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題名 明星基金的主動管理與其後績效
Active Management and Subsequent Performance of Star Funds
作者 許宸華
Hsu, Chen-Hua
貢獻者 陳鴻毅
Chen, Hong-Yi
許宸華
Hsu, Chen-Hua
關鍵詞 積極比率
積極管理
明星基金
基金風險調整後報酬
Active Share
Active management
Star fund
Fund’s risk-adjusted return
日期 2025
上傳時間 1-Sep-2025 16:36:36 (UTC+8)
摘要 本研究探討明星基金是否影響共同基金經理人的主動管理行為，以及其主動程度是否能有效預測未來風險調整後報酬。透過對美國共同基金的實證分析，並使用積極比率衡量基金經理人的主動管理程度，實證結果顯示明星基金在下一季的積極比率顯著提高，顯示基金獲得明星地位後基金經理人傾向增加主動管理的程度。此外，非明星基金的積極比率與未來風險調整後報酬之間呈現 U 形關係。然而，研究進一步發現，明星基金提高主動程度會對未來風險調整後報酬產生負面影響，顯示過度的主動管理可能削弱其績效。
This study examines whether star status affects mutual fund managers’ active management behavior and whether the level of activeness can predict future risk-adjusted returns. Based on an empirical analysis of U.S. mutual funds using Active Share as a measure of activeness, the key findings are: star funds significantly increase their Active Share in the subsequent quarter, indicating managers tend to become more active after attaining star status. Additionally, a U-shaped relationship between Active Share and future risk-adjusted returns is found among non-star funds. However, increased activeness in star funds negatively impacts future risk-adjusted returns, suggesting that excessive active management may weaken their performance.
參考文獻 Agarwal, V., Gay, G. D., & Ling, L. (2014). Window dressing in mutual funds. The Review of Financial Studies, 27(11), 3133-3170. Berk, J. B., & Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112(6), 1269-1295. Brown, N. C., Wei, K. D., & Wermers, R. (2014). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 60(1), 1-20. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Chevalier, J., & Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of Political Economy, 105(6), 1167-1200. Chen, H. L., Jegadeesh, N., & Wermers, R. (2000). The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis, 35(3), 343-368. Choi, D., & Lou, D. (2010, December). A test of the self-serving attribution bias: evidence from mutual funds. In AFA 2011 Denver Meetings Paper. Choi, J. J., & Zhao, K. (2020). Did mutual fund return persistence persist? (No. w26707). National Bureau of Economic Research. 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. Cremers, K. M., Fulkerson, J. A., & Riley, T. B. (2019). Challenging the conventional wisdom on active management: A review of the past 20 years of academic literature on actively managed mutual funds. Financial Analysts Journal, 75(4), 8-35. Del Guercio, D., & Tkac, P. A. (2008). Star power: The effect of monrningstar ratings on mutual fund flow. Journal of Financial and Quantitative Analysis, 43(4), 907-936. Eshraghi, A., & Taffler, R. (2012). Fund manager overconfidence and investment performance: evidence from mutual funds. Available at SSRN, 2146864. Guercio, D. D., & Reuter, J. (2014). Mutual fund performance and the incentive to generate alpha. The Journal of Finance, 69(4), 1673-1704. Hu, P., Kale, J. R., Pagani, M., and Subramanian, A. (2011). Fund flows, performance, managerial career concerns, and risk taking. Management Science, 57(4), 628-646. Jain, P. C., & Wu, J. S. (2000). Truth in mutual fund advertising: Evidence on future performance and fund flows. The Journal of Finance, 55(2), 937-958. Jones, R. C., & Wermers, R. (2011). Active management in mostly efficient markets. Financial Analysts Journal, 67(6), 29-45. 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. (2012). What drives market share in the mutual fund industry?. Review of Finance, 16(1), 81-113. Lou, D. (2012). A flow-based explanation for return predictability. The Review of Financial Studies, 25(12), 3457-3489. 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. Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2015). Scale and skill in active management. Journal of Financial Economics, 116(1), 23-45. Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93. Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479. Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622. Volkman, D. A., & Wohar, M. E. (1995). Determinants of persistence in relative performance of mutual funds. Journal of Financial Research, 18(4), 415-430. Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1695. Wermers, R. (2003). Is money really 'smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence (May 2003). Wilcox, R. T. (2003). Bargain hunting or star gazing? Investors’ preferences for stock mutual funds, Journal of Business, 76(4), 645-663.
描述 碩士
國立政治大學
財務管理學系
112357009
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357009
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 許宸華zh_TW
dc.contributor.author (Authors) Hsu, Chen-Huaen_US
dc.creator (作者) 許宸華zh_TW
dc.creator (作者) Hsu, Chen-Huaen_US
dc.date (日期) 2025en_US
dc.date.accessioned 1-Sep-2025 16:36:36 (UTC+8)-
dc.date.available 1-Sep-2025 16:36:36 (UTC+8)-
dc.date.issued (上傳時間) 1-Sep-2025 16:36:36 (UTC+8)-
dc.identifier (Other Identifiers) G0112357009en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/159339-
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) 112357009zh_TW
dc.description.abstract (摘要) 本研究探討明星基金是否影響共同基金經理人的主動管理行為，以及其主動程度是否能有效預測未來風險調整後報酬。透過對美國共同基金的實證分析，並使用積極比率衡量基金經理人的主動管理程度，實證結果顯示明星基金在下一季的積極比率顯著提高，顯示基金獲得明星地位後基金經理人傾向增加主動管理的程度。此外，非明星基金的積極比率與未來風險調整後報酬之間呈現 U 形關係。然而，研究進一步發現，明星基金提高主動程度會對未來風險調整後報酬產生負面影響，顯示過度的主動管理可能削弱其績效。zh_TW
dc.description.abstract (摘要) This study examines whether star status affects mutual fund managers’ active management behavior and whether the level of activeness can predict future risk-adjusted returns. Based on an empirical analysis of U.S. mutual funds using Active Share as a measure of activeness, the key findings are: star funds significantly increase their Active Share in the subsequent quarter, indicating managers tend to become more active after attaining star status. Additionally, a U-shaped relationship between Active Share and future risk-adjusted returns is found among non-star funds. However, increased activeness in star funds negatively impacts future risk-adjusted returns, suggesting that excessive active management may weaken their performance.en_US
dc.description.tableofcontents 1 Introduction 1 2 Literature Review 3 2.1 Active Management 3 2.2 Measures of Active Management 5 2.3 Factors of Fund Performance 6 2.4 Performance Persistence 7 2.5 Star Funds 9 2.6 Fund Manager’s Behavior 11 2.7 Research Questions 13 3 Data and Methodology 14 3.1 DATA 14 3.2 The Selection of Sample Data 17 3.3 Methodology 17 4 Empirical Results 20 4.1 The Impact of Star Fund Status on Subsequent Active Share 21 4.2 The Impact of Active Share on Subsequent Risk-Adjusted Fund Performance 23 4.3 The Interaction Effect of Star Fund Status and Active Share on Subsequent Risk-Adjusted Performance 25 5Conclusion 30 5.1 Summary of This Study 30 5.2 Recommendations 32 5.3 Future Research Directions 32 6 References 34zh_TW
dc.format.extent 1167661 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357009en_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) 明星基金zh_TW
dc.subject (關鍵詞) 基金風險調整後報酬zh_TW
dc.subject (關鍵詞) Active Shareen_US
dc.subject (關鍵詞) Active managementen_US
dc.subject (關鍵詞) Star funden_US
dc.subject (關鍵詞) Fund’s risk-adjusted returnen_US
dc.title (題名) 明星基金的主動管理與其後績效zh_TW
dc.title (題名) Active Management and Subsequent Performance of Star Fundsen_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Agarwal, V., Gay, G. D., & Ling, L. (2014). Window dressing in mutual funds. The Review of Financial Studies, 27(11), 3133-3170. Berk, J. B., & Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112(6), 1269-1295. Brown, N. C., Wei, K. D., & Wermers, R. (2014). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 60(1), 1-20. Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82. Chevalier, J., & Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of Political Economy, 105(6), 1167-1200. Chen, H. L., Jegadeesh, N., & Wermers, R. (2000). The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis, 35(3), 343-368. Choi, D., & Lou, D. (2010, December). A test of the self-serving attribution bias: evidence from mutual funds. In AFA 2011 Denver Meetings Paper. Choi, J. J., & Zhao, K. (2020). Did mutual fund return persistence persist? (No. w26707). National Bureau of Economic Research. 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. Cremers, K. M., Fulkerson, J. A., & Riley, T. B. (2019). Challenging the conventional wisdom on active management: A review of the past 20 years of academic literature on actively managed mutual funds. Financial Analysts Journal, 75(4), 8-35. Del Guercio, D., & Tkac, P. A. (2008). Star power: The effect of monrningstar ratings on mutual fund flow. Journal of Financial and Quantitative Analysis, 43(4), 907-936. Eshraghi, A., & Taffler, R. (2012). Fund manager overconfidence and investment performance: evidence from mutual funds. Available at SSRN, 2146864. Guercio, D. D., & Reuter, J. (2014). Mutual fund performance and the incentive to generate alpha. The Journal of Finance, 69(4), 1673-1704. Hu, P., Kale, J. R., Pagani, M., and Subramanian, A. (2011). Fund flows, performance, managerial career concerns, and risk taking. Management Science, 57(4), 628-646. Jain, P. C., & Wu, J. S. (2000). Truth in mutual fund advertising: Evidence on future performance and fund flows. The Journal of Finance, 55(2), 937-958. Jones, R. C., & Wermers, R. (2011). Active management in mostly efficient markets. Financial Analysts Journal, 67(6), 29-45. 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. (2012). What drives market share in the mutual fund industry?. Review of Finance, 16(1), 81-113. Lou, D. (2012). A flow-based explanation for return predictability. The Review of Financial Studies, 25(12), 3457-3489. 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. Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2015). Scale and skill in active management. Journal of Financial Economics, 116(1), 23-45. Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93. Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479. Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622. Volkman, D. A., & Wohar, M. E. (1995). Determinants of persistence in relative performance of mutual funds. Journal of Financial Research, 18(4), 415-430. Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1695. Wermers, R. (2003). Is money really 'smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence (May 2003). Wilcox, R. T. (2003). Bargain hunting or star gazing? Investors’ preferences for stock mutual funds, Journal of Business, 76(4), 645-663.zh_TW