English  |  正體中文  |  简体中文  |  Post-Print筆數 : 27 |  Items with full text/Total items : 118204/149236 (79%)
Visitors : 74325258      Online Users : 11050
RC Version 6.0 © Powered By DSPACE, MIT. Enhanced by NTU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version
    政大機構典藏 > 商學院 > 財務管理學系 > 學位論文 >  Item 140.119/159339


    Please use this identifier to cite or link to this item: https://nccur.lib.nccu.edu.tw/handle/140.119/159339


    Title: 明星基金的主動管理與其後績效
    Active Management and Subsequent Performance of Star Funds
    Authors: 許宸華
    Hsu, Chen-Hua
    Contributors: 陳鴻毅
    Chen, Hong-Yi
    許宸華
    Hsu, Chen-Hua
    Keywords: 積極比率
    積極管理
    明星基金
    基金風險調整後報酬
    Active Share
    Active management
    Star fund
    Fund’s risk-adjusted return
    Date: 2025
    Issue Date: 2025-09-01 16:36:36 (UTC+8)
    Abstract: 本研究探討明星基金是否影響共同基金經理人的主動管理行為，以及其主動程度是否能有效預測未來風險調整後報酬。透過對美國共同基金的實證分析，並使用積極比率衡量基金經理人的主動管理程度，實證結果顯示明星基金在下一季的積極比率顯著提高，顯示基金獲得明星地位後基金經理人傾向增加主動管理的程度。此外，非明星基金的積極比率與未來風險調整後報酬之間呈現 U 形關係。然而，研究進一步發現，明星基金提高主動程度會對未來風險調整後報酬產生負面影響，顯示過度的主動管理可能削弱其績效。
    This study examines whether star status affects mutual fund managers’ active management behavior and whether the level of activeness can predict future risk-adjusted returns. Based on an empirical analysis of U.S. mutual funds using Active Share as a measure of activeness, the key findings are: star funds significantly increase their Active Share in the subsequent quarter, indicating managers tend to become more active after attaining star status. Additionally, a U-shaped relationship between Active Share and future risk-adjusted returns is found among non-star funds. However, increased activeness in star funds negatively impacts future risk-adjusted returns, suggesting that excessive active management may weaken their performance.
    Reference: Agarwal, V., Gay, G. D., & Ling, L. (2014). Window dressing in mutual funds. The Review of Financial Studies, 27(11), 3133-3170.
    Berk, J. B., & Green, R. C. (2004). Mutual fund flows and performance in rational markets. Journal of Political Economy, 112(6), 1269-1295.
    Brown, N. C., Wei, K. D., & Wermers, R. (2014). Analyst recommendations, mutual fund herding, and overreaction in stock prices. Management Science, 60(1), 1-20.
    Carhart, M. M. (1997). On persistence in mutual fund performance. The Journal of Finance, 52(1), 57-82.
    Chevalier, J., & Ellison, G. (1997). Risk taking by mutual funds as a response to incentives. Journal of Political Economy, 105(6), 1167-1200.
    Chen, H. L., Jegadeesh, N., & Wermers, R. (2000). The value of active mutual fund management: An examination of the stockholdings and trades of fund managers. Journal of Financial and Quantitative Analysis, 35(3), 343-368.
    Choi, D., & Lou, D. (2010, December). A test of the self-serving attribution bias: evidence from mutual funds. In AFA 2011 Denver Meetings Paper.
    Choi, J. J., & Zhao, K. (2020). Did mutual fund return persistence persist? (No. w26707). National Bureau of Economic Research.
    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.
    Cremers, K. M., Fulkerson, J. A., & Riley, T. B. (2019). Challenging the conventional wisdom on active management: A review of the past 20 years of academic literature on actively managed mutual funds. Financial Analysts Journal, 75(4), 8-35.
    Del Guercio, D., & Tkac, P. A. (2008). Star power: The effect of monrningstar ratings on mutual fund flow. Journal of Financial and Quantitative Analysis, 43(4), 907-936.
    Eshraghi, A., & Taffler, R. (2012). Fund manager overconfidence and investment performance: evidence from mutual funds. Available at SSRN, 2146864.
    Guercio, D. D., & Reuter, J. (2014). Mutual fund performance and the incentive to generate alpha. The Journal of Finance, 69(4), 1673-1704.
    Hu, P., Kale, J. R., Pagani, M., and Subramanian, A. (2011). Fund flows, performance, managerial career concerns, and risk taking. Management Science, 57(4), 628-646.
    Jain, P. C., & Wu, J. S. (2000). Truth in mutual fund advertising: Evidence on future performance and fund flows. The Journal of Finance, 55(2), 937-958.
    Jones, R. C., & Wermers, R. (2011). Active management in mostly efficient markets. Financial Analysts Journal, 67(6), 29-45.
    Khorana, A. (1996). Top management turnover an empirical investigation of mutual fund managers. Journal of Financial Economics, 40(3), 403-427.
    Khorana, A., & Servaes, H. (2012). What drives market share in the mutual fund industry?. Review of Finance, 16(1), 81-113.
    Lou, D. (2012). A flow-based explanation for return predictability. The Review of Financial Studies, 25(12), 3457-3489.
    Nanda, V., Wang, Z. J., & Zheng, L. (2004). Family values and the star phenomenon: Strategies of mutual fund families. The Review of Financial Studies, 17(3), 667-698.
    Pástor, Ľ., Stambaugh, R. F., & Taylor, L. A. (2015). Scale and skill in active management. Journal of Financial Economics, 116(1), 23-45.
    Petajisto, A. (2013). Active share and mutual fund performance. Financial Analysts Journal, 69(4), 73-93.
    Scharfstein, D. S., & Stein, J. C. (1990). Herd behavior and investment. The American Economic Review, 465-479.
    Sirri, E. R., & Tufano, P. (1998). Costly search and mutual fund flows. The Journal of Finance, 53(5), 1589-1622.
    Volkman, D. A., & Wohar, M. E. (1995). Determinants of persistence in relative performance of mutual funds. Journal of Financial Research, 18(4), 415-430.
    Wermers, R. (2000). Mutual fund performance: An empirical decomposition into stock‐picking talent, style, transactions costs, and expenses. The Journal of Finance, 55(4), 1655-1695.
    Wermers, R. (2003). Is money really 'smart'? New evidence on the relation between mutual fund flows, manager behavior, and performance persistence. New Evidence on the Relation Between Mutual Fund Flows, Manager Behavior, and Performance Persistence (May 2003).
    Wilcox, R. T. (2003). Bargain hunting or star gazing? Investors’ preferences for stock mutual funds, Journal of Business, 76(4), 645-663.
    Description: 碩士
    國立政治大學
    財務管理學系
    112357009
    Source URI: http://thesis.lib.nccu.edu.tw/record/#G0112357009
    Data Type: thesis
    Appears in Collections:[Department of Finance] Theses

    Files in This Item:

    File Description SizeFormat
    700901.pdf1140KbAdobe PDF0View/Open


    All items in 政大典藏 are protected by copyright, with all rights reserved.


    社群 sharing

    著作權政策宣告 Copyright Announcement
    1.本網站之數位內容為國立政治大學所收錄之機構典藏，無償提供學術研究與公眾教育等公益性使用，惟仍請適度，合理使用本網站之內容，以尊重著作權人之權益。商業上之利用，則請先取得著作權人之授權。
    The digital content of this website is part of National Chengchi University Institutional Repository. It provides free access to academic research and public education for non-commercial use. Please utilize it in a proper and reasonable manner and respect the rights of copyright owners. For commercial use, please obtain authorization from the copyright owner in advance.

    2.本網站之製作，已盡力防止侵害著作權人之權益，如仍發現本網站之數位內容有侵害著作權人權益情事者，請權利人通知本網站維護人員(nccur@nccu.edu.tw)，維護人員將立即採取移除該數位著作等補救措施。
    NCCU Institutional Repository is made to protect the interests of copyright owners. If you believe that any material on the website infringes copyright, please contact our staff(nccur@nccu.edu.tw). We will remove the work from the repository and investigate your claim.
    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library IR team Copyright ©   - Feedback