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| Title: | 基金積極管理與經理人學歷對基金績效之影響
The Impact of Active Share and Managers' Education on Fund Performance |
| Authors: | 吳心茹
Wu, Hsin-Ju |
| Contributors: | 湛可南
吳心茹
Wu, Hsin-Ju |
| Keywords: | 積極管理
基金經理人學歷
聰明錢效應
Active Share
Fund Managers' Education
Smart Money Effect |
| Date: | 2025 |
| Issue Date: | 2025-07-01 14:52:02 (UTC+8) |
| Abstract: | 本研究旨在探討共同基金的積極管理程度與經理人學歷對基金績效之影響，本文以 Active Share 作為衡量積極管理程度的指標，並以是否具備 MBA 學歷設立虛擬變數，以區分經理人的教育背景。在探討基金績效前，首先分析投資人對積極管理程度與經理人學歷的偏好，實證結果顯示，投資人傾向選擇由具備 MBA 學歷且採用低積極選股策略的經理人所管理的基金；為進一步檢視投資人偏好與報酬間是否一致，本文探討積極管理程度及經理人學歷對基金績效的實質影響，結果顯示，適度提升積極選股的程度有助於創造較高的超額報酬與 CAPM 調整後報酬，而經理人是否擁有 MBA 學歷則對績效本身無顯著影響，然而，當經理人具備 MBA 學歷且採取適度積極的選股策略時，能創造較高的超額報酬；最後，研究進一步檢驗投資人是否能透過其偏好做出有效的投資策略，結果顯示，基於積極管理程度及學歷的偏好進行投資，未必能在未來獲得更佳的報酬，顯示市場中並不存在「聰明錢效應」，亦反映出投資人缺乏辨識贏家基金的能力。
This study aims to investigate the impact of active management and fund managers’ education on mutual fund performance. Active Share is employed to measure active management, while a dummy variable is constructed to indicate whether at least one manager holds an MBA degree. Before investigating fund performance, the study first analyzes investors’ preferences regarding active management and managers’ education. Empirical results show that investors prefer funds managed by MBA-educated managers who employ low levels of active management. To further assess whether investor preferences align with actual fund performance, this study examines the effects of active management and managers’ education on fund performance. The findings show that funds employing a moderate level of active management achieve higher excess returns and CAPM-based alpha. However, the possession of an MBA degree by fund managers does not have a effect on fund performance. Notably, when MBA-educated managers engage in moderate active management, they are able to enhance excess returns. Finally, the study further evaluates whether investors can translate their preferences into effective investment strategies. The results reveal that investors who make decisions based on preferences for active management or managers’ education do not achieve better future returns. This suggests the absence of a smart money effect in the market and indicates that investors do not have the ability to identify the winning funds. |
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| Description: | 碩士
國立政治大學
財務管理學系
112357030 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0112357030 |
| Data Type: | thesis |
| Appears in Collections: | [財務管理學系] 學位論文
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