共同基金之顧客效果-從401(k)計畫之基金、退休股份、及目標期限基金等來看

The first-year topic is related to the decision-making for a fund to adopt retirement fund structure. Nanda, Wang, and Zheng (2009)’s model in the setting of multiple-class fund structure will be extended to account for five factors related to the benefits and costs for a fund open to 401(k) plans or issuing a retirement share class. These five factors include (1) the increase in periodical cash inflows with relatively long investment horizons, (2) the decrease in the likelihood for a fund to engage in uninformed, liquidity-motivated trading, (3) the increase in performance evaluation from 401(k) plan sponsors, (4) decreasing returns to scale, and (5) the increase in monitoring costs. The second-year topic investigates the investor externality problem faced by target date funds (TDFs) investors. In particular, TDFs are usually structured as fund of family funds. This fund-of-family funds structure of TDFs mixes investors with different investment horizons in a constituent fund. Any fire sale caused by extreme redemptions in constituent funds will affect the subsequent performance of constituent funds. It is found that such cost spillovers to TDFs, suggesting that constituent fund investors‘ liquidity demands impose negative externality on the target date fund investors. However, such negative investor externality is mitigated when the constituent funds are institutional-oriented funds. The third-year topic investigates the characteristics associated with the constituent funds’ survival probability in TDFs. Constituent funds with lower return performance or younger age are found to exhibit the higher hazard rate (lower survival probability) to continue as part of TDFs. But the negative investor externality of constituent funds is not associated with the hazard rate. This finding suggests that after the constituent funds are selected for TDFs, the adverse effect of negative investor externality may be ignored by relevant TDF stakeholders.