学術雑誌論文

本学関連学会

text

大阪大学経済学. 2006, 55(4), p. 139-156

Investment Style of Mutual Funds : How is it Useful in Communicating Economic Trends to Investors

Lau, Wee-Yeap

英語

text

2006-03

論文

From the perspective of microeconomics theory, the existence of principal-agent relationship in financial market inherently breeds information asymmetries between fund managers and investors. Without the information of investment styles, investors face the issue of mismatch between their investment objectives and funds’ profiles. Style analysis by Sharpe (1988, 1992) is used to decompose the funds into style and selection components, and reclassify the funds into growth and value styles in order to mitigate the misclassification of fund objectives. Although the sample periods from May 1997 to May 2002 were during the onset of Asian financial crisis and post-crisis periods, this study shows that the information of investment style does communicate economic trends to unit trust investors. This study concludes that: First, during the period of economic recovery, value style funds recover faster from distressed economic environment than growth style funds. Second, growth style funds are more sensitive to negative economic events than value style funds. Third, during sustainable economic recovery periods, growth style funds exhibit recovery momentum better than value style funds. This study highlights the importance of investment styles in the context of Malaysian fund management industry.

10.18910/20186

20186

Investment Style of Mutual Funds : How is it Useful in Communicating Economic Trends to Investors

Lau, Wee-Yeap

大阪大学経済学会

英語

2006-03

大阪大学経済学

55

4

139

156

https://hdl.handle.net/11094/20186

10.18910/20186

https://doi.org/10.18910/20186