Persistance tournament and liquidity timing ability : evidence from bank affiliated asset management company

Name: Woraphon Wattanatorn

keyword: Mutual fund tournament

LCSH: Mutual funds -- Thailand

; Risk-taking behavior utual funds

LCSH: Liquidity (Economics)

; Bank-related funds

; Bank affiliated funds

; Timing ability

; Liquidity timing

; Higher moment

; Coskewness

; Mutual funds

Abstract: This dissertation examine two important issues in mutual fund industry. The first issue is about the risk-taking behavior in mutual fund tournament. The study begins with the improvement of the model in order to capture the risk-taking behavior of mutual funds in four AEC markets ; namely, Indonesia, Malaysia, Singapore, and Thailand. I find the different level of tournament behavior within these four markets. Additionally, as the mutual funds can be classified by the bank-mutual fund relationship, I improve the model to demonstrate the different risk-taking behavior between two groups of funds. I find the effect of this bank-mutual fund relationship on the risk-taking behavior of mutual funds by showing that bank-related funds expose more to risk-taking behavior in mutual fund tournament than non-bank-related funds. Also, this study further scrutinizes the persistence of this risk-taking behavior of mutual funds in different market states using a Thai mutual fund sample. Furthermore, this study analyzes the effect of bank-mutual fund relationship on risk-taking behavior in mutual fund tournament in different market states. The result supports the tournament hypothesis among bank-related funds regardless the market states. The second issues is the mutual fund performance. I improves the traditional timing model by introducing liquidity timing. As the return in emerging markets are non-normal, I further improve the model and coskewness factor to match the higher moment required for emerging market study. In order to find the liquidity timing ability, I test the model with the sample of Thai mutual funds. The performance of mutual funds is analyzed at cross-sectional and portfolio level. The finding suggest the liquidity timing ability exist in Thai mutual industry. Furthermore, this dissertation further analyzes the different liquidity timing between Bank-related funds and non-bank-related funds

Thammasat University. Thammasat University Library

Address: BANGKOK

Email: preserv@tu.ac.th

Name: Chaiyuth Padungsaksawasdi

Role: advisor

Created: 2015

Modified: 2021-10-08

Issued: 2021-10-08

วิทยานิพนธ์/Thesis

application/pdf

DOI: 10.14457/TU.the.2015.37

eng

DegreeName: Doctor of Philosophy

Level: Doctoral Degree

Descipline: Business Administration

Grantor: Thammasat University

©copyrights Thammasat University

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