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A Study of the Relationship between Mutual Fund Managerial Replacement and Active Management
|Issue Date: ||2018-07-03 17:24:52 (UTC+8)|
This paper examines the relationship between the active management and the managerial replacement of mutual funds. I introduce the active share, the extent how portfolio holdings deviate from its benchmark holdings, to measure the degree of active management of a mutual fund. Empirical results show that there is no significant change in active share before the managerial replacement for a mutual fund, indicating that the fund manager is not aware of the replacement and actively manage the portfolio. In addition, results from logistic regressions show that the probability of managerial replacement is negatively associated with the active share. However, fund managers who manage their portfolios more actively with poor performance are more likely to be replaced. Moreover, new fund managers can obtain better fund performance if they manage their portfolios more actively.
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|Source URI: ||http://thesis.lib.nccu.edu.tw/record/#G0105357013|
|Data Type: ||thesis|
|Appears in Collections:||[財務管理學系] 學位論文|
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