Presenter： Chia-Yi Abi LinInstructor： Dr. Pi-Ying Teresa HsuDate： June 01, 2011

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Contents

Methodology3

Literature Review2

- Flows- Research Gap- Purposes of the study- Research Question

- Participants- Procedures- Instruments- Statistical Analysis

- Background

Introduction1

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- Background

Introduction

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purchases

inflows

Flows

redemptions

outflows

Mutual Funds

Open-end equity

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Literature Review

- Flows- Research Gap- Purposes of the study- Research Question

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Investors make investment decisions usually based on the past fund performance.

(Ippolito, 1992; Gruber, 1996; Chevalier & Ellison, 1997;

Goetzmann & Peles, 1997; Sirri & Tufano, 1998)

Flows-Performance

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- Young funds behave differently from old funds. - Younger funds have higher flows on average and a

greater sensitivity to prior period returns.(Chevalier & Ellison, 1997)

Flows-Age

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Flows-Size

The size of previous-period market has a strong influence on fund’s flows.

(Roston, 1996)

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30.6

45.9

65.3

0

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20

30

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60

70

1st Qtr

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Annual net flows are negatively related to fund expenses.

(Sirri & Tufano, 1998)

Flows-Expense

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Research Gap

No providing empirical evidence of differentiating the high and low of flows

Few studies have focused on using Taiwanese data from Taiwan Economic Journal (TEJ) database.

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- To analyze the relationship between the performance and outflows in mutual fund

Purposes of the Study

- To investigate the outflows are more sensitive to bad performance in illiquid funds than in liquid funds

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Based on the prior studies, there is a significant positive relationship between performance and flows, conditional on low past performance, are funds that hold illiquid assets experienced more outflows than funds that hold liquid assets?

Research Question

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Methodology

- Participants- Procedures- Instruments- Statistical Analysis

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Taiwan Economic Journal (TEJ) database

Participants

Open-end equity mutual funds

Stock funds(at least 70%)

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- The empirical analysis focuses on _ open-end equity mutual funds

- Size (total asset value of a fund share)- Age (number of years since the fund’s inception)- Expense (Expenses of a fund share as percentage of total assets)- Return (Return of a fund in excess of that of the category, averaged over the past six months)

Sample

Procedure

Control Variables

- The Taiwan Economic Journal (TEJ)- 1991 to February 2011 Instrument Database

- Flows *_____- Liquid & Illiquid *global game

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Regression analysis

Statistical Analysis

Sample Control

Variables

Instrument Database

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THANKS FOR LISTENING.

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