1. NCCU Academic Hub
  2. Publications
  3. College of Commerce
  4. Theses
  5. Item

Publications-Theses

Article View/Open

Publication Export

Google ScholarTM

NCCU Library

Citation Infomation

Related Publications in TAIR

題名 ESG基金與基金經理人撤換
ESG funds and fund manager turnover
作者 劉旻諺
Liu, Min-Yan
貢獻者 陳鴻毅
Chen, Hong-Yi
劉旻諺
Liu, Min-Yan
關鍵詞 共同基金
基金經理人撤換
ESG
Mutual fund
Managerial replacement
ESG
日期 2025
上傳時間 2-Oct-2025 11:01:52 (UTC+8)
摘要 隨著ESG投資的快速成長，現有大多數研究聚焦於探討ESG基金的財務績效，而較少關注ESG分類是否會影響基金經理人的更換。本研究旨在探討ESG基金與非ESG基金在基金經理人撤換的可能性是否存在差異，以及過去績效與基金流量對撤換決策影響是否有所不同。本研究使用1999年至2024年間美國共同基金資料，透過羅吉斯迴歸模型進行實證分析。結果顯示，ESG基金與非ESG基金在經理人撤換的可能性上並無顯著差異；過去績效不佳及資金流出皆會顯著提高經理人撤換的機率，僅有部分證據顯示ESG基金在經理人撤換決策中對績效不佳的敏感度較低，基金流量的影響則在兩種基金中並無顯著差異。這些結果顯示，儘管ESG基金有較廣泛的目標，基金公司在做出經理人撤換決策時，仍會對ESG與非ESG基金採取相似的績效與資金穩定性標準。本研究補足文獻中關於ESG分類與基金經理人撤換關係的缺口，進而有助於深化對ESG投資及經理人變動的理解。
With the rapid growth of Environmental, Social, and Governance (ESG) investing, most existing research has focused on financial performance, while little attention has been given to whether ESG classification influences fund manager replacement. This study examines whether ESG funds differ from non-ESG funds in the likelihood of manager turnover and in the effects of past performance and fund flows on replacement decisions. This study uses logistic regression on U.S. mutual fund data from 1999–2024, the analysis finds no significant difference in the probability of manager replacement between ESG and non-ESG funds. Poor performance and fund outflows both significantly increase the likelihood of manager replacement. There is limited evidence that ESG funds are less sensitive to underperformance in replacement decisions, whereas the impact of fund flows shows no significant difference between ESG and non-ESG funds. These imply that, despite broader ESG objectives, fund companies apply similar performance and capital stability standards when making managerial replacement decisions across both ESG and non-ESG funds. This study fills a gap in the literature by investigating how ESG classification relates to fund manager replacement, thereby contributing to a better understanding of ESG investing and managerial turnover.
參考文獻 Adams, J. C., Mansi, S. A., & Nishikawa, T. (2012). Public versus private ownership and fund manager turnover. Financial Management, 42(1), 127-154. Alda, M. (2020). ESG fund scores in UK SRI and conventional pension funds: Are the ESG concerns of the SRI niche affecting the conventional mainstream? Finance Research Letters, 36, 101313. Bollen, N. P. B. (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis, 42(3), 683-708. Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). Indexing and active fund management: International evidence. Journal of Financial Economics, 120(3), 539-560. Derwall, J., Koedijk, K., & Ter Horst, J. (2011). A tale of values-driven and profit-seeking social investors. Journal of Banking & Finance, 35(8), 2137-2147. El Ghoul, S., & Karoui, A. (2017). Does corporate social responsibility affect mutual fund performance and flows? Journal of Banking & Finance, 77, 53-63. Filbeck, A., Filbeck, G., & Zhao, X. (2019). Performance assessment of firms following sustainalytics ESG principles. The Journal of Investing, 28(2), 7-20. Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233. Ghoul, S. E., & Karoui, A. (2021). What's in a (green) name? The consequences of greening fund names on fund flows, turnover, and performance. Finance Research Letters, 39. Gibbon, K., Derwall, J., Gerritsen, D., & Koedijk, K. (2025). Renaming with purpose: Investor response and fund manager behaviour after fund ESG renaming. Journal of International Money and Finance, 152. Hu, F., Hall, A., & Harvey, C. (2000). Promotion or demotion? An empirical investigation of the determinants of top mutual fund manager change. Unpublished manuscript, Duke University. 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. 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. Mallin, C. A., Saadouni, B., & Briston, R. J. (1995). The financial performance of ethical investment funds. Journal of Business Finance & Accounting, 22(4), 483-496. Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193. Plagge, J.-C., & Grim, D. M. (2020). Have investors paid a performance price? Examining the behavior of ESG equity funds. The Journal of Portfolio Management, 46(3), 123-140. Renneboog, L., Ter Horst, J., & Zhang, C. (2008a). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance, 14(3), 302-322. Renneboog, L., Ter Horst, J., & Zhang, C. (2011). Is ethical money financially smart? Nonfinancial attributes and money flows of socially responsibleinvestment funds. Journal of Financial Intermediation, 20(4), 562-588. Renneboog, L., Ter Horst, J., & Zhang, C. D. (2008b). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32(9), 1723-1742. Riedl, A., & Smeets, P. (2017). Why do investors hold socially responsible mutual funds? The Journal of Finance, 72(6), 2505-2550. Starks, L. T. (2023). Presidential address: Sustainable finance and ESG issues—value versus values. The Journal of Finance, 78(4), 1837-1872. Statman, M. (2000). Socially responsible mutual funds. Financial Analysts Journal, 56(3), 30-39.
描述 碩士
國立政治大學
財務管理學系
112357008
資料來源 http://thesis.lib.nccu.edu.tw/record/#G0112357008
資料類型 thesis
dc.contributor.advisor 陳鴻毅zh_TW
dc.contributor.advisor Chen, Hong-Yien_US
dc.contributor.author (Authors) 劉旻諺zh_TW
dc.contributor.author (Authors) Liu, Min-Yanen_US
dc.creator (作者) 劉旻諺zh_TW
dc.creator (作者) Liu, Min-Yanen_US
dc.date (日期) 2025en_US
dc.date.accessioned 2-Oct-2025 11:01:52 (UTC+8)-
dc.date.available 2-Oct-2025 11:01:52 (UTC+8)-
dc.date.issued (上傳時間) 2-Oct-2025 11:01:52 (UTC+8)-
dc.identifier (Other Identifiers) G0112357008en_US
dc.identifier.uri (URI) https://nccur.lib.nccu.edu.tw/handle/140.119/159692-
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) 112357008zh_TW
dc.description.abstract (摘要) 隨著ESG投資的快速成長，現有大多數研究聚焦於探討ESG基金的財務績效，而較少關注ESG分類是否會影響基金經理人的更換。本研究旨在探討ESG基金與非ESG基金在基金經理人撤換的可能性是否存在差異，以及過去績效與基金流量對撤換決策影響是否有所不同。本研究使用1999年至2024年間美國共同基金資料，透過羅吉斯迴歸模型進行實證分析。結果顯示，ESG基金與非ESG基金在經理人撤換的可能性上並無顯著差異；過去績效不佳及資金流出皆會顯著提高經理人撤換的機率，僅有部分證據顯示ESG基金在經理人撤換決策中對績效不佳的敏感度較低，基金流量的影響則在兩種基金中並無顯著差異。這些結果顯示，儘管ESG基金有較廣泛的目標，基金公司在做出經理人撤換決策時，仍會對ESG與非ESG基金採取相似的績效與資金穩定性標準。本研究補足文獻中關於ESG分類與基金經理人撤換關係的缺口，進而有助於深化對ESG投資及經理人變動的理解。zh_TW
dc.description.abstract (摘要) With the rapid growth of Environmental, Social, and Governance (ESG) investing, most existing research has focused on financial performance, while little attention has been given to whether ESG classification influences fund manager replacement. This study examines whether ESG funds differ from non-ESG funds in the likelihood of manager turnover and in the effects of past performance and fund flows on replacement decisions. This study uses logistic regression on U.S. mutual fund data from 1999–2024, the analysis finds no significant difference in the probability of manager replacement between ESG and non-ESG funds. Poor performance and fund outflows both significantly increase the likelihood of manager replacement. There is limited evidence that ESG funds are less sensitive to underperformance in replacement decisions, whereas the impact of fund flows shows no significant difference between ESG and non-ESG funds. These imply that, despite broader ESG objectives, fund companies apply similar performance and capital stability standards when making managerial replacement decisions across both ESG and non-ESG funds. This study fills a gap in the literature by investigating how ESG classification relates to fund manager replacement, thereby contributing to a better understanding of ESG investing and managerial turnover.en_US
dc.description.tableofcontents Chapter 1 Introduction 1 Chapter 2 Literature review 4 2.1 Motivations for ESG fund investment 4 2.2 Performance of ESG fund 4 2.3 Fund matching method 5 2.4 Replacement of fund manager 6 2.5 Research question development 7 Chapter 3 Data and methodology 10 3.1 Data sources 10 3.2 ESG fund selection 10 3.3 Summary statistics 11 3.4 Methodology 11 Chapter 4 Empirical results 15 4.1 Static analysis 15 4.2 Logistic regression 16 4.2.1 Manager replacement and ESG classification 16 4.2.2 Manager replacement, fund performance, and flow 18 4.3 Robustness tests 20 4.3.1 Matching samples 20 Chapter 5 Conclusion 24 References 26zh_TW
dc.format.extent 838336 bytes-
dc.format.mimetype application/pdf-
dc.source.uri (資料來源) http://thesis.lib.nccu.edu.tw/record/#G0112357008en_US
dc.subject (關鍵詞) 共同基金zh_TW
dc.subject (關鍵詞) 基金經理人撤換zh_TW
dc.subject (關鍵詞) ESGzh_TW
dc.subject (關鍵詞) Mutual funden_US
dc.subject (關鍵詞) Managerial replacementen_US
dc.subject (關鍵詞) ESGen_US
dc.title (題名) ESG基金與基金經理人撤換zh_TW
dc.title (題名) ESG funds and fund manager turnoveren_US
dc.type (資料類型) thesisen_US
dc.relation.reference (參考文獻) Adams, J. C., Mansi, S. A., & Nishikawa, T. (2012). Public versus private ownership and fund manager turnover. Financial Management, 42(1), 127-154. Alda, M. (2020). ESG fund scores in UK SRI and conventional pension funds: Are the ESG concerns of the SRI niche affecting the conventional mainstream? Finance Research Letters, 36, 101313. Bollen, N. P. B. (2007). Mutual fund attributes and investor behavior. Journal of Financial and Quantitative Analysis, 42(3), 683-708. Cremers, M., Ferreira, M. A., Matos, P., & Starks, L. (2016). Indexing and active fund management: International evidence. Journal of Financial Economics, 120(3), 539-560. Derwall, J., Koedijk, K., & Ter Horst, J. (2011). A tale of values-driven and profit-seeking social investors. Journal of Banking & Finance, 35(8), 2137-2147. El Ghoul, S., & Karoui, A. (2017). Does corporate social responsibility affect mutual fund performance and flows? Journal of Banking & Finance, 77, 53-63. Filbeck, A., Filbeck, G., & Zhao, X. (2019). Performance assessment of firms following sustainalytics ESG principles. The Journal of Investing, 28(2), 7-20. Friede, G., Busch, T., & Bassen, A. (2015). ESG and financial performance: Aggregated evidence from more than 2000 empirical studies. Journal of Sustainable Finance & Investment, 5(4), 210-233. Ghoul, S. E., & Karoui, A. (2021). What's in a (green) name? The consequences of greening fund names on fund flows, turnover, and performance. Finance Research Letters, 39. Gibbon, K., Derwall, J., Gerritsen, D., & Koedijk, K. (2025). Renaming with purpose: Investor response and fund manager behaviour after fund ESG renaming. Journal of International Money and Finance, 152. Hu, F., Hall, A., & Harvey, C. (2000). Promotion or demotion? An empirical investigation of the determinants of top mutual fund manager change. Unpublished manuscript, Duke University. 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. 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. Mallin, C. A., Saadouni, B., & Briston, R. J. (1995). The financial performance of ethical investment funds. Journal of Business Finance & Accounting, 22(4), 483-496. Nofsinger, J., & Varma, A. (2014). Socially responsible funds and market crises. Journal of Banking & Finance, 48, 180-193. Plagge, J.-C., & Grim, D. M. (2020). Have investors paid a performance price? Examining the behavior of ESG equity funds. The Journal of Portfolio Management, 46(3), 123-140. Renneboog, L., Ter Horst, J., & Zhang, C. (2008a). The price of ethics and stakeholder governance: The performance of socially responsible mutual funds. Journal of Corporate Finance, 14(3), 302-322. Renneboog, L., Ter Horst, J., & Zhang, C. (2011). Is ethical money financially smart? Nonfinancial attributes and money flows of socially responsibleinvestment funds. Journal of Financial Intermediation, 20(4), 562-588. Renneboog, L., Ter Horst, J., & Zhang, C. D. (2008b). Socially responsible investments: Institutional aspects, performance, and investor behavior. Journal of Banking & Finance, 32(9), 1723-1742. Riedl, A., & Smeets, P. (2017). Why do investors hold socially responsible mutual funds? The Journal of Finance, 72(6), 2505-2550. Starks, L. T. (2023). Presidential address: Sustainable finance and ESG issues—value versus values. The Journal of Finance, 78(4), 1837-1872. Statman, M. (2000). Socially responsible mutual funds. Financial Analysts Journal, 56(3), 30-39.zh_TW