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    政大典藏 > College of Commerce > Department of Finance > Theses >  Item 140.119/118226


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/118226


    Title: 共同基金經理人撤換與積極管理關係之研究
    A Study of the Relationship between Mutual Fund Managerial Replacement and Active Management
    Authors: 伏家宜
    Fu, Chia-Yi
    Contributors: 陳鴻毅
    伏家宜
    Fu, Chia-Yi
    Keywords: 積極比率
    積極管理
    經理人撤換
    經理人行為
    Active share
    Active management
    Managerial replacement
    Managers’ behavior
    Date: 2018
    Issue Date: 2018-07-03 17:24:52 (UTC+8)
    Abstract: 本研究主要探討共同基金經理人撤換與積極管理之間的關係。利用積極比率衡量基金經理人的積極管理程度，本研究預期基金之積極比率與經理人被撤換的機率是呈反向關係。實證結果顯示積極比率在基金經理人撤換前並無顯著改變，即基金經理人無法提前一年得知自己將被撤換而改變其基金管理之積極程度。此外，邏輯斯模型結果顯示一般情況下基金的積極比率越低，基金經理人被撤換的機率較高。然而，若基金經理人積極地管理但基金績效不彰，其被撤換機率亦較高。撤換過後之新的基金經理人若愈積極管理，其基金績效將愈高。
    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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    Description: 碩士
    國立政治大學
    財務管理學系
    105357013
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0105357013
    Data Type: thesis
    DOI: 10.6814/THE.NCCU.Finance.001.2018.F07
    Appears in Collections:[Department of Finance] Theses

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