics. The characteristics of the study are the size of the fund's assets, age, if the fund is bank managed or not, Tracking Error, and standard deviation of return.By using the performance measures of CAPM, Fama and French 3-factor model, and Carhart’s 4-factor model monthly risk-adjusted returns are created for all funds over the period. Two pooled data regressions are performed with the Fixed Effect Model in which the annual fee and risk-adjusted return is set up as explanatory variables against the various characteristics.The results of the study show a clear correlation between annual fee and tracking error against the risk-adjusted return. A higher fee adds value to the investor through a higher risk-adjusted return, but will not fully compensate for the increased fee. The relationship between Tracking Error and risk-adjusted return is negative, which means that mutual funds that are distant from its benchmark perform worse than the mutual funds close to its benchmark. To explain annual fee this study finds low economic significance for the characteristics included. Although several variables show statistical significance, it is difficult to say anything about the characteristics that affect a mutual fund's annual fee due to the weak economic significance.

This study models and examines how changes in marketing information affects the degree of investor¡¦s risk aversion, and in turn, influences investor¡¦s decision-makings process under uncertainty. Under the mixed assumptions, the theoretical evidence in this study indicates that cumulative prospect theory (CPT) investors have propensity to discipline their depreciated assets and to sell their appreciated assets. Further, I find that CPT investors have less incentive to sell their holdings with higher advertising than ones with lower advertising when facing a paper gain or a paper loss. The empirical evidence indicates that advertising can help funds stem cash outflows, and finds investors are less willing to sell high performing investments with high fund family advertising than investments with low fund family advertising, and are more reluctant to redeem losing mutual funds with high fund family advertising than funds with low fund family advertising. For loser funds, a possible explanation from this study is that advertising seems to re-enforce the efficacy of recent investor decisions and adjust their beliefs to confirm past decisions, thus lets investors have more incentive to continue holding losing funds. For winner funds, this study infers that advertising may signal product quality, increase consumer satisfaction, brand equity and consumer loyalty that lead investors satisfied with their past decisions to have a greater propensity to retain their winning investments.

This research proposes a decision and behavior model which tries to approximate the fund trading. The main idea is based on the principle of the publication ¡§Genetic Algorithms for the Investment of the Mutual Fund with Global Trend Indicator¡¨, and four optimization schemes are proposed as well. First, the calculation of GTI is refined to prevent the possible problems caused by the case that all the fund are getting rise, or the opposite. Second, the tolerance is considered to avoid the reduction of profits owing to the increase of rates for transaction which Funds, those near threshold ones, might exchange ranking too often. Third, the concept of Stop-Loss Point is involved to release the fund dynamically instead of oversell. The last, Someone like to investment more profitable with short-term data, but high-risk. Someone like to investment long-term data, therefore, we added (1-£\)History + (£\)Recent to make users could set by themselves. And we also design genetic algorithm to calculate £\ for reference. Under the constraints of three different coefficients of stop-loss and release, the Return of Investment (ROI) is four times than original one(8.98%), which is compared in 2007.

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Abstract Since Markowitz (1952) proposed modern portfolio theory to evaluate the correlation between investment returns and risk, a portfolio constructed by securities (mainly stocks and bonds) is called¡¨ security portfolio¡¨, which becomes popular and recognized to the financial market. Mutual funds are one of the security portfolios managed by investment professionals. To maximize the portfolio return by choosing a combination of stocks and bonds, to decide an adequate investment philosophy, strategy, process and asset reallocation, are key elements of obtaining considerable returns with limited risk and main standard of manifesting the quality and capability of fund managers. The past performance of funds is publicly available, which is scrutinized to decide what to purchase or redeem. Many studies about evaluation of portfolio performance focus on fund performance. Nevertheless recent researches focus on fund flows instead. In this study, we will examine variables that influence flows of open-ended equity mutual funds in Taiwan and have a better understanding of investor behaviors of purchasing or redeeming. We first identify variables that influence fund flows and then employee those to analyze the influence in between. We discovered that the investors are more zealous in chasing previous winners based on the short-term performance, approximately 3 to 6 months. However, once the performance of the invested fund improves for the past 12 months they trend to redeem shares to realize profit. Furthermore, they review risk before making the decision, but ignore it after investment. Investors incline to buy or sell funds of high £] and are more susceptible to related expenses and react negatively to funds that require high expense. Investors are significantly willing to invest funds that are actively traded.