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題名 基金積極管理與經理人學歷對基金績效之影響
The Impact of Active Share and Managers' Education on Fund Performance
作者 吳心茹
Wu, Hsin-Ju
貢獻者 湛可南
吳心茹
Wu, Hsin-Ju
關鍵詞 積極管理
基金經理人學歷
聰明錢效應
Active Share
Fund Managers' Education
Smart Money Effect
日期 2025
上傳時間 1-Jul-2025 14:52:02 (UTC+8)
摘要 本研究旨在探討共同基金的積極管理程度與經理人學歷對基金績效之影響，本文以 Active Share 作為衡量積極管理程度的指標，並以是否具備 MBA 學歷設立虛擬變數，以區分經理人的教育背景。在探討基金績效前，首先分析投資人對積極管理程度與經理人學歷的偏好，實證結果顯示，投資人傾向選擇由具備 MBA 學歷且採用低積極選股策略的經理人所管理的基金；為進一步檢視投資人偏好與報酬間是否一致，本文探討積極管理程度及經理人學歷對基金績效的實質影響，結果顯示，適度提升積極選股的程度有助於創造較高的超額報酬與 CAPM 調整後報酬，而經理人是否擁有 MBA 學歷則對績效本身無顯著影響，然而，當經理人具備 MBA 學歷且採取適度積極的選股策略時，能創造較高的超額報酬；最後，研究進一步檢驗投資人是否能透過其偏好做出有效的投資策略，結果顯示，基於積極管理程度及學歷的偏好進行投資，未必能在未來獲得更佳的報酬，顯示市場中並不存在「聰明錢效應」，亦反映出投資人缺乏辨識贏家基金的能力。
This study aims to investigate the impact of active management and fund managers’ education on mutual fund performance. Active Share is employed to measure active management, while a dummy variable is constructed to indicate whether at least one manager holds an MBA degree. Before investigating fund performance, the study first analyzes investors’ preferences regarding active management and managers’ education. Empirical results show that investors prefer funds managed by MBA-educated managers who employ low levels of active management. To further assess whether investor preferences align with actual fund performance, this study examines the effects of active management and managers’ education on fund performance. The findings show that funds employing a moderate level of active management achieve higher excess returns and CAPM-based alpha. However, the possession of an MBA degree by fund managers does not have a effect on fund performance. Notably, when MBA-educated managers engage in moderate active management, they are able to enhance excess returns. Finally, the study further evaluates whether investors can translate their preferences into effective investment strategies. The results reveal that investors who make decisions based on preferences for active management or managers’ education do not achieve better future returns. This suggests the absence of a smart money effect in the market and indicates that investors do not have the ability to identify the winning funds.
參考文獻 Amihud, Y., & Goyenko, R. Y. (2013). Mutual fund's R² as predictor of performance. The Review of Financial Studies, 26(3), 667–694. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. Chen, J., Hong, H., Huang, M., & Kubik, J. D. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review, 94(5), 1276–1302. Chevalier, J., & Ellison, G. (2002). Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance. The Journal of Finance, 54(3), 875–899. Chordia, T. (1996). The structure of mutual fund charges. Journal of Financial Economics, 41(1), 3–39. Cremers, 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. Fama, E. F., & French, K. R. (1993). Journal of Financial Economics, 33(1), 3–56. Fang, J., Kempf, A., & Trapp, M. (2014). Fund manager allocation. Journal of Financial Economics, 111(3), 661–674 Fang, Y., & Wang, H. (2015). Fund manager characteristics and performance. Investment Analysts Journal, 44(1), 102–116. Frazzini, A., Friedman, J., & Pomorski, L. (2016). Deactivating active share. Financial Analysts Journal, 72(2), 14–21. Gil-Bazo, J., & Ruiz-Verdú, P. (2009). The relation between price and performance in the mutual fund industry. The Journal of Finance, 64(5), 2153–2183. Gottesman, A. A., & Morey, M. R. (2006). Manager education and mutual fund performance. Journal of Empirical Finance, 13(2), 145–182. Gruber, M. J. (1996). Another puzzle: The growth in actively managed mutual funds. The Journal of Finance, 51(3), 783–810 Huij, J., & Derwall, J. (2011). Global equity fund performance, portfolio concentration, and the fundamental law of active management. Journal of Banking & Finance, 35(1), 155–165. Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. The Journal of Finance, 23(2), 389–416. Jorion, P. (2003). Portfolio optimization with tracking-error constraints. Financial Analysts Journal, 59(5), 70–82. Kacperczyk, M., Sialm, C., & Zheng, L. (2005). On the industry concentration of actively managed equity mutual funds. The Journal of Finance, 60(4), 1983–2011. Li, H., Zhang, X., & Zhao, R. (2011). Investing in talents: Manager characteristics and hedge fund performances. Journal of Financial and Quantitative Analysis, 46(1), 55-82. 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, 13–22. Song, Y. (2020). The mismatch between mutual fund scale and skill. The Journal of Finance, 75(5), 2555–2589. Wermers, R. (2002). Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses. The Journal of Finance, 55(4), 1655–1695. Yu, H. (2012). Where are the smart investors? New evidence of the smart money effect. Journal of Empirical Finance, 19(1), 51–64. Zheng, L. (2002). Is money smart? A study of mutual fund flows and performance. The Journal of Finance, 54(3), 901–933.
描述 碩士
國立政治大學
財務管理學系
112357030
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357030
資料類型 thesis
dc.contributor.advisor 湛可南zh_TW
dc.contributor.author (Authors) 吳心茹zh_TW
dc.contributor.author (Authors) Wu, Hsin-Juen_US
dc.creator (作者) 吳心茹zh_TW
dc.creator (作者) Wu, Hsin-Juen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Jul-2025 14:52:02 (UTC+8)-
dc.date.available 1-Jul-2025 14:52:02 (UTC+8)-
dc.date.issued (上傳時間) 1-Jul-2025 14:52:02 (UTC+8)-
dc.identifier (Other Identifiers) G0112357030en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/157782-
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) 112357030zh_TW
dc.description.abstract (摘要) 本研究旨在探討共同基金的積極管理程度與經理人學歷對基金績效之影響，本文以 Active Share 作為衡量積極管理程度的指標，並以是否具備 MBA 學歷設立虛擬變數，以區分經理人的教育背景。在探討基金績效前，首先分析投資人對積極管理程度與經理人學歷的偏好，實證結果顯示，投資人傾向選擇由具備 MBA 學歷且採用低積極選股策略的經理人所管理的基金；為進一步檢視投資人偏好與報酬間是否一致，本文探討積極管理程度及經理人學歷對基金績效的實質影響，結果顯示，適度提升積極選股的程度有助於創造較高的超額報酬與 CAPM 調整後報酬，而經理人是否擁有 MBA 學歷則對績效本身無顯著影響，然而，當經理人具備 MBA 學歷且採取適度積極的選股策略時，能創造較高的超額報酬；最後，研究進一步檢驗投資人是否能透過其偏好做出有效的投資策略，結果顯示，基於積極管理程度及學歷的偏好進行投資，未必能在未來獲得更佳的報酬，顯示市場中並不存在「聰明錢效應」，亦反映出投資人缺乏辨識贏家基金的能力。zh_TW
dc.description.abstract (摘要) This study aims to investigate the impact of active management and fund managers’ education on mutual fund performance. Active Share is employed to measure active management, while a dummy variable is constructed to indicate whether at least one manager holds an MBA degree. Before investigating fund performance, the study first analyzes investors’ preferences regarding active management and managers’ education. Empirical results show that investors prefer funds managed by MBA-educated managers who employ low levels of active management. To further assess whether investor preferences align with actual fund performance, this study examines the effects of active management and managers’ education on fund performance. The findings show that funds employing a moderate level of active management achieve higher excess returns and CAPM-based alpha. However, the possession of an MBA degree by fund managers does not have a effect on fund performance. Notably, when MBA-educated managers engage in moderate active management, they are able to enhance excess returns. Finally, the study further evaluates whether investors can translate their preferences into effective investment strategies. The results reveal that investors who make decisions based on preferences for active management or managers’ education do not achieve better future returns. This suggests the absence of a smart money effect in the market and indicates that investors do not have the ability to identify the winning funds.en_US
dc.description.tableofcontents 1.Introduction 1 2.Literature Review 4 2.1. Measurement of Active Management 4 2.2. Active Share 4 2.3. Fund Manager Education 5 2.4. Mutual Fund Performance 6 2.4.1. Mutual Fund Performance and Influencing Factors 6 2.4.2. Fund Performance and Investor Behavior 7 2.5. Active Share and Mutual Fund Performance 8 2.6. Fund Manager Education and Mutual Fund Performance 8 2.7. Research Questions Development 9 3. Data and Methodology 13 3.1. Methodology 13 3.1.1. Measurement of Active Share 13 3.1.2. Multiple Regression Specification 13 3.2. Data 18 3.2.1. Source of Data 18 3.2.2. Selection of sample data 18 4. Empirical Results 20 4.1. Investor Preferences for the Degree of Active Management 20 4.2. Investor Preferences for the Fund Manager’s Education 21 4.3. Investor Preferences for Manager Education and Active Management 22 4.4. The Impact of Active Share on Fund Performance 22 4.5. The Impact of Managers Education on Fund Performance 24 4.6. The Interaction between Managers Education and Active Share in Explaining Fund Performance 24 4.7. The Impact of Active Share and Fund Managers' Educational Background on Fund Performance 26 5. Conclusion and Recommendation 28 5.1. Conclusion 28 5.2. Recommendation for Future Research 28 References 30zh_TW
dc.format.extent 1564154 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357030en_US
dc.subject (關鍵詞) 積極管理zh_TW
dc.subject (關鍵詞) 基金經理人學歷zh_TW
dc.subject (關鍵詞) 聰明錢效應zh_TW
dc.subject (關鍵詞) Active Shareen_US
dc.subject (關鍵詞) Fund Managers' Educationen_US
dc.subject (關鍵詞) Smart Money Effecten_US
dc.title (題名) 基金積極管理與經理人學歷對基金績效之影響zh_TW
dc.title (題名) The Impact of Active Share and Managers' Education on Fund Performanceen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Amihud, Y., & Goyenko, R. Y. (2013). Mutual fund's R² as predictor of performance. The Review of Financial Studies, 26(3), 667–694. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57–82. Chen, J., Hong, H., Huang, M., & Kubik, J. D. (2004). Does fund size erode mutual fund performance? The role of liquidity and organization. American Economic Review, 94(5), 1276–1302. Chevalier, J., & Ellison, G. (2002). Are some mutual fund managers better than others? Cross-sectional patterns in behavior and performance. The Journal of Finance, 54(3), 875–899. Chordia, T. (1996). The structure of mutual fund charges. Journal of Financial Economics, 41(1), 3–39. Cremers, 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. Fama, E. F., & French, K. R. (1993). Journal of Financial Economics, 33(1), 3–56. Fang, J., Kempf, A., & Trapp, M. (2014). Fund manager allocation. Journal of Financial Economics, 111(3), 661–674 Fang, Y., & Wang, H. (2015). Fund manager characteristics and performance. Investment Analysts Journal, 44(1), 102–116. Frazzini, A., Friedman, J., & Pomorski, L. (2016). Deactivating active share. Financial Analysts Journal, 72(2), 14–21. Gil-Bazo, J., & Ruiz-Verdú, P. (2009). The relation between price and performance in the mutual fund industry. The Journal of Finance, 64(5), 2153–2183. Gottesman, A. A., & Morey, M. R. (2006). Manager education and mutual fund performance. Journal of Empirical Finance, 13(2), 145–182. Gruber, M. J. (1996). Another puzzle: The growth in actively managed mutual funds. The Journal of Finance, 51(3), 783–810 Huij, J., & Derwall, J. (2011). Global equity fund performance, portfolio concentration, and the fundamental law of active management. Journal of Banking & Finance, 35(1), 155–165. Jensen, M. C. (1968). The performance of mutual funds in the period 1945–1964. The Journal of Finance, 23(2), 389–416. Jorion, P. (2003). Portfolio optimization with tracking-error constraints. Financial Analysts Journal, 59(5), 70–82. Kacperczyk, M., Sialm, C., & Zheng, L. (2005). On the industry concentration of actively managed equity mutual funds. The Journal of Finance, 60(4), 1983–2011. Li, H., Zhang, X., & Zhao, R. (2011). Investing in talents: Manager characteristics and hedge fund performances. Journal of Financial and Quantitative Analysis, 46(1), 55-82. 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, 13–22. Song, Y. (2020). The mismatch between mutual fund scale and skill. The Journal of Finance, 75(5), 2555–2589. Wermers, R. (2002). Mutual fund performance: An empirical decomposition into stock-picking talent, style, transaction costs, and expenses. The Journal of Finance, 55(4), 1655–1695. Yu, H. (2012). Where are the smart investors? New evidence of the smart money effect. Journal of Empirical Finance, 19(1), 51–64. Zheng, L. (2002). Is money smart? A study of mutual fund flows and performance. The Journal of Finance, 54(3), 901–933.zh_TW