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題名 共同基金同儕壓力對基金經理人撤換之影響
The Effect of Peer Pressure on Mutual Fund Manager Turnover作者 陳鈺中
Chen, Yu-Chung貢獻者 陳鴻毅
Chen, Hong-Yi
陳鈺中
Chen, Yu-Chung關鍵詞 共同基金
同儕壓力
基金經理人
基金經理人撤換
明星基金
Mutual fund
Peer pressure
Mutual fund manager
Fund manager turnover
Star funds日期 2022 上傳時間 1-Jul-2022 16:07:09 (UTC+8) 摘要 本研究旨在探討共同基金同儕壓力是否會對基金經理人的撤換產生影響。本研究以基金家族內是否有明星基金作為衡量同儕壓力的主要變數，並輔以基金家族內是否有其他相同投資類型之明星基金、基金家族內是否有多個其他相同投資類型之基金另外兩個變數作為衡量同儕壓力之因子。實證研究結果發現，共同基金同儕壓力顯著對基金經理人撤換機率產生正向影響。當基金經理人面臨較高的同儕壓力時，其被撤換的機率亦會較高。本研究亦發現同儕壓力會增加基金績效和基金經理人撤換間的負向關係，表示當基金經理人面臨較高的同儕壓力而其管理的基金又績效不佳時，該基金經理人將有較高的機率被撤換。本研究將基金經理人的撤換分為部分撤換與完全撤換兩種形式，進而利用多元羅吉斯回歸探討同儕壓力與其他控制變數對基金經理人撤換機率的影響。實證結果發現，無論是哪種撤換類型，當基金經理人面臨較高的同儕壓力時，其被撤換的機率亦會較高。本研究亦發現同儕壓力會增加基金流和基金經理人間的負向關係，表示當基金經理人面臨較高的同儕壓力而其管理的基金面臨資金流出時，該基金經理人將有較高的機率被撤換，此結果僅出現在基金經理人部分撤換類型的決定中。
This study explores the effect of peer pressure within the mutual fund family on mutual fund manager turnover. Specifically, this study introduces three measures to evaluate the peer competition of a fund, the existence of a star fund in the same fund family as the fund, the existence of a star fund at the objective level in the same fund family as the fund, and the existence of affiliated funds with the same objective as the fund. Empirical results show that peer pressure has a significant impact on the probability of mutual fund manager turnover. This indicates that a fund manager is more likely to be replaced if the fund manager suffers a higher peer pressure. In addition, this study finds that peer pressure can enhance the negative relationship between fund manager turnover and fund performance, indicating that a fund manager is more likely to be replaced if he/she experiences a poor performance under the higher peer pressure condition. To examine the impact of peer pressure on different decisions of fund manager replacement, this study further separates the sample of fund manager turnover into partial replacement and all replacement. Results from the multinomial logistic regression show that a fund manager is more likely to be replaced if the fund manager suffers a higher peer pressure, either of which turnover types. Besides, the results also show weak evidence that peer pressure can enhance the negative relationship between fund manager turnover and fund flow, indicating that a fund manager is more likely to be replaced if the fund experiences outflow under the higher peer pressure condition.參考文獻 Brown, D. P., & Wu, Y. (2016). Mutual fund flows and cross‐fund learning within families. The Journal of Finance, 71(1), 383-424.Brown, K. C., Harlow, W. V., & 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.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.Investment Company Institute. (2022). 2022 Investment company fact book, a review of trends and activities in the U.S. investment company industry. Retrieved from https://www.icifactbook.org/Kempf, A., & Ruenzi, S. (2008). Tournaments in mutual-fund families. The Review of Financial Studies, 21(2), 1013-1036.Khorana, A. (1996). Top management turnover an empirical investigation of mutual fund managers. Journal of Financial Economics, 40(3), 403-427.Khorana, A., & Servaes, H. (2004). Conflicts of interest and competition in the mutual fund industry. Available at SSRN 240596.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.Nanda, V., Wang, Z. J., & Zheng, L. (2004). Family values and the star phenomenon: Strategies of mutual fund families. The Review of Financial Studies, 17(3), 667-698.Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622.Zhao, X. (2005). Exit decisions in the US mutual fund industry. The Journal of Business, 78(4), 1365-1402. 描述 碩士
國立政治大學
財務管理學系
109357016資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109357016 資料類型 thesis dc.contributor.advisor 陳鴻毅 zh_TW dc.contributor.advisor Chen, Hong-Yi en_US dc.contributor.author (Authors) 陳鈺中 zh_TW dc.contributor.author (Authors) Chen, Yu-Chung en_US dc.creator (作者) 陳鈺中 zh_TW dc.creator (作者) Chen, Yu-Chung en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Jul-2022 16:07:09 (UTC+8) - dc.date.available 1-Jul-2022 16:07:09 (UTC+8) - dc.date.issued (上傳時間) 1-Jul-2022 16:07:09 (UTC+8) - dc.identifier (Other Identifiers) G0109357016 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/140588 - 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) 109357016 zh_TW dc.description.abstract (摘要) 本研究旨在探討共同基金同儕壓力是否會對基金經理人的撤換產生影響。本研究以基金家族內是否有明星基金作為衡量同儕壓力的主要變數，並輔以基金家族內是否有其他相同投資類型之明星基金、基金家族內是否有多個其他相同投資類型之基金另外兩個變數作為衡量同儕壓力之因子。實證研究結果發現，共同基金同儕壓力顯著對基金經理人撤換機率產生正向影響。當基金經理人面臨較高的同儕壓力時，其被撤換的機率亦會較高。本研究亦發現同儕壓力會增加基金績效和基金經理人撤換間的負向關係，表示當基金經理人面臨較高的同儕壓力而其管理的基金又績效不佳時，該基金經理人將有較高的機率被撤換。本研究將基金經理人的撤換分為部分撤換與完全撤換兩種形式，進而利用多元羅吉斯回歸探討同儕壓力與其他控制變數對基金經理人撤換機率的影響。實證結果發現，無論是哪種撤換類型，當基金經理人面臨較高的同儕壓力時，其被撤換的機率亦會較高。本研究亦發現同儕壓力會增加基金流和基金經理人間的負向關係，表示當基金經理人面臨較高的同儕壓力而其管理的基金面臨資金流出時，該基金經理人將有較高的機率被撤換，此結果僅出現在基金經理人部分撤換類型的決定中。 zh_TW dc.description.abstract (摘要) This study explores the effect of peer pressure within the mutual fund family on mutual fund manager turnover. Specifically, this study introduces three measures to evaluate the peer competition of a fund, the existence of a star fund in the same fund family as the fund, the existence of a star fund at the objective level in the same fund family as the fund, and the existence of affiliated funds with the same objective as the fund. Empirical results show that peer pressure has a significant impact on the probability of mutual fund manager turnover. This indicates that a fund manager is more likely to be replaced if the fund manager suffers a higher peer pressure. In addition, this study finds that peer pressure can enhance the negative relationship between fund manager turnover and fund performance, indicating that a fund manager is more likely to be replaced if he/she experiences a poor performance under the higher peer pressure condition. To examine the impact of peer pressure on different decisions of fund manager replacement, this study further separates the sample of fund manager turnover into partial replacement and all replacement. Results from the multinomial logistic regression show that a fund manager is more likely to be replaced if the fund manager suffers a higher peer pressure, either of which turnover types. Besides, the results also show weak evidence that peer pressure can enhance the negative relationship between fund manager turnover and fund flow, indicating that a fund manager is more likely to be replaced if the fund experiences outflow under the higher peer pressure condition. en_US dc.description.tableofcontents Chapter 1 Introduction 1Chapter 2 Literature Review 52.1 Peer Pressure in the Fund Family 52.2 Factors of Mutual Fund Manager Turnover 62.3 Mutual Fund Manager Turnover and Fund Risk 7Chapter 3 Data and Methodology 103.1 Data 103.2 Summary Statistics 133.3 Methodology 14Chapter 4 Empirical Results 174.1 Logit Model Estimates for Fund Manager Turnover – Simple Model 174.2 Logit Model Estimates for Fund Manager Turnover – Full Model 194.3 Multinomial Logit Model Estimates for All and Partial Fund Manager Turnover Type 21Chapter 5 Conclusion 245.1 Conclusion 245.2 Limitations and further research 26References 28Appendix 30 zh_TW dc.format.extent 1348501 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109357016 en_US dc.subject (關鍵詞) 共同基金 zh_TW dc.subject (關鍵詞) 同儕壓力 zh_TW dc.subject (關鍵詞) 基金經理人 zh_TW dc.subject (關鍵詞) 基金經理人撤換 zh_TW dc.subject (關鍵詞) 明星基金 zh_TW dc.subject (關鍵詞) Mutual fund en_US dc.subject (關鍵詞) Peer pressure en_US dc.subject (關鍵詞) Mutual fund manager en_US dc.subject (關鍵詞) Fund manager turnover en_US dc.subject (關鍵詞) Star funds en_US dc.title (題名) 共同基金同儕壓力對基金經理人撤換之影響 zh_TW dc.title (題名) The Effect of Peer Pressure on Mutual Fund Manager Turnover en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Brown, D. P., & Wu, Y. (2016). Mutual fund flows and cross‐fund learning within families. The Journal of Finance, 71(1), 383-424.Brown, K. C., Harlow, W. V., & 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.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.Investment Company Institute. (2022). 2022 Investment company fact book, a review of trends and activities in the U.S. investment company industry. Retrieved from https://www.icifactbook.org/Kempf, A., & Ruenzi, S. (2008). Tournaments in mutual-fund families. The Review of Financial Studies, 21(2), 1013-1036.Khorana, A. (1996). Top management turnover an empirical investigation of mutual fund managers. Journal of Financial Economics, 40(3), 403-427.Khorana, A., & Servaes, H. (2004). Conflicts of interest and competition in the mutual fund industry. Available at SSRN 240596.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.Nanda, V., Wang, Z. J., & Zheng, L. (2004). Family values and the star phenomenon: Strategies of mutual fund families. The Review of Financial Studies, 17(3), 667-698.Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622.Zhao, X. (2005). Exit decisions in the US mutual fund industry. The Journal of Business, 78(4), 1365-1402. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200598 en_US
