台灣股票型基金敏感度與經理人誘因之分析－LA/AIDS模型與GME估計法之運用

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Title:	台灣股票型基金敏感度與經理人誘因之分析－LA/AIDS模型與GME估計法之運用
Other Titles:	An Analysis of Sensitivity and Fund Manager's Incentives: A LA/AIDS Model with an Application to Equity Funds in Taiwan
Authors:	陳乃禎 Chen, Nai-chen
Contributors:	經濟學研究所邱魏頌正 Song-Zan ChiouWei
Keywords:	incentive;sensitivity;LA/AIDS model;category equity fund;GME method
Date:	2004
Issue Date:	2015-06-17 15:08:15 (UTC+8)
Abstract:	In this paper, we use a theoretical model, the Linear Approximated Almost Ideal Demand System (LA/AIDS), to reexamine the sensitivities of category equity funds with different risk-return profiles and the incentives offered to equity fund managers in Taiwan. By applying the Generalized Maximization Entropy (GME) method, expenditure elasticities indicate that an increase in expenditure have positive impacts on asset allocation, substitution elasticities show that Technology, Value and Special equity funds appear as complementary categories; moreover, General and Special equity funds appear as substitutes but serve as complements for M&S and OTC equity funds, own-price elasticities are all negative while the sign of cross-price elasticities are mixed. We also find that Technology, Value, Special and OTC equity fund managers have positive incentives to optimize their performances which help to explain the adoption of asset based schemes. However, managers of M&S and General equity fund managers have no incentives to optimize their performance under asset based scheme, thus we suggest the authorities to adopt the price based scheme.
Appears in Collections:	[Department of Cultural & Creative Enterprise Management] Disserations and Theses(M. A. Program in Leisure Industry)

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