The Study of Fund Performance and Investment Style around Management Changes: Evidence from Open-End Equity Funds in Taiwan
Date Issued
2004
Date
2004
Author(s)
Li, Wei-Chen
DOI
zh-TW
Abstract
I examine changes in performance, risk, and investment style for mutual funds that replaced managers, and attempt to find the possible reasons that may explain the differences. I use a sample of 74 open-end equity funds during 1998-2003 in Taiwan. This study adopts different methods to check hypotheses. Fund performance measurements include the percentage rankings of the fund returns, Jensen alpha and Carhart's (1997) four-factor model. I employ the standard deviation of monthly returns and beta which proxy for total risk and systematic risk. The classification of investment style is based on the fund's asset allocations.
Results show that funds experiencing managerial changes performed better after the changes, but only the percentage rankings were found to be significant. If new managers hadn't been fund managers, fund performances improved after the management changes, but they aren't significant. Whether the funds' establishment time was long or short, new managers who were moved from another firm had uncertain performances. I document that funds' systematic risk increased significantly after the management changes, if former managers belonged to underperformers. More than 77 percent of the funds maintained the same style after the management changes, and centralize on large-cap/growth. Using detailed classification, funds experienced shifts in investment style significantly after the management changes. It had no relation between pre-replacement performance and style shift.
Subjects
共同基金
風險
績效
風格
經理人替換
Investment Style
Mutual Fund
Performance
Risk
Management Change
Type
thesis
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