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  • 學位論文

家族特性、擇時能力與基金經理人替換之關係

A study on the Correlation among Family’s Characteristics, Market Timing Ability and Mutual Fund Manager Change

指導教授 : 林嘉慧
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摘要


基金經理人的替換是家族的決策,家族的特性將會影響基金經理人之替換。因此,經理人的替換受家族的因素影響,可能會大於經理人本身的特性或其操作績效。本研究樣本以台灣的股票開放型基金為主要研究對象,研究期間為2001年至2015年12月,本研究首先探討不同的家族,在經理人的選用是否有差異及不同家族在選股能力與擇時能力上是否有差異;接著探討基金經理人替換前後,家族特性、經理人操作能力的特性是否有差異;最後則探討家族特性、經理人操作能力、家族存有明星基金或老狗基金時與經理人替換頻率之關係。 研究發現基金公司偏好僱用男性及碩士學歷以上的基金經理人,大部分的基金公司其基金經理人操作年資皆相當短,在家族的選股能力及擇時能力部分,研究發現基金經理人整體而言並沒有選股能力,無法賺取較多的超額報酬。而在擇時能力部分,只有30%的公司具有擇時能力。實證結果發現經理人被替換後,家族規模、家族週轉率及費用率在經理人替換後皆有明顯下降的趨勢,下降幅度皆達顯著水準,且更換後擇時能力明顯上升。當家族規模愈小時及家族週轉率愈高時,基金經理人愈容易被替換,然而台灣基金家族的選股能力與擇時能力皆與基金經理人替換無關,當家族存有明星基金或老狗基金時,對經理人替換頻率皆達正向顯著關係。

並列摘要


Managerial turnover in the fund industry is a family decision. Therefore, we should consider the impact of family characteristics on managerial turnover. Using a sample of domestic equity fund managers experiencing replacement between 2001-2015, this paper first explore different families whether there are differences in the manager's choice, stock-picking ability and market timing ability. Then we study the pre and post difference between the replacement of mutual fund managers by family characteristics, the manager's ability to operate. The regression model is used to estimate the probability of selecting a managerial turnover by family characteristics, the manager's ability to operate. If there a star (dog) fund in the family, are managers more easily to be replaced? The study found that fund companies prefer to employ for Men and master's degree managers, most of the managers’ experience are relatively short. There are no stock picking ability and timing ability in most families, only 30 percent of companies have timing ability. We find that the families have lower size, turnover ratio and expense ratio after the fund manager changes, and the timing ability increased significantly. We also find that the family size smaller and family turnover ratio higher, and if the family has star funds or dog funds, fund managers more easily replaced. However, Taiwan's family stock picking ability and timing ability both unrelated to the replacement of fund managers.

參考文獻


中文部分
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吳旭裕(民95)。高年資高績效嗎?基金經理人年資與基金績效之再探討。義守大學財務金融研究所碩士論文,高雄市。
李唯甄(民92)。臺灣共同基金經理人替換之績效與風格分析。台大國際企業學研究所碩士論文,台北市。

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