The Nonlinear Effect of Fund Characteristics on Mutual Fund Size under Different Fund Manager's Fee
| Autor: | Ching-Chi Chen, 陳景棋 |
|---|---|
| Rok vydání: | 2013 |
| Druh dokumentu: | 學位論文 ; thesis |
| Popis: | 101 This aim of study is to investigate the panel smooth transition effect associated with fund manager’s fee and mutual fund size. Utilizing the panel smooth transition regression model developed by Gonza′lez, Teräsvirta and van Dijk（2004, 2005）to figure out that information ratio, fund net asset value and turnover rate may affect mutual fund size under different fund manager’s fee. The study is to fund expense ratio substitute of Fund Manager’s Fee. The result shows that when fund expense ratio below 0.0786 percent, there is a significant positive effect between information ratio and fund size. When fund expense ratio above 0.1636 percent, there is a significant negative effect between information ratio and fund size. No matter fund expense ratio above 0.0786 percent, between 0.0786 percent and 0.1636 percent, above 0.1636 percent, there is a significant positive effect between fund net asset value ratio and fund size. There is not significant positive effect between turnover rate and fund size. |
| Databáze: | Networked Digital Library of Theses & Dissertations |
| Externí odkaz: |
|