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| Title: | 基金積極管理與市場波動度對經理人投資決策之影響
The Impact of Active Fund Management and Market Volatility on Managerial Investment Decisions |
| Authors: | 林彥宇
LIN, YEN-YU |
| Contributors: | 陳鴻毅
Chen, Hong-Yi
林彥宇
LIN, YEN-YU |
| Keywords: | 積極比率
積極管理
經理人行為
迎合行為
Active ratio
Active management
Manager behavior
Catering behavior |
| Date: | 2024 |
| Issue Date: | 2024-08-05 13:43:39 (UTC+8) |
| Abstract: | 本研究利用積極比率衡量經理人管理基金的主動程度，探討共同基金主動管理程度與經理人和投資人決策的關係。實證結果發現投資人在市場波動時，有投資高度積極管理基金之傾向，該偏好能在未來的一年內帶來更好的績效。此外，本研究進一步探討經理人是否有迎合投資人行為，研究結果顯示當市場波動時，經理人會再提高原先即為較積極管理之基金的主動程度，與投資人偏好一致。最後，研究發現此調整在未來一年內的績效顯著優於其他基金，證明經理人調整積極比率並非單純為迎合投資人偏好。
This study uses active share to measure the extent of managers' active management of funds, exploring the relationship between the degree of active management of mutual funds and the decisions of managers and investors. The empirical results show that investors tend to invest in funds with more active management during the high VIX period, and this preference can lead to better performance in the following year. Moreover, the study explores whether managers cater to investor preferences. Empirical results show that managers tend to further increase the active management level of already actively managed funds during the high VIX period, aligning with investor preferences. Finally, this study finds that this catering behavior significantly outperforms other funds in terms of performance in the following year, demonstrating that managers adjust the active ratio not merely to cater to investor preferences. |
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Luo, M. (2016). Financial product design and catering: Evidence from the global mutual fund industry. Journal of Financial Economics, 123(2), 456-474.
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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
111357026 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0111357026 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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