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題名 共同基金間競爭與社會責任投資基金經理人撤換之影響
The Effect of Mutual Fund Competition on SRI Fund Manager Turnover作者 謝承劭
Hsieh, Cheng-Shao貢獻者 陳鴻毅
Chen, Hong-Yi
謝承劭
Hsieh, Cheng-Shao關鍵詞 共同基金競爭
社會責任投資基金
基金經理人撤換
Fund competition
SRI fund
Fund manager turnover日期 2022 上傳時間 1-Aug-2022 17:19:28 (UTC+8) 摘要 隨著共同基金產業規模的不斷擴大，共同基金面臨更多來自同類型基金的競爭，另外，公眾對於社會責任投資（SRI）關注度也越來越高。因此，本研究以建立三維空間方法來評估每個共同基金的基金競爭狀況，並探討基金競爭和SRI基金在共同基金經理人撤換中的角色。在三維空間方法中，基金的競爭對手將會依各基金有所不同，並且藉由計算每一基金不同年度的競爭對手數量，基金的競爭壓力也會隨時間改變，將能夠更了解基金經理人在被撤換時當下所受到的基金競爭壓力，並以此檢視基金競爭強度是否成為基金經理人撤換的因素之一。實證結果顯示，相對於傳統基金經理人，SRI基金經理人被其基金家族撤換的可能性較小。在基金競爭方面，如果基金競爭程度較高，則基金經理被替換的概率較高。此外，如果SRI基金經理人不能表現出自身基金持股的獨特性，則該基金經理比傳統基金經理人更容易被替換。本研究進一步對基金的績效與基金競爭程度的交互作用分析，發現如果基金經理人能夠在激烈的基金競爭環境下表現出卓越的技能和才能，基金經理人被撤換的可能性就會較低。同時，本研究發現基金競爭對基金經理撤換的影響主要來自不同基金家族的競爭對手，而同一基金家族內的競爭對手對SRI基金和傳統基金的基金經理人撤換並無影響。
As the size of mutual fund industry is increasing, mutual funds suffer more fund competition from similar fund rivals. Also, public attention to social responsibility investing (SRI) becomes more popular. Therefore, this study applies the spatial method to evaluate the level of fund competition for each mutual fund to examine the roles of fund competition and SRI funds in mutual fund manager turnover. In terms of the spatial method, the numbers of fund rivals of each fund are calculated by year, so the fund rivals of a fund will be customized and changed dynamically. When the fund managers are replaced, I can be able to better understand the fund competition pressure that the fund managers suffer. Also, I can examine if the effect of fund competition on fund manager turnover exists. Empirical results show that relatively to fund managers of conventional funds, fund managers of SRI funds are less likely to be replaced by their fund family. In terms of fund competition, if the fund is under higher competition, the fund manager has a higher probability to be replaced. In addition, if an SRI fund manager cannot show the uniqueness of the holding portfolio, the fund manager is more likely to be replaced than the fund manager of conventional funds. In terms of the interaction between fund performance and fund competition, if a fund manager can show outstanding skill and talent under high fund competition, the likelihood of replacement of the fund manager will be lower. Moreover, this study finds that the effect of fund competition on the fund manager turnover is mostly contributed by fund rivals from different fund families, while the competitors within the same fund family have no impact on the fund manager turnover of SRI funds and conventional funds.參考文獻 Adrianto, F., E. Chen, and J. C. How, 2019. Spillover effects in SRI fund families. Working paper. Available at SSRN: https://ssrn.com/abstract=3311876Benson, K. L., and J. E. Humphrey, 2008. Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking & Finance 32(9), 1850–1859.Chan, L. K. C., H. Chen, and J. Lakonishok, 2002. On mutual fund investment styles. Review of Financial Studies 15(5), 1407–1437.Chan, L. K. C., S. G. Dimmock, and J. Lakonishok, 2009. Benchmarking money manager performance: Issues and evidence. Review of Financial Studies 22(11), 4553–4599.Daniel, K., and S. Titman, 2006. Market reactions to tangible and intangible information. Journal of Finance, 61(4), 1605–1643.Dolvin, S., J. Fulkerson, and A. Krukover, 2019. Do “good guys” finish Last? The Relationship between Morningstar Sustainability Ratings and Mutual Fund Performance. The Journal of Investing ESG Special Issue 28(2), 77–91.Ghoul, S. E., and A. Karoui, 2017. Does corporate social responsibility affect mutual fund performance and flows? Journal of Banking & Finance 77, 53–63.Grinblatt, M., S. Titman, and R. Wermer, 1995. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review 66, 47–68.Hoberg, G., N. Kumar, and N. Prabhala, 2018. Mutual fund competition, managerial skill, and alpha persistence. Review of Financial Studies 31(5), 1896–1929.Kempf, A., P. Osthoff, 2008. SRI funds: Nomen est omen. Journal of Business Finance & Accounting 35(9-10), 1276–1294.Khorana, A., 1996. Top Management turnover: An empirical investigation of mutual fund managers. Journal of Financial Economics 40(3), 403–427.Kostovetsky, L., 2017. Brain drain: Are mutual funds losing their best minds? Quarterly Journal of Finance 7(03), 1750009.Kostovetsky, L., and J. B. Warner, 2015. You’re fired! New evidence on portfolio manager turnover and performance. Journal of Financial and Quantitative Analysis 50(4), 729–755.Sensoy, B. A., 2009. Performance evaluation and self-designated benchmark indexes in the mutual fund industry. Journal of Financial Economics 92(1), 25–39.Sharpe, W. F., 1988. Determining a fund’s effective asset mix. Investment Management Review 2(6), 59–69.Sirri, E. R., and P. Tufano, 1998. Costly search and mutual fund flows. Journal of Finance 53(5), 1589–1622.Wahal, S. and Y. Wang, 2011. Competition among mutual funds. Journal of Financial Economics 99(1), 41–59. 描述 碩士
國立政治大學
財務管理學系
109357023資料來源 http://thesis.lib.nccu.edu.tw/record/#G0109357023 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) 謝承劭 zh_TW dc.contributor.author (Authors) Hsieh, Cheng-Shao en_US dc.creator (作者) 謝承劭 zh_TW dc.creator (作者) Hsieh, Cheng-Shao en_US dc.date (日期) 2022 en_US dc.date.accessioned 1-Aug-2022 17:19:28 (UTC+8) - dc.date.available 1-Aug-2022 17:19:28 (UTC+8) - dc.date.issued (上傳時間) 1-Aug-2022 17:19:28 (UTC+8) - dc.identifier (Other Identifiers) G0109357023 en_US dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/141024 - 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) 109357023 zh_TW dc.description.abstract (摘要) 隨著共同基金產業規模的不斷擴大，共同基金面臨更多來自同類型基金的競爭，另外，公眾對於社會責任投資（SRI）關注度也越來越高。因此，本研究以建立三維空間方法來評估每個共同基金的基金競爭狀況，並探討基金競爭和SRI基金在共同基金經理人撤換中的角色。在三維空間方法中，基金的競爭對手將會依各基金有所不同，並且藉由計算每一基金不同年度的競爭對手數量，基金的競爭壓力也會隨時間改變，將能夠更了解基金經理人在被撤換時當下所受到的基金競爭壓力，並以此檢視基金競爭強度是否成為基金經理人撤換的因素之一。實證結果顯示，相對於傳統基金經理人，SRI基金經理人被其基金家族撤換的可能性較小。在基金競爭方面，如果基金競爭程度較高，則基金經理被替換的概率較高。此外，如果SRI基金經理人不能表現出自身基金持股的獨特性，則該基金經理比傳統基金經理人更容易被替換。本研究進一步對基金的績效與基金競爭程度的交互作用分析，發現如果基金經理人能夠在激烈的基金競爭環境下表現出卓越的技能和才能，基金經理人被撤換的可能性就會較低。同時，本研究發現基金競爭對基金經理撤換的影響主要來自不同基金家族的競爭對手，而同一基金家族內的競爭對手對SRI基金和傳統基金的基金經理人撤換並無影響。 zh_TW dc.description.abstract (摘要) As the size of mutual fund industry is increasing, mutual funds suffer more fund competition from similar fund rivals. Also, public attention to social responsibility investing (SRI) becomes more popular. Therefore, this study applies the spatial method to evaluate the level of fund competition for each mutual fund to examine the roles of fund competition and SRI funds in mutual fund manager turnover. In terms of the spatial method, the numbers of fund rivals of each fund are calculated by year, so the fund rivals of a fund will be customized and changed dynamically. When the fund managers are replaced, I can be able to better understand the fund competition pressure that the fund managers suffer. Also, I can examine if the effect of fund competition on fund manager turnover exists. Empirical results show that relatively to fund managers of conventional funds, fund managers of SRI funds are less likely to be replaced by their fund family. In terms of fund competition, if the fund is under higher competition, the fund manager has a higher probability to be replaced. In addition, if an SRI fund manager cannot show the uniqueness of the holding portfolio, the fund manager is more likely to be replaced than the fund manager of conventional funds. In terms of the interaction between fund performance and fund competition, if a fund manager can show outstanding skill and talent under high fund competition, the likelihood of replacement of the fund manager will be lower. Moreover, this study finds that the effect of fund competition on the fund manager turnover is mostly contributed by fund rivals from different fund families, while the competitors within the same fund family have no impact on the fund manager turnover of SRI funds and conventional funds. en_US dc.description.tableofcontents 1. Introduction 12. Literature review 42.1 Fund manager turnover 42.2 Social responsibility investment fund 52.3 Fund competition 63. Data and methodology 93.1 Methodology 103.2 Descriptive statistics 134. Empirical results 165. Conclusion 225.1 Limitation and further research 225.2 Conclusion and summary 23References 25 zh_TW dc.format.extent 1188579 bytes - dc.format.mimetype application/pdf - dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0109357023 en_US dc.subject (關鍵詞) 共同基金競爭 zh_TW dc.subject (關鍵詞) 社會責任投資基金 zh_TW dc.subject (關鍵詞) 基金經理人撤換 zh_TW dc.subject (關鍵詞) Fund competition en_US dc.subject (關鍵詞) SRI fund en_US dc.subject (關鍵詞) Fund manager turnover en_US dc.title (題名) 共同基金間競爭與社會責任投資基金經理人撤換之影響 zh_TW dc.title (題名) The Effect of Mutual Fund Competition on SRI Fund Manager Turnover en_US dc.type (資料類型) thesis en_US dc.relation.reference (參考文獻) Adrianto, F., E. Chen, and J. C. How, 2019. Spillover effects in SRI fund families. Working paper. Available at SSRN: https://ssrn.com/abstract=3311876Benson, K. L., and J. E. Humphrey, 2008. Socially responsible investment funds: Investor reaction to current and past returns. Journal of Banking & Finance 32(9), 1850–1859.Chan, L. K. C., H. Chen, and J. Lakonishok, 2002. On mutual fund investment styles. Review of Financial Studies 15(5), 1407–1437.Chan, L. K. C., S. G. Dimmock, and J. Lakonishok, 2009. Benchmarking money manager performance: Issues and evidence. Review of Financial Studies 22(11), 4553–4599.Daniel, K., and S. Titman, 2006. Market reactions to tangible and intangible information. Journal of Finance, 61(4), 1605–1643.Dolvin, S., J. Fulkerson, and A. Krukover, 2019. Do “good guys” finish Last? The Relationship between Morningstar Sustainability Ratings and Mutual Fund Performance. The Journal of Investing ESG Special Issue 28(2), 77–91.Ghoul, S. E., and A. Karoui, 2017. Does corporate social responsibility affect mutual fund performance and flows? Journal of Banking & Finance 77, 53–63.Grinblatt, M., S. Titman, and R. Wermer, 1995. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review 66, 47–68.Hoberg, G., N. Kumar, and N. Prabhala, 2018. Mutual fund competition, managerial skill, and alpha persistence. Review of Financial Studies 31(5), 1896–1929.Kempf, A., P. Osthoff, 2008. SRI funds: Nomen est omen. Journal of Business Finance & Accounting 35(9-10), 1276–1294.Khorana, A., 1996. Top Management turnover: An empirical investigation of mutual fund managers. Journal of Financial Economics 40(3), 403–427.Kostovetsky, L., 2017. Brain drain: Are mutual funds losing their best minds? Quarterly Journal of Finance 7(03), 1750009.Kostovetsky, L., and J. B. Warner, 2015. You’re fired! New evidence on portfolio manager turnover and performance. Journal of Financial and Quantitative Analysis 50(4), 729–755.Sensoy, B. A., 2009. Performance evaluation and self-designated benchmark indexes in the mutual fund industry. Journal of Financial Economics 92(1), 25–39.Sharpe, W. F., 1988. Determining a fund’s effective asset mix. Investment Management Review 2(6), 59–69.Sirri, E. R., and P. Tufano, 1998. Costly search and mutual fund flows. Journal of Finance 53(5), 1589–1622.Wahal, S. and Y. Wang, 2011. Competition among mutual funds. Journal of Financial Economics 99(1), 41–59. zh_TW dc.identifier.doi (DOI) 10.6814/NCCU202200730 en_US
