Sur le marché mondial de la gestion collective, la France occupe la deuxième place en termes du nombre de fonds et du montant d’actifs nets gérés. Malgré le rôle important des OPCVM obligataires dans la diversification des portefeuilles, ils sont néanmoins peu étudiés par rapport aux fonds actions. Notre recherche étudie la performance des fonds obligataires français sur une période de 20 ans, entre 1988 et 2007. Elle s’articule sur quatre chapitres. Le premier présente le panorama du développement des différentes catégories de fonds obligataires et leur couple risque / rentabilité.Le chapitre 2 construit un échantillon de 81 fonds grâces aux données généreusement fournies par la société Morningstar France. Après avoir testé l’homogénéité des distributions de rentabilités des fonds obligataires, on constate que les sous-catégories d’un même horizon de placement ont une distribution statistiquement identique. Ce qui permet de regrouper les fonds en trois catégories selon leur maturité : Long Terme, Moyen Terme et Court Terme. Le chapitre suivant se penche sur la non normalité des distributions de rentabilités (avec le test Jarque-Bera) et la recherche de l’origine de ce phénomène. Il y a absence de l’effet du mois de janvier ; les rentabilités sont non stationnaires et auto-corrélées. Les deux méthodes de correction pour auto-corrélation des rentabilités entrainent une augmentation du risque sans modifier la rentabilité moyenne ; mais ne modifient pas le classement des fonds. Le dernier chapitre est consacré à l’évaluation de la performance des fonds obligataires.Les douze mesures les plus utilisées par les professionnels conduisent à des classements des fonds quasiment identiques et à se demander si le ratio de Sharpe n’est pas finalement la seule mesure à utiliser. Sans aller jusque-là, la méthode de la « classification hiérarchique ascendante » (empruntée à la technique du marketing) permet de réduire à quatre les mesures de performance sans perte d’informations sur le classement des fonds entre eux. Ce chapitre confirme également la présence de la persistance de la performance à l’instar de certaines études anglo-saxonnes sur cette question. / At the world level, the French sector of mutual funds is the second for the number of fundsand the amount of net assets managed. Curiously enough regarding its size, the French bond fundshave been « forgotten » by the researchers and the present thesis seems to be the first one on thissubject. It studies their performances over a 20-year period (from January 1988 to December 2007)with the help of four chapters. The first one is a survey of that sector development and measures thereturn/risk ratio for the different kinds of bond funds. Chapter two presents the 81-funds samplegraciously given by Morningstar France. The analysis of the returns distributions shows that thedifferent funds with and without income distribution with the same maturity have the same statisticaldistribution; it enables to group the funds according to their maturity, namely Long Term, Middle Termand Short Term. Chapter three analyses the non-normality of distributions with the Jarque-Bera testand tries to find the origin of this phenomenon. There is no January effect but returns are nonstationaryand auto-correlated. The two correcting methods for that auto-correlation lead to anincrease of the measured risk without changing the average return and the funds rankings are notmodified. The last chapter deals with the performance measurement of these bond funds. The twelvemeasures most used by professionals give almost the same funds rankings. One can wonder if theSharpe ratio is not the unique relevant measure to use. A technique borrowed from the marketingscience called «cluster analysis» enables to reduce the twelve measures to only four without losinginformation on the funds rankings. This chapter also shows that the performance is persistent, resultalso found by some American researches on this question.

International joint ventures (IJVs) are important modes for entering foreign markets. Yet, research shows that IJVs are volatile, difficult to manage, and often fail, especially when the joint venture is located in a developing country. Many studies look at a range of different factors behind IJV success or failure, and a few longitudinal studies have shed light on some of the complex management processes within IJVs. Many researchers have concluded that the high rate of IJV failure is due to internal tensions that are inherent to IJVs, but viable solutions for practitioners are rare. In the absence of a model that adequately explains the longitudinal aspects and determinants of IJV performance, we see firms electing to stay in underperforming IJVs, even though more profitable modes of entry into foreign markets exist. In this thesis I analyze market entry and expansion through IJVs using a multi-causal analysis of IJV performance. I begin with a critical evaluation of the IJV literature. I then develop a process-oriented model that may explain why firms persist with failing IJVs. Finally, I draw several important conclusions that have valuable implications for practitioners and for future research.

在資產管理公司的全球化浪潮下，國內資產管理的規模大幅成長，其商品種類也不斷地推陳出新，而投資人再選取商品上，經由過去的文獻發現投資人自身在判斷一檔基金投資與否通常會看其過去的績效，在近期有較高績效的共同基金較會受到投資人青睞。故在投資人有這種追求過去歷史績效的現象時，如何選擇有績效持續性的共同基金就變成一個重要的議題。 而一直以來，基金績效持續性的探討所找到的結果各家看法不一，部分文獻顯示出基金績效的持續性非來自於基金經理人的強調選股特徵，而亦有學者認為基金經理人可能會有能力上或是訊息上的優勢。經由歸納，常發現已發展國家的股票型基金持續性是不顯著的，而新興國家可能由於經理人的資訊程度較大眾的消息取得容易且迅速。 本文經由探討台灣股票型基金發現擁有較好強調選股特徵(1-R2)的基金其在未來績效較有持續性，若再搭配當期α來考量，則短期，投資強調選股特徵弱但α大的群組或是投資強調選股特徵強但α小的群組，績效表現較好；然而，若放眼長期，擇投資強調選股特徵強的基金，績效表現會較為出色，尤其是α落在較大群族的基金。整體而言，淨資產對於持續性的影響是顯著負向的，可能原因為規模不經濟導致；週轉率越高代表其績效持續性較強。另外新資金湧入導致基金績效持續性較不佳，原因可能為其淨資金流入會造成基金操作管理上效率的問題。 / Under the globalization tide of the asset management company, the asset managed in Taiwan has been grown dramatically, and much more various products have been launched. Empirical evidence found that investors tend to take past performance into consideration before they invest in funds. As a consequence, funds with recent outstanding performance are more popular than others. So performance persistence becomes an important issue. Empirical researches did not reach consensus on whether funds have performance persistence, some paper shows that performance persistence does not stem from stock picking ability, however, some evidence show that fund managers might have some information or ability advantages. And performance persistence is more likely happened in emerging countries than developed countries due to fund managers have more efficient and latest information than general investors. This paper finds that Taiwanese stock fund which emphasize more on stock picking ability (higher 1-R2) tend to persist. If analyzed with current α, funds with less emphasis on stock picking and bigger current α in the short run, or funds with more emphasis and weaker α will have better performance in the future. In the long run, more emphasis on stock picking, better performance in the future，especially those with strongerα. Greater asset under management and net sales rate might cause worse performance persistence due to inefficiency in management. And higher turnover help performance persistence.

This thesis consists of four chapters that investigate the performance and capital flows of hedge funds. The first two chapters of the thesis focus on hedge funds that have a pure emerging market strategy. Hedge funds should be well equipped to take advantage of opportunities in emerging markets due to their flexibility in investment strategy and lockup periods. However, the results show that, at the strategy level, emerging market hedge funds have only generated risk-adjusted returns in the most recent years of the sample period. Although emerging market hedge funds have performed poorly in the past, an important finding is the upward trend over time in performance. Given that other hedge fund strategies have a declining trend in alpha during the same period, the emerging market strategy may be where future alpha can be found. The third chapter investigates if there are capacity constraints in hedge fund strategies. The idea is that the alpha opportunities in the markets are limited. Thus, the more capital coming in to hedge funds, the higher competition for the investment opportunities. The findings reveal that mainly strategies that rely on liquidity in their underlying market show evidence of capacity constraints. That is, high past capital flows have a negative effect on current risk-adjusted returns. The last chapter investigates the out-of-sample performance of five allocation models relative to an equally weighted portfolio, when optimizing over hedge fund strategies. The findings show that for hedge fund investors the naive allocation model (1/N) with equal weights in each asset is not an efficient allocation. The risk-adjusted performance can be improved by using an optimal sample-based allocation model. Moreover, significant improvement in out-of-sample alpha can be made if the investor optimizes over non-systematic returns instead of total returns, which is an important results for investors seeking alpha. / <p>Diss. Stockholm : Handelshögskolan, 2008</p>

En el capítulo I, se examina el rendimiento de los activos &#64257;nancieros que representan las "mejores ideas" de los gestores de los fondos de inversión. Las inversiones para las que un gestor activo augura un buen rendimiento obtienen mejor retorno de mercado, asi como el resto de inversiones en sus carteras. En el capítulo II, se muestra explicitamente que los gestores que concentran sus carteras en un número reducido de activos, superan reiteradamente sus benchmarks y otros fondos más diversi&#64257;cados. Esta diferencia de rendimiento se puede explicar gracias a las diferencias en la exposición a factores de riesgo valorados por el mercado y al mayor talento de los gestores que se centran en invertir en activos de alta incertidumbre. En el capítulo III, se estudia la información contenida en las transacciones de activos y se muestra que las decisiones recientes de los gestores predicen el rendimiento futuro de las inversiones. Mientras que las compras llevadas a cabo por gestores con una habilidad superior se asocian a un rendimiento futuro anormalmente positivo, los gestores poco hábiles cometen errores de forma sistemática en la selección y en las transacciones de activos. / In Chapter I, we examine the performance of stocks that represent mutual fund managers' "best ideas". The stock that active managers display the most conviction towards ex-ante, signi&#64257;cantly outperforms the market, as well as the other stocks in those managers' portfolios. In Chapter II, I explicitly show that managers, who concentrate their portfolios into a small number of stocks, consistently beat their benchmarks and their more diversi&#64257;ed peers. This performance gap can be explained by differing portfolio exposures towards priced risk factors as well as stronger abilities of concentrated managers when investing in stocks with high uncertainty of information. In Chapter III, I study the information content of portfolio rebalances by mutual fund managers and show that their recent trading decisions predict future stock returns. While purchases by skilled managers are associated with positive future abnormal performance, unskilled managers systematically commit errors in the selection and trading of stocks.

Cette thèse examine l’impact de l’investissement socialement responsable sur le risque et la performance des portefeuilles. Elle s’articule autour de quatre études, dont trois études empiriques. La première étude propose un état des lieux et une analyse critique des risques RSE des portefeuilles. Elle indique que les risques RSE évalués de diverses manières selon les acteurs existent toujours au sein des portefeuilles et évoluent en fonction du contexte institutionnel. Leur niveau peut être plus au moins élevé selon les pratiques RSE des entreprises dans lesquelles les capitaux sont placés. La deuxième étude porte sur l’analyse comparative du risque financier des fonds ISR et des fonds conventionnels. Sur un échantillon de fonds commercialisés en France sur la période 2002-2012, nos résultats montrent que les fonds ISR peuvent avoir un niveau de diversification plus élevé que les fonds conventionnels appariés, quelles que soient les conditions de marché. Il s’agit des fonds ISR investis dans la zone euro et à l’international. Cependant, les fonds ISR investis dans la zone euro, en Europe et en France ont un risque systématique plus important que celui de leurs homologues classiques contrairement aux fonds ISR investis à l’international. La troisième étude analyse le risque financier des portefeuilles construits selon le niveau de performance ESG des entreprises sur la période2002-2014. Ces portefeuilles portent sur des entreprises de la zone euro, mais aussi sur des entreprises américaines. Nos analyses montrent que les portefeuilles américains qui sur-performent globalement ou individuellement sur les trois critères ESG ont un risque financier plus faible que ceux qui sous-performent sur ces dimensions. Pour les mêmes types de portefeuilles, la zone euro affiche un risque spécifique plus faible. Les résultats sur le risque systématique sont influencés par les effets relatifs au secteur d’activité pour les portefeuilles américains et par ceux relatifs au pays pour les portefeuilles de la zone euro. La quatrième étude examine la persistance de la performance financière des fonds ISR et des fonds conventionnels. Elle indique à travers les tests non-paramétriques qu’il n’existe pas de persistance de la performance pour les fonds ISR et les fonds conventionnels. / This thesis examines the impact of socially responsible investment on the risk and performance of portfolios. It is based on four studies, including three empirical studies.The first study proposes an inventory and a critical analysis of the portfolios' CSR risks. It indicates that CSR risks assessed in different ways by the actors still exist within the portfolios and evolve with the institutional context. Their level may be low or high depending on the CSR practices of the companies in which the resources are invested. The second study deals with the comparative analysis of the financial risk of SRI funds and conventional funds. On a sample of funds distributed in France over the period 2002-2012, our results show that SRI funds may have a higher level of diversification than matched conventional matched regardless of market conditions. These are SRI funds invested in the Eurozone and globally. However, regardless of market conditions, SRI funds invested in the Eurozone, Europe and France have a greater systematic risk than their traditional counterparts, contrary to SRI global funds. The third study analyzes the financial risk of portfolios built according to companies’ level of ESG performance over the period 2002-2014. These portfolios cover the Eurozone and the U.S. firms. Our analysis shows that the U.S. portfolios which over-perform on the aggregate ESG criteria or individually on the three ESG criteria have a lower financial risk than those that underperform on these dimensions. For the same types of portfolios, the Eurozone exhibit a lower specific risk. The results on the systematic risk are influenced by the industry-specific effects for the U.S. portfolios and the country-specific effects for the Eurozone portfolios. The fourth study examines the financial performance persistence of SRI and conventional funds. It shows through non-parametric tests that there is no performance persistence for both SRI and conventional funds.

Diese Dissertation besteht aus fünf empirischen Studien. Zwei Studien befassen sich mit passiv gemanagten Finanzprodukten. Sie untersuchen den Replikationsprozess von Exchange Traded Funds (ETFs) und vergleichen hierbei die Replikationsgüte von synthetischen und physischen ETFs. Oftmals wird darauf verwiesen, dass synthetische ETFs eine höhere Replikationsgüte besitzen als physische ETFs. Dies lässt sich für Renten-ETFs bestätigen, allerdings nicht für Aktien-ETFs. Zudem wird gezeigt, dass ETFs und Indexzertifikate, die sich im direkten Wettbewerb befinden, im Hinblick auf ihre Geldmittelflüsse komplementär, allerdings nicht perfekt komplementär zueinander sind. Dieser Effekt lässt sich mithilfe der Replikationsgüte und einer Zuordnung beider Indexprodukte in verschiedene Marktnischen erklären. Weitere drei Studien befassen sich mit aktiv gemanagten Finanzprodukten. Sie widmen sich der Frage, ob mithilfe von Fondsbewertungen wie dem Feri Trust Rating, der Finanztest-Bewertung und der FondsNote die zukünftige Performance deutscher Aktienfonds prognostiziert werden kann. Hintergrund ist, dass Investoren Fondsbewertungen in ihre Anlageentscheidung einbeziehen. Sie investieren vor allem in Fonds, die eine Top-Bewertung aufweisen. Die Prognosefähigkeit von Fondsbewertungen kann sich allerdings stark voneinander unterscheiden. Die Ergebnisse zeigen, dass mithilfe der FondsNote am besten zwischen sich zukünftig besser und schlechter entwickelnden Fonds differenziert werden kann. Die Prognosefähigkeit lässt sich durch Kombination der drei Fondsbewertungen sogar erhöhen. Dies hängt allerdings von der Kombination und dem verwendeten Performancemaß/-zeitraum ab. Zudem werden Faktoren untersucht, die einen Einfluss auf die Prognosefähigkeit haben können. Es wird gezeigt, dass qualitative Bewertungsfaktoren nicht zu einer Erhöhung der Prognosefähigkeit beitragen. Stattdessen weisen die Fondskosten und das Verhalten der Investoren einen signifikanten Einfluss auf. / This thesis consists of five empirical studies that deal with actively and passively managed financial products. The first two studies focus on the replication process of exchange-traded funds (ETFs) and compare the tracking ability of ETFs based on physical replication of their benchmark indices with those of synthetic ETFs. Contrary to conventional wisdom, synthetic equity ETFs are not different in terms of tracking errors from their physical counterparts. However, synthetic fixed-income ETFs have lower tracking errors than physical fixed-income ones. Moreover, the second study examines the coexistence of ETFs and index certificates within one market by analyzing the relationship between their money flows. Evidence shows that ETFs and index certificates complement each other, but not in a perfect way. This effect can be explained by similar tracking abilities and a segmentation of investors into different market niches. The other three studies address the question if fund ratings like the Feri Trust rating, the Finanztest-Bewertung, and the FondsNote can predict the future performance of German equity mutual funds. The reason is that investors include fund ratings in their decision-making. They primarily invest in funds which have the best fund rating. However, fund rating predictability can significantly differ among fund ratings. Results indicate that the FondsNote can best distinguish between well and poorly performing funds. Predictability can be enhanced by a combination of fund ratings. However, it depends on the particular fund rating combination, the chosen performance measure, and the post-rating period. Moreover, these three studies analyze factors that could influence the predictability of fund ratings. It is shown that qualitative factors can hardly improve the predictability. By contrast, the costs of funds and the behavior of investors with regard to fund ratings significantly influence the ability to predict future performance.

本研究的主要目的，在於探討中國大陸的得獎基金之績效持續性是否存在？本研究利用晨星與理柏兩家國際專業評級機構於2004年至2012年所頒發的中國大陸得獎基金為研究樣本（前者的樣本為41檔基金，後者的樣本為53檔基金），資料來源分別為晨星資訊（深圳）有限公司及新浪網。在分別採用累計淨值報酬率、Sharpe指標作為績效衡量指標，並使用Spearman等級相關檢定、績效二分法與迴歸分析，以驗證中國大陸得獎基金在頒發前後不同期間的績效表現是否具有持續性。研究結果發現，前兩種檢定方法皆呈現基金績效在短期（三個月及六個月）具有持續性，而在長期甚至出現績效反轉的現象。而迴歸模型分析的主要發現為，在控制其他變數後，獲得晨星中國基金獎之基金在短期才具持續性，在一年時出現績效反轉。而獲得理柏中國基金奬之基金，在六個月的評估期間就可能出現績效反轉的現象。 / The purpose of this study is to investigate whether the persistence of awarded funds’ performance exist in China. This study employs awarded funds of MorningStar award and Lipper award in China as the sample provided by Morningstar website in China and Sina website. Using accumulated rate of return and Sharpe index as the measurements of awarded funds’ performance and Spearman’s rank correlation coefficient, two-way table constructed by Goetzmann and Ibbotson (1994) and regression analysis as methodologies to analyze this issue in different before-and-after periods, the primary finding of this study is that the former two methodologies show that the performance persistence of awarded funds exist only in three- and six-month periods, and performance reversal appears in the long-run. According to regression analysis, this study suggests that MorningStar awarded funds might have persistent performance in the short-run, but performance reversal after 1-year period. However, Lipper awarded funds do not have persistent performance, but performance reversal after six-month period.

Literature reveals studies on mutual fund performance analysis and persistency, with various results. Some studies support hort term performance persistence, while the rest claiming no such persistency among the portfolios. This thesis is an attempt to analyze the performances of Turkish open-end mutual funds for the period of 2003-2010 and search for persistency by extending the time period to June 2011. For performance evaluation, single factor CAPM and ama-French&rsquo / s Three Factor Model are applied. Persistency analysis is done by tracking the relative fund performances on a monthly basis. The results of this study indicate that for the sample period, Turkish A Type mutual funds neither overperform nor underperform the overall market. Nearly all Jensen&rsquo / s alphas are found to be zero, statistically significant. This is also an implication that the mutual funds are earning their expected returns in an efficient mutual fund market in Turkey. The Fama-French&rsquo / s three factor model shows slightly better performance, on the other hand. The size and book to market equity factors are not found significant in general, however they are found jointly significant in all regressions. Persistency is analyzed by tracking the mutual fund erformances on monthly basis. When some mutual funds showed negative or positive performance persistency during the period individually, but the overall picture demonstrates a balanced distribution of performance groups. The number Loser-Loser performances is slightly more than the other three groups, resulting in a tendency for short term negative persistency for the sample analyzed between the period of January 2003 to June 2011.

近年基金投資已然成為一般民眾重要的理財工具之一，而投資人最關注的顯然是基金績效的好壞，以及前績效好的基金在未來能否持續先前好的績效表現。因此本論文主要探討台灣的開放式股票型基金之績效、基金績效的持續性，以及投資人買賣基金的行為與基金績效之間的相互影響。論文第一部份是從隨機變數的觀點評估台灣的開放式股票型基金其夏普指標績效值，第二部份則以一般化的馬可夫模型－「漂移者—停駐者」模型評估基金績效持續性的動態行為，第三部份討論投資人的現金流量和基金績效之間的關聯性。 在第一部份的實證結果中，我們認為過去對夏普指標高的基金其績效較佳之想法必須修正，因為從隨機變數的觀點衡量基金的夏普指標值時，所有基金的績效均不顯著異於0。若與市場指數的夏普指標相比，並非所有基金經理人都能打敗市場，雖然以五年評估期間衡量基金績效時，有半數以上的基金其績效顯著優於市場指數，但在二年評估期間下只有極少數基金的績效顯著優於市場。第三，以拔靴法模擬基金的小樣本夏普指標分配時，仍然無法找到基金績效顯著大於零的證據。整體而言，本部份的研究認為從隨機變數的觀點衡量基金的夏普指標績效時，台灣的開放式股票型基金其績效超越市場的證據並不強。 第二部份以「漂移者—停駐者」模型衡量基金績效的動態持續性之實證結果，我們發現整體基金市場具有某種程度的績效持續性，但績效持續性的強弱程度隨著績效組別的不同而有差異，表現最佳與最差兩組基金的績效持續性高於績效中等基金，但整體基金的績效持續性並不很明顯。另外，績效最差組別的停駐基金比率為各組中最高，代表該組別基金的績效持續性較強。第二，基金績效持續性因績效指標的不同而有差異，主要差異反映在各績效組別裡停駐基金比率的估計。第三，「存活偏誤」的確對基金績效持續性的結果有影響，但主要影響反應在停駐基金比率的估計，而非績效漂移基金的轉換機率。第四，以概度比檢定驗證單純馬可夫鏈模型與「漂移者—停駐者」模型對資料的配適程度時，發現「漂移者—停駐者」模型較適合分析台灣開放式股票型基金的績效持續性。 就第三部份基金績效與投資人現金流量的討論，第一，實證結果支持台灣的開放式股票型基金其績效具有持續性，但整體市場的績效持續性並不顯著，其中季資料下基金績效的持續性證據最強，此部份與論文第二部份的結論一致。第二，前一季績效佳的基金在下一季能吸引投資人較多的現金流量，但是放入市場報酬率作為解釋因子後，我們發現投資人的現金流入隨著市場報酬率的上升而提高、隨著基金報酬率的增加而減少，因此投資人買賣基金的主要考量似乎是以市場整體走勢為主，而非基金前期績效。第三，投資人買賣基金的活動對基金後續績效並無影響，這可能是基金經理人的持股比率高於法令規定，或是投資人買入贖回基金的活動對績效的影響通常在數日內即已反應完畢。最後，討論經理人的流動性交易及訊息交易對基金後續績效的影響之前，我們發現基金前期績效的持續大約維持兩個月，但是加入流動性交易及訊息交易作為解釋變數後，基金績效的持續性減弱。 / Mutual funds have been a popular investment vehicle in recent years regardless of the growth of fund assets or numbers of beneficiaries. What investors mind are that whether mutual funds can provide higher return than others, star managers can persist previous dominant performance. For the reasons, we try to examine the performance of Taiwan mutual funds by Sharpe ratio index from new insights, and study mutual fund within best performance group can maintain antecedently superior performance. Finally, we attempt to investigate the relationship between fund performance and fund flows of open-ended stock fund in Taiwan. 1. We analysis the statistical distribution of the Sharpe ratio in Taiwan Mutual Funds developed by Lo(2002) and explore fund performance. First, we construct the confidence intervals of Sharpe ratio of Taiwan stock funds under different assumption for the return-generating process is independently and identically distributed returns (IID) and Non-IID but stationary, then, annualize Monthly Sharpe ratios by Time Aggregation technique. To avoid small sampling errors, we utilize bootstrap sampling conception to simulate the small sample distribution of Sharpe ratio of stock funds. We find that (1) there are not significant evidences that mutual funds in Taiwan have superior performance than riskless rate or market returns in several conditions. (2)By Bootstrapping sampling technique, we still cannot find stock funds have comparatively better performance than market indexes from empirical result. Accordingly, we believe that the usual methods about Sharpe ratios must be modified. That is, a mutual fund with higher Sharpe ratio is not necessarily a good performance, absolutely. Cause, Sharpe ratio index is not a constant, but a random variable, and we must build up its interval estimation and then test if there are significant differences between funds performance. Consequently, we argue it is relatively important to construct the performance-ranking system of mutual funds similar the bond credit-rating. 2. We employ the mover-stayer model to study the dynamics of performance persistence of mutual funds in Taiwan. This model provides us more detailed information about and help us further understand the nature of mutual fund performance persistence. We find (1) that there exists certain degree of persistence in mutual fund performance. Such persistence is, however, not very significant. It is because most funds are mover funds with unstable performance rather than stayer funds with consistence performance. More interestingly, funds within the best and the worst performance groups have more persistent performance than those within the middle performance group. It implies that in view of the previous mediocre performance, fund managers within the middle group have strong intention to improve their future performance. In addition, the fact that the worst performance group has the highest proportion of stayer funds implies that losers are more persistent than winners in Taiwan mutual fund industry. Overall, mutual funds in Taiwan have only weak performance persistence. (2) that consistent with the literature, the degree of persistence in performance is dependent on the performance evaluation criteria. It seems that this difference of degree of persistence is reflected in the estimation of stayer fund proportion, not in the estimation of the transition probability matrix of mover funds. (3) that there exists survivorship bias in our study. It mainly influences the estimation of stayer funds proportion, not that of the transition probability matrix of mover funds. Having said that , we believe that this bias will not alter the important conclusions of this article. 3. This part studies three important issues including the performance persistence of mutual funds, the relationship between mutual fund performance and investor fund flows, and the influence of investor fund flows on the performance of mutual funds. Our analyses are based on the data of mutual funds in Taiwan with three different frequencies that include monthly, quarterly, and yearly data. The methods we utilize to perform the analyses are those from Gruber (1996) and Edelen (1999). There are three main findings in this article: (1)During the sample period from 1996 to 2004, the evidence on the performance persistence of mutual funds in Taiwan is at best weak regardless of various risk-adjusted models and data frequencies. In sum, mutual funds in Taiwan do not perform persistently no matter how their performance is measured. (2)We are not able to discover a significant relationship between mutual fund performance and investor fund flows based on monthly data. This result is not consistent with that of Gruber (1996). However, this relationship becomes stronger if we look at quarterly data. In addition, the most interesting thing is that it seems that it is the quarterly stock market return that derives most of investor fund flows rather than the quarterly mutual fund performance itself. This result implies that the key factor for investors to decide whether to invest more capital into mutual funds is the overall market performance. In other words, the market sentiment may be the most importance factor that induces investors to purchase or sell mutual funds. (3) In contrast to the results of Edelen (1999), the liquidity-trading of fund managers induced by investor fund flows does not have a significant adverse effect on fund performance. Interestingly, the contemporaneous information-trading of fund managers has significant negative impact on fund performance while that in the previous month actually improves fund performance. Furthermore, the performance persistence normally lasts for two months but it diminishes when we incorporate both the liquidity-trading and information-trading of fund managers into the regressions.