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題名 基金經理人撤換與積極管理之關係
The Relationship between Fund Manager Turnover and Active Management
作者 簡瀚廷
Chien, Han-Ting
貢獻者 陳鴻毅
Chen, Hong-Yi
簡瀚廷
Chien, Han-Ting
關鍵詞 積極比率
積極管理
經理人撤換
Active Share
Active management
Managerial replacement
日期 2023
上傳時間 2-Aug-2023 13:00:08 (UTC+8)
摘要 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.
參考文獻 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 Unpublished Working Paper, University of California, Berkeley.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.
描述 碩士
國立政治大學
財務管理學系
110357028
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357028
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 簡瀚廷zh_TW
dc.contributor.author (Authors) Chien, Han-Tingen_US
dc.creator (作者) 簡瀚廷zh_TW
dc.creator (作者) Chien, Han-Tingen_US
dc.date (日期) 2023en_US
dc.date.accessioned 2-Aug-2023 13:00:08 (UTC+8)-
dc.date.available 2-Aug-2023 13:00:08 (UTC+8)-
dc.date.issued (上傳時間) 2-Aug-2023 13:00:08 (UTC+8)-
dc.identifier (Other Identifiers) G0110357028en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/146289-
dc.description (描述) 碩士zh_TW
dc.description (描述) 國立政治大學zh_TW
dc.description (描述) 財務管理學系zh_TW
dc.description (描述) 110357028zh_TW
dc.description.abstract (摘要) 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。zh_TW
dc.description.abstract (摘要) 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.en_US
dc.description.tableofcontents Content
1. Introduction 1
2. Literature Review 2
2.1 Managerial Replacement 2
2.2 Active Management 4
2.3 Hypothesis Development 5
3. Methodology & Data 7
3.1 Measures of Active Management 7
3.2 Data 9
3.3 Regression Model 11
4. Empirical Results 13
4.1 Active Management and Managerial Replacement 13
4.2 Difference in Fund Style 16
5. Conclusion 20
6. Recommendations for Future Research 22
References 23


Content of Tables
Table 1 Summary Statistics 26
Table 2 Unequal Variance Independent Samples T-test 27
Table 3 Correlation 28
Table 4 The Number of Manager Replacement 29
Table 5 Logistic Regression Model (TODum) 30
Table 6 Logistic Regression Model (TODumP) 31
Table 7 Logistic Regression Model (TODumF) 32
Table 8 Logistic Regression Model with High-risk Dummy 33
Table 9 Multiple Regression Model (Future Return) 34
Table 10 Multiple Regression Model (Future Active Share) 35		zh_TW
dc.format.extent 1142891 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357028en_US
dc.subject (關鍵詞) 積極比率zh_TW
dc.subject (關鍵詞) 積極管理zh_TW
dc.subject (關鍵詞) 經理人撤換zh_TW
dc.subject (關鍵詞) Active Shareen_US
dc.subject (關鍵詞) Active managementen_US
dc.subject (關鍵詞) Managerial replacementen_US
dc.title (題名) 基金經理人撤換與積極管理之關係zh_TW
dc.title (題名) The Relationship between Fund Manager Turnover and Active Managementen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) 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.		zh_TW