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題名 基金積極管理與市場波動度對經理人投資決策之影響
The Impact of Active Fund Management and Market Volatility on Managerial Investment Decisions
作者 林彥宇
LIN, YEN-YU
貢獻者 陳鴻毅
Chen, Hong-Yi
林彥宇
LIN, YEN-YU
關鍵詞 積極比率
積極管理
經理人行為
迎合行為
Active ratio
Active management
Manager behavior
Catering behavior
日期 2024
上傳時間 5-Aug-2024 13:43:39 (UTC+8)
摘要 本研究利用積極比率衡量經理人管理基金的主動程度，探討共同基金主動管理程度與經理人和投資人決策的關係。實證結果發現投資人在市場波動時，有投資高度積極管理基金之傾向，該偏好能在未來的一年內帶來更好的績效。此外，本研究進一步探討經理人是否有迎合投資人行為，研究結果顯示當市場波動時，經理人會再提高原先即為較積極管理之基金的主動程度，與投資人偏好一致。最後，研究發現此調整在未來一年內的績效顯著優於其他基金，證明經理人調整積極比率並非單純為迎合投資人偏好。
This study uses active share to measure the extent of managers' active management of funds, exploring the relationship between the degree of active management of mutual funds and the decisions of managers and investors. The empirical results show that investors tend to invest in funds with more active management during the high VIX period, and this preference can lead to better performance in the following year. Moreover, the study explores whether managers cater to investor preferences. Empirical results show that managers tend to further increase the active management level of already actively managed funds during the high VIX period, aligning with investor preferences. Finally, this study finds that this catering behavior significantly outperforms other funds in terms of performance in the following year, demonstrating that managers adjust the active ratio not merely to cater to investor preferences.
參考文獻 Agarwal, V., Jiang, L., & Wen, Q. (2022). Why do mutual funds hold lottery stocks? Journal of Financial and Quantitative Analysis, 57(3), 825-856. Ammanna, M., Fischerb, S., & Weigertc, F. (2017). Do mutual fund managers have risk factor timing skills? Manuscript, Lancaster University. Barber, B. M., Odean, T., & Zheng, L. (2005). Out of sight, out of mind: The effects of expenses on mutual fund flows. The Journal of Business, 78(6), 2095-2120. Bollen, N. P., & Busse, J. A. (2001). On the timing ability of mutual fund managers. The Journal of Finance, 56(3), 1075-1094. 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. 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. Daniel, K., Grinblatt, M., Titman, S., & Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of Finance, 52(3), 1035-1058. Kacperczyk, M., Sialm, C., & Zheng, L. (2008). Unobserved actions of mutual funds. The Review of Financial Studies, 21(6), 2379-2416. Kao, G. W., Cheng, L. T., & Chan, K. C. (1998). International mutual fund selectivity and market timing during up and down market conditions. Financial Review, 33(2), 127-144. Kopsch, F., Song, H. S., & Wilhelmsson, M. (2015). Determinants of mutual fund flows. Managerial Finance, 41(1), 10-25. Kumar, A. (2009). Who gambles in the stock market? The Journal of Finance, 64(4), 1889-1933. Luo, M. (2016). Financial product design and catering: Evidence from the global mutual fund industry. Journal of Financial Economics, 123(2), 456-474. 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
111357026
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0111357026
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 林彥宇zh_TW
dc.contributor.author (Authors) LIN, YEN-YUen_US
dc.creator (作者) 林彥宇zh_TW
dc.creator (作者) LIN, YEN-YUen_US
dc.date (日期) 2024en_US
dc.date.accessioned 5-Aug-2024 13:43:39 (UTC+8)-
dc.date.available 5-Aug-2024 13:43:39 (UTC+8)-
dc.date.issued (上傳時間) 5-Aug-2024 13:43:39 (UTC+8)-
dc.identifier (Other Identifiers) G0111357026en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/152728-
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) 111357026zh_TW
dc.description.abstract (摘要) 本研究利用積極比率衡量經理人管理基金的主動程度，探討共同基金主動管理程度與經理人和投資人決策的關係。實證結果發現投資人在市場波動時，有投資高度積極管理基金之傾向，該偏好能在未來的一年內帶來更好的績效。此外，本研究進一步探討經理人是否有迎合投資人行為，研究結果顯示當市場波動時，經理人會再提高原先即為較積極管理之基金的主動程度，與投資人偏好一致。最後，研究發現此調整在未來一年內的績效顯著優於其他基金，證明經理人調整積極比率並非單純為迎合投資人偏好。zh_TW
dc.description.abstract (摘要) This study uses active share to measure the extent of managers' active management of funds, exploring the relationship between the degree of active management of mutual funds and the decisions of managers and investors. The empirical results show that investors tend to invest in funds with more active management during the high VIX period, and this preference can lead to better performance in the following year. Moreover, the study explores whether managers cater to investor preferences. Empirical results show that managers tend to further increase the active management level of already actively managed funds during the high VIX period, aligning with investor preferences. Finally, this study finds that this catering behavior significantly outperforms other funds in terms of performance in the following year, demonstrating that managers adjust the active ratio not merely to cater to investor preferences.en_US
dc.description.tableofcontents 1 Introduction 1 2 Literature review 3 2.1 Measures of active management 3 2.2 Fund manager’s timing abilities 5 2.3 Fund manager’s behavior 6 2.4 The impact of VIX on fund flows 7 2.5 Development of research questions 8 3 Data and methodology 10 3.1 Methodology 10 3.1.1 The measurement of active management in funds 10 3.1.2 Multiple regression model 10 3.2 Data 12 3.2.1 Data sources 12 3.2.2 Selection of data 13 4 Empirical results 15 4.1 Investor behavior across various volatility conditions 15 4.2 Do managers cater to investors' preferences? 16 4.3 Fund performance based on investor preferences 19 5 Conclusion and recommendation 21 5.1 Conclusion 21 5.2 Recommendations for future research 22 References 23 Appendix A: Distribution of active share from 1999 to 2021 32 Appendix B: List of fund objective code 33zh_TW
dc.format.extent 789043 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0111357026en_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) 經理人行為zh_TW
dc.subject (關鍵詞) 迎合行為zh_TW
dc.subject (關鍵詞) Active ratioen_US
dc.subject (關鍵詞) Active managementen_US
dc.subject (關鍵詞) Manager behavioren_US
dc.subject (關鍵詞) Catering behavioren_US
dc.title (題名) 基金積極管理與市場波動度對經理人投資決策之影響zh_TW
dc.title (題名) The Impact of Active Fund Management and Market Volatility on Managerial Investment Decisionsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Agarwal, V., Jiang, L., & Wen, Q. (2022). Why do mutual funds hold lottery stocks? Journal of Financial and Quantitative Analysis, 57(3), 825-856. Ammanna, M., Fischerb, S., & Weigertc, F. (2017). Do mutual fund managers have risk factor timing skills? Manuscript, Lancaster University. Barber, B. M., Odean, T., & Zheng, L. (2005). Out of sight, out of mind: The effects of expenses on mutual fund flows. The Journal of Business, 78(6), 2095-2120. Bollen, N. P., & Busse, J. A. (2001). On the timing ability of mutual fund managers. The Journal of Finance, 56(3), 1075-1094. 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. 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. Daniel, K., Grinblatt, M., Titman, S., & Wermers, R. (1997). Measuring mutual fund performance with characteristic‐based benchmarks. The Journal of Finance, 52(3), 1035-1058. Kacperczyk, M., Sialm, C., & Zheng, L. (2008). Unobserved actions of mutual funds. The Review of Financial Studies, 21(6), 2379-2416. Kao, G. W., Cheng, L. T., & Chan, K. C. (1998). International mutual fund selectivity and market timing during up and down market conditions. Financial Review, 33(2), 127-144. Kopsch, F., Song, H. S., & Wilhelmsson, M. (2015). Determinants of mutual fund flows. Managerial Finance, 41(1), 10-25. Kumar, A. (2009). Who gambles in the stock market? The Journal of Finance, 64(4), 1889-1933. Luo, M. (2016). Financial product design and catering: Evidence from the global mutual fund industry. Journal of Financial Economics, 123(2), 456-474. 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