An Empirical Study on Fund Managers’ Characteristics Stock Holding Characteristics and Double-Adjusted Returns of Equity Funds: Evidence from the Equity Mutual Funds in Taiwan

Abstract

This thesis focuses on applying the method proposed by Busse Jiang and Tang (2017) to measure the fund performance of domestic equity mutual funds in Taiwan In this study we examine seven categories of equity mutual funds in Taiwan including technology equity funds mid- and small-cap equity funds value equity funds general equity funds special purpose equity funds China equity funds OTC-listed equity funds We follow Busse et al (2017) and discuss the relationship among fund managers’ characteristics double-adjusted returns and stock holding characteristics Basing on the empirical results of this study we find that the stock holding characteristics can significantly explain the four-factor abnormal returns and some of the fund managers' characteristics are significantly related to the stock holding characteristics In particular male fund managers are more inclined to have stock holdings of smaller companies and a greater market-to-book ratio Managers who were better educated tend to hold stocks of a bigger market-to-book ratio Furthermore managers who manage their mutual funds for a longer period of time are more likely to hold larger-sized companies More experienced managers in the mutual fund industry tend to hold stocks of smaller companies a smaller market-to-book ratio and relatively worse raw returns in the past six months Last we also find that gender and tenure of the fund manager are both significantly related to the double-adjusted returns Female fund managers or managers who are in charge of the fund for more than 3 23 years respectively tend to generate a better double-adjusted return than the male competitors and those who manage the fund for less than 3 23 years

Date of Award	2019
Original language	English
Supervisor	Meng-Feng Yen (Supervisor)