การวิเคราะห์ผลการดำเนินงาน ความสม่ำเสมอและปริมาณเงินที่ไหลเข้าออกกองทุนรวมประเภทหุ้นทุนในประเทศไทย / จักรมนต์ นิติพน = An analysis of performance, persistence and flows of Thai equity funds / Chakramon Nitibhon
This paper studies the performance of Thai equity funds. I find that equity funds, on average, do not provide positive and significant abnormal returns from the market, though they provide higher Sharpe measures. The subsample of equity funds, a unique dataset, suggests that funds provide net returns of 19.63 percent per year. Of the 19.63 percent, 0.79 percent is due to the managers' stock picking talents, whereas the timing abilities account for 6 percent. However, when the abnormal returns earned during the earnings announcement date of stocks held by the funds are analyzed, the stock selection skills of managers diminish. I also find that momentum on the prior year basis is not a key determinant of funds’ returns. Nonetheless, the short-term momentum of up to the previous quarter could explain the funds' returns. The momentum funds, which load up on short-term momentum stocks, perform better than the contrarians. There is no persistence in Thai equity funds. This year’s winning funds are likely to be next year’s losers. Flows analysis also suggests that investors could not differentiate good managers from bad managers. Furthermore, flows are not induced by the historical returns of funds. Funds that receive the highest inflows could not generate the highest returns. This indicates that investors are neither smart nor well informed.