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題名 共同基金經理人撤換與積極管理關係之研究
A Study of the Relationship between Mutual Fund Managerial Replacement and Active Management
作者 伏家宜
Fu, Chia-Yi
貢獻者 陳鴻毅
伏家宜
Fu, Chia-Yi
關鍵詞 積極比率
積極管理
經理人撤換
經理人行為
Active share
Active management
Managerial replacement
Managers’ behavior
日期 2018
上傳時間 3-Jul-2018 17:24:52 (UTC+8)
摘要 本研究主要探討共同基金經理人撤換與積極管理之間的關係。利用積極比率衡量基金經理人的積極管理程度，本研究預期基金之積極比率與經理人被撤換的機率是呈反向關係。實證結果顯示積極比率在基金經理人撤換前並無顯著改變，即基金經理人無法提前一年得知自己將被撤換而改變其基金管理之積極程度。此外，邏輯斯模型結果顯示一般情況下基金的積極比率越低，基金經理人被撤換的機率較高。然而，若基金經理人積極地管理但基金績效不彰，其被撤換機率亦較高。撤換過後之新的基金經理人若愈積極管理，其基金績效將愈高。
This paper examines the relationship between the active management and the managerial replacement of mutual funds. I introduce the active share, the extent how portfolio holdings deviate from its benchmark holdings, to measure the degree of active management of a mutual fund. Empirical results show that there is no significant change in active share before the managerial replacement for a mutual fund, indicating that the fund manager is not aware of the replacement and actively manage the portfolio. In addition, results from logistic regressions show that the probability of managerial replacement is negatively associated with the active share. However, fund managers who manage their portfolios more actively with poor performance are more likely to be replaced. Moreover, new fund managers can obtain better fund performance if they manage their portfolios more actively.
參考文獻 Agarwal, V., Gay, G. D., and Ling, L. (2014). Window dressing in mutual funds. The Review of Financial Studies, 27(11), 3133-3170.
Amihud, Y., and Goyenko, R. (2013). Mutual fund`s R 2 as predictor of performance. The Review of Financial Studies, 26(3), 667-694.
Berk, J., and Xu, J. (2004). Persistence and fund flows of the worst performing mutual funds. Unpublished Working Paper, University of California, Berkeley.
Blake, C. R., and Morey, M. R. (2000). Morningstar ratings and mutual fund performance. Journal of Financial and Quantitative Analysis, 35(3), 451-483.
Brown, K. C., Harlow, W. V., and Starks, L. T. (1996). Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry. The Journal of Finance, 51(1), 85-110.
Brown, S. J., and 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, J., Hong, H., Huang, M., and Kubik, J. D. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review, 94(5), 1276-1302.
Chen, H. L., Jegadeesh, N., and 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., and Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of Political Economy, 105(6), 1167-1200.
Chevalier, J., and Ellison, G. (1999). Career concerns of mutual fund managers. The Quarterly Journal of Economics, 114(2), 389-432.
Cremers, K. M., and Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. The Review of Financial Studies, 22(9), 3329-3365.
Cuthbertson, K., Nitzsche, D., and O`Sullivan, N. (2010). The market timing ability of UK mutual funds. Journal of Business Finance & Accounting, 37(1‐2), 270-289.
Daniel, K., Grinblatt, M., Titman, S., and Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of Finance, 52(3), 1035-1058.
Grinold, R. C., and Kahn, R. N. (2000). Active portfolio management. 2nd ed. New York: Mcgraw-Hill.
Hendricks, D., Patel, J., and 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., and 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., and Subramanian, A. (2011). Fund flows, performance, managerial career concerns, and risk taking. Management Science, 57(4), 628-646.
Ippolito, R. A. (1992). Consumer reaction to measures of poor quality: Evidence from the mutual fund industry. The Journal of Law and Economics, 35(1), 45-70.
Kao, G. W., Cheng, L. T., and Chan, K. C. (1998). International mutual fund selectivity and market timing during up and down market conditions. Financial Review, 33(2), 127-144.
Khorana, A. (1996). Top management turnover an empirical investigation of mutual fund managers. Journal of Financial Economics, 40(3), 403-427.
Kostovetsky, L., and 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.
Ma, L. (2013). Mutual fund flows and performance: A survey of empirical findings. Working Paper, Humboldt-Universität zu Berlin.
Matallín‐Sáez, J. C. (2006). Seasonality, market timing and performance amongst benchmarks and mutual fund evaluation. Journal of Business Finance & Accounting, 33(9‐10), 1484-1507.
Osinga, B., Schauten, M., and Zwinkels, R. C. (2017). Timing is Money: The Factor Timing Ability of Hedge Fund Managers, Working Paper, Vrije Universiteit Amsterdam.
Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93.
Roll, R. (1992). A Mean/Variance Analysis of Tracking Error. The Journal of Portfolio Management, 18(4), 13-22.
Scharfstein, D. S., and Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479.
Sirri, E. R., and Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622.
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
105357013
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0105357013
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.author (Authors) 伏家宜zh_TW
dc.contributor.author (Authors) Fu, Chia-Yien_US
dc.creator (作者) 伏家宜zh_TW
dc.creator (作者) Fu, Chia-Yien_US
dc.date (日期) 2018en_US
dc.date.accessioned 3-Jul-2018 17:24:52 (UTC+8)-
dc.date.available 3-Jul-2018 17:24:52 (UTC+8)-
dc.date.issued (上傳時間) 3-Jul-2018 17:24:52 (UTC+8)-
dc.identifier (Other Identifiers) G0105357013en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/118226-
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) 105357013zh_TW
dc.description.abstract (摘要) 本研究主要探討共同基金經理人撤換與積極管理之間的關係。利用積極比率衡量基金經理人的積極管理程度，本研究預期基金之積極比率與經理人被撤換的機率是呈反向關係。實證結果顯示積極比率在基金經理人撤換前並無顯著改變，即基金經理人無法提前一年得知自己將被撤換而改變其基金管理之積極程度。此外，邏輯斯模型結果顯示一般情況下基金的積極比率越低，基金經理人被撤換的機率較高。然而，若基金經理人積極地管理但基金績效不彰，其被撤換機率亦較高。撤換過後之新的基金經理人若愈積極管理，其基金績效將愈高。zh_TW
dc.description.abstract (摘要) This paper examines the relationship between the active management and the managerial replacement of mutual funds. I introduce the active share, the extent how portfolio holdings deviate from its benchmark holdings, to measure the degree of active management of a mutual fund. Empirical results show that there is no significant change in active share before the managerial replacement for a mutual fund, indicating that the fund manager is not aware of the replacement and actively manage the portfolio. In addition, results from logistic regressions show that the probability of managerial replacement is negatively associated with the active share. However, fund managers who manage their portfolios more actively with poor performance are more likely to be replaced. Moreover, new fund managers can obtain better fund performance if they manage their portfolios more actively.en_US
dc.description.tableofcontents 1 Introduction 1
2 Literature Review 3
2.1 Active Management and Measures of Active Management 3
2.2 The Incentives of Managerial Replacement 5
2.3 Fund Manager’s Behavior 6
2.4 Performance Persistence 7
2.5 Hypothesis Development 8
3 Data and Methodology 10
3.1 Methodology 10
3.1.1 The Measure of Active Management 10
3.1.2 The Measure of Fund Performance and Flow 10
3.1.3 Logistic Regression Specification 11
3.2 Data 12
3.2.1 Source of Data 12
3.2.2 The Selection of Sample Data 12
4 Empirical Results 14
4.1 Managers’ Behavior before and after the Replacement Year 14
4.2 The Incentives of Managerial Replacement 15
4.3 Active Share and Performance Persistence 17
5 Conclusion and Recommendation 20
5.1 Conclusion 20
5.2 Recommendations for Future Research 21
References 22
Appendix A Active Share in Different Fund Investment Objectives 33
Appendix B List of Fund Objective Code 34		zh_TW
dc.format.extent 610662 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0105357013en_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) 經理人行為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.subject (關鍵詞) Managers’ behavioren_US
dc.title (題名) 共同基金經理人撤換與積極管理關係之研究zh_TW
dc.title (題名) A Study of the Relationship between Mutual Fund Managerial Replacement and Active Managementen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Agarwal, V., Gay, G. D., and Ling, L. (2014). Window dressing in mutual funds. The Review of Financial Studies, 27(11), 3133-3170.
Amihud, Y., and Goyenko, R. (2013). Mutual fund`s R 2 as predictor of performance. The Review of Financial Studies, 26(3), 667-694.
Berk, J., and Xu, J. (2004). Persistence and fund flows of the worst performing mutual funds. Unpublished Working Paper, University of California, Berkeley.
Blake, C. R., and Morey, M. R. (2000). Morningstar ratings and mutual fund performance. Journal of Financial and Quantitative Analysis, 35(3), 451-483.
Brown, K. C., Harlow, W. V., and Starks, L. T. (1996). Of tournaments and temptations: An analysis of managerial incentives in the mutual fund industry. The Journal of Finance, 51(1), 85-110.
Brown, S. J., and 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, J., Hong, H., Huang, M., and Kubik, J. D. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review, 94(5), 1276-1302.
Chen, H. L., Jegadeesh, N., and 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., and Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of Political Economy, 105(6), 1167-1200.
Chevalier, J., and Ellison, G. (1999). Career concerns of mutual fund managers. The Quarterly Journal of Economics, 114(2), 389-432.
Cremers, K. M., and Petajisto, A. (2009). How active is your fund manager? A new measure that predicts performance. The Review of Financial Studies, 22(9), 3329-3365.
Cuthbertson, K., Nitzsche, D., and O`Sullivan, N. (2010). The market timing ability of UK mutual funds. Journal of Business Finance & Accounting, 37(1‐2), 270-289.
Daniel, K., Grinblatt, M., Titman, S., and Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of Finance, 52(3), 1035-1058.
Grinold, R. C., and Kahn, R. N. (2000). Active portfolio management. 2nd ed. New York: Mcgraw-Hill.
Hendricks, D., Patel, J., and 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., and 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., and Subramanian, A. (2011). Fund flows, performance, managerial career concerns, and risk taking. Management Science, 57(4), 628-646.
Ippolito, R. A. (1992). Consumer reaction to measures of poor quality: Evidence from the mutual fund industry. The Journal of Law and Economics, 35(1), 45-70.
Kao, G. W., Cheng, L. T., and Chan, K. C. (1998). International mutual fund selectivity and market timing during up and down market conditions. Financial Review, 33(2), 127-144.
Khorana, A. (1996). Top management turnover an empirical investigation of mutual fund managers. Journal of Financial Economics, 40(3), 403-427.
Kostovetsky, L., and 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.
Ma, L. (2013). Mutual fund flows and performance: A survey of empirical findings. Working Paper, Humboldt-Universität zu Berlin.
Matallín‐Sáez, J. C. (2006). Seasonality, market timing and performance amongst benchmarks and mutual fund evaluation. Journal of Business Finance & Accounting, 33(9‐10), 1484-1507.
Osinga, B., Schauten, M., and Zwinkels, R. C. (2017). Timing is Money: The Factor Timing Ability of Hedge Fund Managers, Working Paper, Vrije Universiteit Amsterdam.
Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93.
Roll, R. (1992). A Mean/Variance Analysis of Tracking Error. The Journal of Portfolio Management, 18(4), 13-22.
Scharfstein, D. S., and Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479.
Sirri, E. R., and Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622.
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
dc.identifier.doi (DOI) 10.6814/THE.NCCU.Finance.001.2018.F07-