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研究生:吳侑紋
研究生(外文):Yu-Wen Wu
論文名稱:新基金經理人績效之實証分析
論文名稱(外文):The Performance Analysis of New Fund Managers
指導教授:賴慧文賴慧文引用關係
指導教授(外文):Christine W.Lai
學位類別:碩士
校院名稱:元智大學
系所名稱:財務金融學系
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2007
畢業學年度:95
語文別:英文
論文頁數:37
中文關鍵詞:新基金基金經理人績效外溢效果
外文關鍵詞:New FundFund ManagerPerformanceSpillover Effect
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本論文研究於1993年至2005年間成立於美國基金市場的新基金其經理人的管理績效。研究結果發現,長期而言,兼職的基金經理人可能因分散心力去管理多檔基金而使得基金表現較專職者顯著為差。於總樣本中,新基金經理人的派遣不是明顯來自過去表現優秀或是表現不好的基金,且過去績效不佳的經理人其兼管的新基金短期績效也顯著不好,說明其間存在短期績效持續現象。此外,新基金的配對基金之績效對新基金的資金淨流入有顯著正向影響,即存在外溢效果,亦指投資人偏好投資於擁有優秀績效經驗之經理人的新基金。
This study provides a performance analysis of new fund managers based on the U.S. equity funds incepted over the period 1993-2005. There are several findings. First, the long-term performance of new funds whose managers manage both new and seasoned funds at the same time is worse than that of new funds with full-time managers, indicating that the “part-time” managers would distract their effort. Secondly, based on a sub-sample of paired new funds and matched seasoned funds connected by the same fund managers, it is found that the short-term performance persistence exists for new fund managers with poor prior performance. Third, this study documents a significantly positive spillover effect of return of the matched seasoned fund on the new fund net inflow during the first twelve months following new fund inception. It indicates that investors prefer to invest in new funds whose managers have better prior fund performance.
CONTENTS
1. INTRODUCTION 1
2. LITERATURE REVIEW 3
3. HYPOTHESES 6
4. DATA 9
4.1 IDENTIFY THE CONTROL SEASONED FUND AND MEASURE THE PERFORMANCE OF NEW FUNDS 9
5. METHODOLOGY 11
5.1 MODELS OF PERFORMANCE MEASUREMENT 11
5.2 EMPIRICAL METHOD TO TEST THE HYPOTHESIS OF PERFORMANCE PERSISTENCE 12
5.3 EMPIRICAL METHOD TO EXAMINE THE RELATION BETWEEN PERFORMANCE OF MATCHED FUNDS AND PERFORMANCE OR INFLOW OF NEW FUNDS 13
6. EMPIRICAL RESULTS 16
6.1 PERFORMANCE OF NEW FUND MANAGERS 16
6.2 PERFORMANCE PERSISTENCE PHENOMENON OF NEW FUNDS 17
6.3 THE RELATION BETWEEN PERFORMANCE OF MATCHED FUNDS AND PERFORMANCE OR INFLOW OF NEW FUNDS 19
7. CONCLUSIONS 21
REFERENCES 23
References

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Brown, S., and W. Goetzmann, 1995, “Performance Persistence,” The Journal of Finance, 50, 679–698

Berzins, Janis, 2005, “Do Families Matter in Institutional Money Management Industry the Case of New Portfolio Openings,” Working paper, Indiana University.

Bollen, N., and J. Busse, 2004, “Short-Term Persistence in Mutual Fund Performance,’’ The Review of Financial Studies, 18, 569–597

Carhart, M., 1997, ‘‘On Persistence in Mutual Fund Performance,’’ Journal of Finance, 52, 57–82

Daniel, K., M.Grinblatt, S. Titman and R. Wermers, 1997, “Measuring Mutual Fund Performance with Characteristic-Based Benchmarks,” The Journal of Finance, 52, 1035–1058

Fama. Eugene F. and Kenneth French, 1993, “Common risk factors in the return on stocks and bonds,” Journal of Financial Economics, 33, 3–56

Faff, R., J. Parwada, and J. Yang, 2006, “Fund managers’ institutional background and the birth of investment management companies,” Working paper, Monash University, University of New South Wales, and University of Western Australia.

Gallagher, David R., Nadarajah, Prashanthi and Matt, Pinnuck, 2005, “Top management turnover: An examination of portfolio holdings and fund performance,” Working paper, The University of New South Wales, and The University of Melbourne.

Grinblatt, M., and M. Keloharju, 2000, ‘‘The Investment Behavior and Performance of Various Investor Types: A Study of Finland’s Unique Data Set,’’ Journal of Financial Economics, 55, 43–67.

Grinblatt, M., S. Titman, and R.Wermers, 1995, ‘‘Momentum Investing Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior,’’ American Economic Review, 85, 1088–1105.

Hendricks, D., J. Patel, and R. Zeckhauser, 1993, ‘‘Hot Hands in Mutual Funds: Short-Run Persistence of Performance, 1974–1988,’’ Journal of Finance, 48, 93–130.

Jegadeesh, N., and S. Titman, 1993, ‘‘Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency,’’ Journal of Finance, 48, 65–91.

Khorana, Ajay, and Servaes, Henri, 1999, “The Determinants of Mutual Fund Starts,” The Review of Financial Studies, 12, 1043–1074.

Loranth, Gyongyi and Emanuela, Sciubba, 2002, “Relative Performance, Risk and Entry in the Mutual Fund Industry,”Working paper, The University of Cambridge.

Nanda, V., Z. Wang and L. Zheng, 2004, “ Family Values and the Star Phenomenon: Strategies of Mutual Fund Families,” The Review of Financial Studies, 17, 667–698
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