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題名 基金經理人撤換與基金績效之關係: 針對晨星基金評級的實證研究
The Relationship between Fund Manager Turnover and Fund Performance: An Empirical Study on Morningstar Ratings
作者 林欣慧
Lin, Hsin-Hui
貢獻者 陳鴻毅
Chen, Hong-Yi
林欣慧
Lin, Hsin-Hui
關鍵詞 晨星基金評級
基金經理人撤換
基金績效
基金流量
Morningstar Ratings
Mutual fund manager turnover
Fund performance
Fund flow
日期 2023
上傳時間 1-Sep-2023 16:02:37 (UTC+8)
摘要 本研究深入探討 Morningstar 基金評級以及其他基金績效指標對共同基金經理人 撤換與基金流量變化的影響力。以 1999 年至 2021 年間美國開放式股票型基金作 為研究樣本，實證結果顯示 Morningstar 評級在預測基金經理人的撤換機率上具 有相當的精準度，並且優於其他績效指標。值得注意的是，實證結果亦顯示 Morningstar 評級對基金流量有解釋能力，顯示投資人對 Morningstar 評級具一定 敏感度，評級的變化亦對投資人決策有顯著影響力。此外，本研究進一步分析基 金經理人撤換一年前後的基金績效變化，結果顯示 Morningstar 評級無顯著改變， 而夏普比率、資訊比率等績效指標在撤換經理人後顯著有所改善。本研究結果期 將對基金經理人及投資人在評估和選擇基金時提供相關參考資訊。
This study delves into the impact of Morningstar Ratings and other performance measurements on the turnover of mutual fund managers and changes in fund flows. Using a sample of U.S. open-ended equity mutual funds from 1999 to 2021, the empirical results show that Morningstar Ratings have considerable accuracy in predicting the likelihood of mutual fund manager turnover and outperform other performance metrics. Notably, the empirical findings also demonstrate that Morningstar Ratings have explanatory power regarding fund flows, indicating that investors are somewhat sensitive to Morningstar Ratings. This study also analyzes changes in fund performance one year before and after a fund manager turnover. The results indicate that although Morningstar Ratings do not show significant changes, performance measurements such as the Sharpe ratio and information ratio show notable improvements after the turnover of managers. The findings of this study can provide relevant reference information for mutual fund managers and investors in evaluating and selecting funds.
參考文獻 Barron, J. M., & Ni, J. (2013). Morningstar Ratings and Mutual Fund Manager Turnover. Journal of Applied Finance, 23(1), 95-110.
Blake, C. R., & Morey, M. R. (2000). Morningstar Ratings and Mutual Fund Performance. Journal of Financial and Quantitative Analysis, 35(3), 451–483.
Chevalier, J., & Ellison, G. (1999). Career Concerns of Mutual Fund Managers. Quarterly Journal of Economics, 114(2), 389-432.
Guercio, D. D., & Tkac, P. A. (2008). Star Power: The Effect of Morningstar Ratings on Mutual Fund Flow. Journal of Financial and Quantitative Analysis, 43(4), 907-936.
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.
Khorana, A., & Nelling, E. (1998). The Determinants and Predictive Ability of Mutual Fund Ratings. Journal of Investing, 40(3), 61-66.
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.
Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. Journal of Finance, 53(5), 1589-1622.
Sharpe, W. F. (1998). Morningstar’s Risk-Adjusted Ratings. Financial Analysts Journal, 54 (4), 21-32.
Zheng, L. (1999). Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability. Journal of Finance, 54 (3), 901-933.
描述 碩士
國立政治大學
財務管理學系
110357031
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0110357031
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 林欣慧zh_TW
dc.contributor.author (Authors) Lin, Hsin-Huien_US
dc.creator (作者) 林欣慧zh_TW
dc.creator (作者) Lin, Hsin-Huien_US
dc.date (日期) 2023en_US
dc.date.accessioned 1-Sep-2023 16:02:37 (UTC+8)-
dc.date.available 1-Sep-2023 16:02:37 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2023 16:02:37 (UTC+8)-
dc.identifier (Other Identifiers) G0110357031en_US
dc.identifier.uri (URI) http://nccur.lib.nccu.edu.tw/handle/140.119/147195-
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) 110357031zh_TW
dc.description.abstract (摘要) 本研究深入探討 Morningstar 基金評級以及其他基金績效指標對共同基金經理人 撤換與基金流量變化的影響力。以 1999 年至 2021 年間美國開放式股票型基金作 為研究樣本，實證結果顯示 Morningstar 評級在預測基金經理人的撤換機率上具 有相當的精準度，並且優於其他績效指標。值得注意的是，實證結果亦顯示 Morningstar 評級對基金流量有解釋能力，顯示投資人對 Morningstar 評級具一定 敏感度，評級的變化亦對投資人決策有顯著影響力。此外，本研究進一步分析基 金經理人撤換一年前後的基金績效變化，結果顯示 Morningstar 評級無顯著改變， 而夏普比率、資訊比率等績效指標在撤換經理人後顯著有所改善。本研究結果期 將對基金經理人及投資人在評估和選擇基金時提供相關參考資訊。zh_TW
dc.description.abstract (摘要) This study delves into the impact of Morningstar Ratings and other performance measurements on the turnover of mutual fund managers and changes in fund flows. Using a sample of U.S. open-ended equity mutual funds from 1999 to 2021, the empirical results show that Morningstar Ratings have considerable accuracy in predicting the likelihood of mutual fund manager turnover and outperform other performance metrics. Notably, the empirical findings also demonstrate that Morningstar Ratings have explanatory power regarding fund flows, indicating that investors are somewhat sensitive to Morningstar Ratings. This study also analyzes changes in fund performance one year before and after a fund manager turnover. The results indicate that although Morningstar Ratings do not show significant changes, performance measurements such as the Sharpe ratio and information ratio show notable improvements after the turnover of managers. The findings of this study can provide relevant reference information for mutual fund managers and investors in evaluating and selecting funds.en_US
dc.description.tableofcontents Contents
1. Introduction 1
1.1 Motivation and Purpose 1
1.2 Research Questions 2
1.3 Structure 2
2. Literature Review 3
2.1 Relationship between Fund Performance and Manager Turnover 3
2.2 Relationship between Fund Performance and Fund Flow 4
3. Data and Methodology 5
3.1 Data 5
3.2 Morningstar Ratings Overview 6
3.2.1 Calculation Method of Morningstar Ratings 6
3.2.2 The Morningstar Overall Rating 8
3.3 Alternative Performance Measurements 8
4. Empirical Results 10
4.1 Summary Statistics 10
4.2 Regression Results on Performance-Turnover Analysis 12
4.3 Performance Changes After Manager Turnover 14
4.4 Regression Results on Performance-Fund Flow Analysis: Effects of Morningstar Ratings 14
5. Conclusion 17
References 19		zh_TW
dc.format.extent 1411224 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0110357031en_US
dc.subject (關鍵詞) 晨星基金評級zh_TW
dc.subject (關鍵詞) 基金經理人撤換zh_TW
dc.subject (關鍵詞) 基金績效zh_TW
dc.subject (關鍵詞) 基金流量zh_TW
dc.subject (關鍵詞) Morningstar Ratingsen_US
dc.subject (關鍵詞) Mutual fund manager turnoveren_US
dc.subject (關鍵詞) Fund performanceen_US
dc.subject (關鍵詞) Fund flowen_US
dc.title (題名) 基金經理人撤換與基金績效之關係: 針對晨星基金評級的實證研究zh_TW
dc.title (題名) The Relationship between Fund Manager Turnover and Fund Performance: An Empirical Study on Morningstar Ratingsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Barron, J. M., & Ni, J. (2013). Morningstar Ratings and Mutual Fund Manager Turnover. Journal of Applied Finance, 23(1), 95-110.
Blake, C. R., & Morey, M. R. (2000). Morningstar Ratings and Mutual Fund Performance. Journal of Financial and Quantitative Analysis, 35(3), 451–483.
Chevalier, J., & Ellison, G. (1999). Career Concerns of Mutual Fund Managers. Quarterly Journal of Economics, 114(2), 389-432.
Guercio, D. D., & Tkac, P. A. (2008). Star Power: The Effect of Morningstar Ratings on Mutual Fund Flow. Journal of Financial and Quantitative Analysis, 43(4), 907-936.
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.
Khorana, A., & Nelling, E. (1998). The Determinants and Predictive Ability of Mutual Fund Ratings. Journal of Investing, 40(3), 61-66.
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.
Sirri, E. R., & Tufano, P. (1998). Costly Search and Mutual Fund Flows. Journal of Finance, 53(5), 1589-1622.
Sharpe, W. F. (1998). Morningstar’s Risk-Adjusted Ratings. Financial Analysts Journal, 54 (4), 21-32.
Zheng, L. (1999). Is Money Smart? A Study of Mutual Fund Investors’ Fund Selection Ability. Journal of Finance, 54 (3), 901-933.		zh_TW