The smart money effect in Taiwanese mutual funds
| Autor: | Yen-yun Huang, 黃嬿云 |
|---|---|
| Rok vydání: | 2010 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 98 Prior research debates focus on whether investors are smart enough to invest funds that subsequently outperform by using all funds investors, including smart investors and naive investors, as a sample. However, the probability of smart investors invest in the bottom performing funds is very low. That is, using all fund investors as a sample, smart money effect would be diluted by naive investors who merely chase the winners. Different from prior research, we classify the sample by past performance and fund size. Empirical results reveal that even after controlling for the momentum factor argued by Sapp and Tiwari (2004), the smart money effect is detected in top performing funds. That is, the flow of top performing funds in the past can predict fund performance in the future. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
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