Loading...
|
Please use this identifier to cite or link to this item:
https://nccur.lib.nccu.edu.tw/handle/140.119/146289
|
| Title: | 基金經理人撤換與積極管理之關係
The Relationship between Fund Manager Turnover and Active Management |
| Authors: | 簡瀚廷
Chien, Han-Ting |
| Contributors: | 陳鴻毅
Chen, Hong-Yi
簡瀚廷
Chien, Han-Ting |
| Keywords: | 積極比率
積極管理
經理人撤換
Active Share
Active management
Managerial replacement |
| Date: | 2023 |
| Issue Date: | 2023-08-02 13:00:08 (UTC+8) |
| Abstract: | 本文以美國市場為例，探討共同基金經理人的撤換和積極管理之間的關係。此研究利用積極比率做為衡量積極管理的因子，預期積極比率與經理人撤換存在負項關係。後續進一步挑選出高風險類型的基金，來了解在基金的投資目的為追求高風險高報酬的情況下，是否會使積極管理對經理人撤換產生更強烈的影響。實證結果表明，當經理人越積極的選股，且績效表現越好時，被撤換的機率越低；相反地，當積極選股的結果為績效變差時，其被撤換的機率則會提高。而在將基金區分為高風險基金與其他基金後，本文發現高風險基金的確會更在意經理人是否積極的管理，若高風險基金的經理人越不積極的管理基金，其被撤換的機率將比其他基金類型還要高。此外，本文也針對在撤換發生後，基金的績效表現是否會顯著成長。結果表明，新上任的經理人並不會為基金帶來更好的報酬，且積極比率也不會出現顯著的提升。
This study examines the relationship between fund manager turnover and active management in the context of the U.S. market. The research utilizes Active Share as a measure of active management and expects a negative association between Active Share and manager turnover. Furthermore, it investigates whether the impact of active management on manager turnover is more pronounced in high-risk funds, where the investment objective is to pursue high-risk, high-return outcomes. The empirical results reveal that as fund managers exhibit greater stock selection activity and achieve better performance, their likelihood of being replaced decreases. Conversely, when active stock selection leads to deteriorating performance, the probability of manager turnover increases. Additionally, when differentiating funds into high-risk funds and other funds, the study finds that high-risk funds are more sensitive to the level of manager activity. In high-risk funds, lower levels of manager activity correspond to higher probabilities of manager turnover compared to other fund types. Furthermore, the study examines post-replacement performance and finds no significant improvement in fund returns after a manager change. Active Share also does not exhibit a significant increase following a manager change. |
| Reference: | Berk, J. B., & Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112(6), 1269-1295.
Berk, J., & Xu, J. (2004). Persistence and fund flows of the worst performing mutual funds. Unpublished Working Paper, University of California, Berkeley.
Bessler, W., Blake, D., Lückoff, P., & Tonks, I. (2018). Fund flows, manager changes, and performance persistence. Review of Finance, 22(5), 1911-1947.
Brown, S. J., & Goetzmann, W. N. (1995). Performance persistence. The Journal of Finance, 50(2), 679-698.
Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
Chen, H. L., Jegadeesh, N., & Wermers, R. (2000). The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis, 35(3), 343-368.
Chevalier, J., & Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of Political Economy, 105(6), 1167-1200.
Cremers, K. M., & Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. The Review of Financial Studies, 22(9), 3329-3365.
Cremers, K. M., Fulkerson, J. A., & Riley, T. B. (2022). Benchmark discrepancies and mutual fund performance evaluation. Journal of Financial and Quantitative Analysis, 57(2), 543-571.
Cremers, M. (2017). Active share and the three pillars of active management: Skill, conviction, and opportunity. Financial Analysts Journal, 73(2), 61-79.
Cremers, M., & Pareek, A. (2016). Patient capital outperformance: The investment skill of high Active Share managers who trade infrequently. Journal of Financial Economics, 122(2), 288-306.
Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). Indexing and active fund management: International evidence. Journal of Financial Economics, 120(3), 539-560.
Frazzini, A., Friedman, J., & Pomorski, L. (2016). Deactivating Active Share. Financial Analysts Journal, 72(2), 14-21.
Ghalke, A., & Kulkarni, S. (2022). Mutual fund manager turnover: an empirical investigation of performance. International Journal of Managerial Finance, 18(5), 869-887.
Hendricks, D., Patel, J., & Zeckhauser, R. (1993). Hot hands in mutual funds: Short‐run persistence of relative performance, 1974–1988. The Journal of Finance, 48(1), 93-130.
Hu, F., Hall, A. R., & Harvey, C. R. (2000). Promotion or demotion? An empirical investigation of the determinants of top mutual fund manager change. Manuscript, Duke University.
Hu, P., Kale, J. R., Pagani, M., & Subramanian, A. (2011). Fund flows, performance, managerial career concerns, and risk taking. Management Science, 57(4), 628-646.
Khorana, A. (1996). Top management turnover an empirical investigation of mutual fund managers. Journal of Financial Economics, 40(3), 403-427.
Khorana, A. (2001). Performance changes following top management turnover: Evidence from open-end mutual funds. Journal of Financial and Quantitative Analysis, 36(3), 371-393.
Kostovetsky, L., & Warner, J. B. (2015). You’re fired! New evidence on portfolio manager turnover and performance. Journal of Financial and Quantitative Analysis, 50(4), 729-755.
Li, C. W., Tiwari, A., & Tong, L. (2022). Mutual fund tournaments and fund Active Share. Journal of Financial Stability, 63, 101083.
Petajisto, A. (2013). Active Share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93.
Wermers, R. (2003). Is money really “smart”? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. Working Paper, University of Maryland. |
| Description: | 碩士
國立政治大學
財務管理學系
110357028 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0110357028 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
|
Files in This Item:
| File |
Description |
Size | Format | |
|---|
| 702801.pdf | | 1116Kb | Adobe PDF2 | 16 | View/Open |
|
All items in 政大典藏 are protected by copyright, with all rights reserved.
|
