臺灣博碩士論文加值系統

近年來，基金已經成為投資人的主要投資工具，同時，也有越來越多檔的基金是用團隊的方式來管理。在本篇研究中，我們嘗試幫助投資人去檢驗基金經理人的好壞，並且提出證據說明控制機制的有效性。特別的是，我們利用區分母體期間模型，說明不同的管理架構以及管理的規模是否會造成基金經理人在存活機率和存活時間上的差異。
我們的研究樣本為1163 檔成長型基金，其中有817 檔基金發生基金經理人降職。在實證中，我們發現單一基金經理人比團隊基金經理人有更高的存活機率，這代表著單一基金經理人通常是比較具有天分的，而團隊的基金經理人則較為普通及沒有經驗。此外，對於單一基金經理人來說，其所管理的其他基金檔數是一個很好的指標，用來比較其和其他單一基金經理人天分的高低。另一方面，大規模管理的基金團隊有比較長的存活時間，這意味著團隊的管理方式在任務特別複雜時，較能展現其優點。

In recent year, funds have become the major investment vehicle for investors and more and more funds are managed by management team. In this research, we try to help investors to examine the fund manager and provide another evidence for the effectiveness of control mechanism. Specially, we use Split Population Duration Model to find out whether difference in the management structure and scale of management will have an effect for fund manager on the probability of survival and survival time.
In our 1163 growth fund sample, of which 817 funds are belong to demotion sample. We find that sole fund manager has higher probability of survival than fund managers in the management team. It provides the evidence indicated that fund managers who managed funds solely on average are more talent, while fund managers in the management team are ordinary and less experienced. In addition, for sole fund manager, the number of other fund managed in the meantime is a good indicator to exhibit how talent he is. On the other hand, management team with large scale
management displays longer survival time, which implies that management team can bring his advantage into full play when the tasks are complex enough.

Contents
1.Introduction .......................................... 1
2.Literature Review...................................... 5
2.1 Performance and Management Turnover ............... 5
2.2 Performance-Flow Relationship...................... 8
2.3 Manager’s Behaviors ..............................10
2.3.1 Herding Behavior ............................11
2.3.2 Window Dressing Activity.....................12
2.3.3 Risk-Taking Activity ........................12
3. Research Design...................................... 15
3.1 Methodology........................................15
3.1.1 Nonparametric Kaplan-Meier Estimate..........15
3.1.2 Cox proportional hazard model................16
3.1.3 Split Population Duration Model (SPDM) ......17
3.2 Variables .........................................19
3.2.1 Performance Measures.........................19
3.2.2 Risk Measures ...............................22
3.3 Data ..............................................30
3.4 Reasons for Managerial Replacement.................30
3.5 Hypotheses.........................................32
3.6 Testing Models.....................................33
4. Empirical Results ................................... 35
4.1 Descriptive Statistics ............................35
4.2 Nonparametric Survival Analysis ...................41
4.3 Split Population Duration Model ...................42
4.3.1 SPDM, Logit and Cox Model ...................42
4.3.2 Management Structure.........................45
4.3.3 Scale Management.............................50
4.4 Robustness Tests ..................................54
4.4.1 Performance .................................54
4.4.2 Risk.........................................68
5. Conclusions ......................................... 86
6. References .......................................... 88

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