標題: Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?
作者: Hu, Jin-Li
Chang, Tzu-Pu
Chou, Ray Yeutien
經營管理研究所
Institute of Business and Management
關鍵字: Diversification;Market conditions;Mutual funds;Non-monotonic effect;Stochastic frontier;Crisis
公開日期: 1-Feb-2014
摘要: This paper investigates the non-monotonic and non-linear effect of diversification on mutual fund performance. We apply a frontier-based efficiency measure, the stochastic frontier approach, to estimate fund efficiency and the benefit of diversification. The empirical results indicate that concentration strategy may not be appropriate for fund managers, and the benefit of diversification disappears or negatively affects performance when a fund holds too large a number of different stocks. Moreover, this paper examines whether market conditions moderate the relation between diversification and fund performance. The result shows that the benefit of diversification increases within low market return, high market volatility, and financial crisis, implying that the number of stocks needed to achieve a well-diversified portfolio increases under such market conditions.
URI: http://dx.doi.org/10.1007/s11123-012-0331-x
http://hdl.handle.net/11536/23893
ISSN: 0895-562X
DOI: 10.1007/s11123-012-0331-x
期刊: JOURNAL OF PRODUCTIVITY ANALYSIS
Volume: 41
Issue: 1
起始頁: 141
結束頁: 151
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