Dissertation/ Thesis
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
| العنوان: | 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 |
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| المؤلفون: | 林彥宇, LIN, YEN-YU |
| المساهمون: | 陳鴻毅, Chen, Hong-Yi |
| سنة النشر: | 2024 |
| المجموعة: | National Chengchi University Institutional Repository (NCCUIR) |
| مصطلحات موضوعية: | 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 |
| الوصف: | 碩士 ; 國立政治大學 ; 財務管理學系 ; 111357026 ; 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. ; 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 33 |
| نوع الوثيقة: | thesis |
| وصف الملف: | 789043 bytes; application/pdf |
| اللغة: | unknown |
| Relation: | 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.; G0111357026; https://nccur.lib.nccu.edu.tw//handle/140.119/152728; https://nccur.lib.nccu.edu.tw/bitstream/140.119/152728/1/702601.pdf |
| الاتاحة: | https://nccur.lib.nccu.edu.tw//handle/140.119/152728 https://nccur.lib.nccu.edu.tw/bitstream/140.119/152728/1/702601.pdf |
| رقم الانضمام: | edsbas.517AE5 |
| قاعدة البيانات: | BASE |
| الوصف غير متاح. |