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1.
Top management turnover an empirical investigation of mutual fund managers   总被引:1,自引:0,他引:1  
This paper examines the relation between the replacement of mutual fund managers and their prior performance. Using the growth rate in a fund's asset base and its portfolio returns as two separate measures of performance, I document an inverse relation between the probability of managerial replacement and fund performance. The sample of departing fund managers exhibits higher portfolio turnover rates and higher expenses relative to an objective-matched sample of nonreplaced fund managers. The overall evidence is consistent with the presence of well-functioning internal and external market mechanisms for mutual fund managers.  相似文献   

2.
This article develops and applies new measures of portfolio performance which use benchmarks based on the characteristics of stocks held by the portfolios that are evaluated. Specifically, the benchmarks are constructed from the returns of 125 passive portfolios that are matched with stocks held in the evaluated portfolio on the basis of the market capitalization, book-to-market, and prior-year return characteristics of those stocks. Based on these benchmarks, “Characteristic Timing” and “Characteristic Selectivity” measures are developed that detect, respectively, whether portfolio managers successfully time their portfolio weightings on these characteristics and whether managers can select stocks that outperform the average stock having the same characteristics. We apply these measures to a new database of mutual fund holdings covering over 2500 equity funds from 1975 to 1994. Our results show that mutual funds, particularly aggressive-growth funds, exhibit some selectivity ability, but that funds exhibit no characteristic timing ability.  相似文献   

3.
This paper studies the performance of U.S. bond mutual funds using measures constructed from a novel data set of portfolio weights. Active fund managers exhibit outperformance before costs and fees generating, on average, gross returns of 1% per annum over the benchmark portfolio constructed using past holdings (approximately the same magnitude as expenses and transaction costs combined). This suggests that fund managers are able to earn back their fees and costs. There is evidence of neutral ability to time different portfolio allocations (sector, credit quality, and portfolio maturity allocations) and only a subgroup of bond funds exhibit successful timing ability. One performance measure based on portfolio holdings predicts future fund performance and provides information not contained in the standard measures. These results provide the first evidence of the value of active management in bond mutual funds.  相似文献   

4.
We study the performance persistence of alternative UCITS funds, which are a hybrid between mutual funds and hedge funds. Persistence is gauged by alternative measures of performance and risk. Based on contingency tables, we find that performance persists for up to 2 years following ranking. However, persistence is stronger in the short run, and ranked portfolio tests indicate that investors can benefit from persistence for only up to 1 year. The evidence for persistence in risk is ambiguous. We link fund characteristics to performance persistence and find that offshore hedge fund experience enhances persistence. Our results are robust against survivorship bias and other potential database biases.  相似文献   

5.
陈胜蓝  李璟 《金融研究》2021,492(6):170-188
基金网络在金融市场的信息流动中发挥着重要作用。本文利用基金共同持股关系构建了一个有效的基金网络数据集,以中国资本市场股票型基金2005-2018年季度数据为研究样本,考察基金网络是否以及如何影响投资绩效。结果表明,基金在基金网络中越处于网络中心地位,基金的投资绩效越高。使用基金家族网络作为工具变量缓解内生性偏误后,基金网络仍然对投资绩效具有显著的正向影响。进一步地,本文考察了基金网络影响投资绩效的渠道,结果表明,基金网络主要通过提高基金的选股技能、资产配置技能和管理技能影响投资绩效。最后,本文考察了基金网络对基金市场份额的影响,研究发现基金网络会显著提高基金的市场份额,对基金在市场上的占有率有积极的正向影响。  相似文献   

6.
罗荣华  田正磊  方红艳 《金融研究》2015,482(8):188-206
如何识别出优秀的基金管理者,理解其信息决策机制,对于优化资源配置、提升市场效率具有重要意义。本文探究了基金经理对自身所处基金网络中的共享信息的使用程度与其管理能力之间的关系。具体而言,本文通过基金的重仓持股构建了基金网络,采用基金自身交易与其所处网络中其他基金平均交易的偏离程度作为该基金对基金网络中信息使用的衡量。研究发现:(1)对基金网络中信息使用程度较低的基金的业绩要显著好于对基金网络中信息使用程度较高的基金。(2)更高的超额收益主要来源于基金经理优异的选股能力,虽由此承担了更多的异质性风险,却并未增大总体风险水平。(3)基金经理更换数据表明基金对网络内信息的使用程度更多地与基金经理特征相关而非与基金特征相关。(4)网络内信息使用程度直接反映了基金私有信息含量,因此更可能与基金经理能力相关。  相似文献   

7.
罗荣华  田正磊  方红艳 《金融研究》2020,482(8):188-206
如何识别出优秀的基金管理者,理解其信息决策机制,对于优化资源配置、提升市场效率具有重要意义。本文探究了基金经理对自身所处基金网络中的共享信息的使用程度与其管理能力之间的关系。具体而言,本文通过基金的重仓持股构建了基金网络,采用基金自身交易与其所处网络中其他基金平均交易的偏离程度作为该基金对基金网络中信息使用的衡量。研究发现:(1)对基金网络中信息使用程度较低的基金的业绩要显著好于对基金网络中信息使用程度较高的基金。(2)更高的超额收益主要来源于基金经理优异的选股能力,虽由此承担了更多的异质性风险,却并未增大总体风险水平。(3)基金经理更换数据表明基金对网络内信息的使用程度更多地与基金经理特征相关而非与基金特征相关。(4)网络内信息使用程度直接反映了基金私有信息含量,因此更可能与基金经理能力相关。  相似文献   

8.
We provide evidence on the performance and the replication success of a broad sample of 72 synthetic hedge funds from January 2009 to December 2013. Thereby, we assign the term “synthetic hedge fund” to mutual funds and exchange-traded funds with hedge fund indices as their benchmarks. Replication success is measured through different perspectives from distributional characteristics to risk-adjusted performance. We find an overall significant underperformance of synthetic hedge funds compared to an appropriate benchmark index. Furthermore, mutual funds (associated with active portfolio management) can produce return characteristics closer to hedge fund benchmarks than exchange-traded funds (associated with passive management) can. From a single strategy perspective, we find a picture of heterogeneity. Regarding the market environment, we show larger return differences for unusual market conditions than for regular ones.  相似文献   

9.
This paper analyzes how mutual fund performance relates to past performance. These tests are based on a multiple portfolio benchmark that was formed on the basis of securities characteristics. We find evidence that differences in performance between funds persist over time and that this persistence is consistent with the ability of fund managers to earn abnormal returns.  相似文献   

10.
This paper examines the determinants of cross-sectional variation in post-merger mutual fund performance. Mergers between funds with similar management objectives, as reflected by average portfolio book-to-market ratio, price–earnings ratio, beta and market capitalization values, outperform mergers between funds with dissimilar strategies. This superior performance transcends lower portfolio rebalancing costs which might be realized between merging funds which hold more assets in common. These results suggest that mutual fund mergers create collaborative benefits between funds with similar strategies. We also examine if fund governance structures influence the fund pairing process, testing if stronger fund oversight mitigates pairing mismatches. We find that less independent boards of trustees and boards with higher compensation are related to greater strategic mismatches between funds. These results suggest that more entrenched boards are more tolerant of fund mismatches which benefit the investment company, yet are not in investor’s best interests.  相似文献   

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