不同职业路径下基金经理变更对基金业绩的影响
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摘要
本文对2003—2013年基金经理更换事件采用事件分析和面板数据回归进行研究。研究发现基金经理更换后基金业绩得到显著提升,此结论在牛市更显著。当基金历史业绩较好时更换基金经理对业绩没有影响;而当历史业绩较差时更换基金经理则会显著提升业绩。从职业发展路径来看,基金管理经验能有效提升基金经理的投资能力;之前具备资管经验的继任基金经理能够显著提高业绩;并且管理经验来自同一基金公司的继任基金经理更能改善业绩。
This paper analyzes all mutual fund manager changes during 2003 to 2013 in China by using events study method and panel regressions.We find that manager changes can improve the fund performance in the medium term,and this result is robust in both stock market boom and recession situations.There is a significantly positive effect of manager changes on fund performance when the historical fund performance is below the market.When the historical fund performance is above the market,there is no significant effect of manager changes on fund performance.Regarding the manager career path,this study suggests that previous fund managing experience can improve managers'ability.New managers with previous fund managing experience are able to improve fund performance significantly while those without previous experience can't.Last,the previous fund managing experience from the same mutual fund company can bring the improvement quicker than outside fund managing experience.
This paper analyzes all mutual fund manager changes during 2003 to 2013 in China by using events study method and panel regressions.We find that manager changes can improve the fund performance in the medium term,and this result is robust in both stock market boom and recession situations.There is a significantly positive effect of manager changes on fund performance when the historical fund performance is below the market.When the historical fund performance is above the market,there is no significant effect of manager changes on fund performance.Regarding the manager career path,this study suggests that previous fund managing experience can improve managers'ability.New managers with previous fund managing experience are able to improve fund performance significantly while those without previous experience can't.Last,the previous fund managing experience from the same mutual fund company can bring the improvement quicker than outside fund managing experience.
引文
[1]郑杰.我国基金经理更换对基金绩效影响效应的实证研究[D].西安:西安电子科技大学,2012.
[2]J.Golec.The Effects of Mutual Fund ManagersCharacteristics on Their Portfolio Performance,Risk and Fees[J].Financial Services Review,1996,5(2).
[3]J.Kon.The Market-timing Performance of Mutual Fund Manager[J].Journal of Business,2000,56(3).
[4]L.Prather,W.Bertin,T.Henker.Mutual Fund Characteristics,Managerial Attributes,and Fund Performance[J].Review of Financial Economics,2004,13(4).
[5]陈立梅.基金经理人力资本特征与基金业绩关系的实证研究[J].现代管理科学,2008,(11).
[6]廖斌.基金业绩与基金经理个人特征关系的实证研究[D].成都:西南财经大学,2008.
[7]徐明东,黎捷.我国基金经理个人特征与业绩的关系分析[J].世界经济情况,2005,(9).
[8]J.Gallo,L.Lockwood.Fund Management Changes and Equity Style Shifts[J].Financial Analysts Journal,1999,55(5).
[9]A.Khorana.Performance Changes Following Top Management Turnover:Evidence from Open-end Mutual Funds[J].Journal of Financial and Quantitative Analysis,2001,36(3).
[10]D.Gallager,P.Nadarajah.Top Management Turnover:An Analysis of Active Australian Investment Managers[J].Australian Journal of Management,2004,29(2).
[11]W.Bessler,D.Blake,P.Luckoff,I.Tonks.Why Does Mutual Fund Performance Not Persist?The Impact and Interaction of Fund Flows and Manager Changes[EB/OL].https://ssrn.com/abstract=1695890,2018-06-12.
[12]许晓磊.对我国基金调整经理现象的分析[J].证券市场导报,2002,(10).
[13]赵清光.我国基金经理更换与基金绩效[J].市场周刊,2005,(6).
[14]李伟,劳川奇.经理更换对基金影响的实证研究[J].管理现代化,2007,(2).
[15]林伟平.我国基金经理更换的实证分析[D].北京:对外经济贸易大学,2007.
[16]杨敏敏.基金经理更换对基金绩效影响的实证研究——以开放式股票型基金为例[D].杭州:浙江工商大学,2010.
[17]包睿.我国基金经理更换与基金行为特征的实证分析[D].上海:上海交通大学,2008.
[18]吴琦.基金经理个人特征与基金业绩的关系[D].杭州:浙江大学,2010.
[19]于静.基金经理个性特征与盈利能力关系的实证研究——基于中国证券市场的数据[J].商业研究,2013,55(12).
[20]E.Fama,J.Macbeth.Risk,Return,and Equilibrium:Empirical Tests[J].Journal of Political Economy,1973,81(3).
[21]D.Guercio,J.Reuter.Mutual Fund Performance and the Incentive to Generate Alpha[J].Journal of Finance,2014,69(4).
(1)文中所有检验笔者均分别用简单模型和市场模型进行了分析,两者结果相似。为简洁起见,下文将报告基于市场模型的分析结果。
(1)尽管虚拟变量的设置采用延后一期更为合理,笔者还测试了将更换基金经理这一虚拟变量取值为当期的情况。虽然虚拟变量前系数幅度减小,但仍然显著为正。由于篇幅原因不在正文中列出。
[2]J.Golec.The Effects of Mutual Fund ManagersCharacteristics on Their Portfolio Performance,Risk and Fees[J].Financial Services Review,1996,5(2).
[3]J.Kon.The Market-timing Performance of Mutual Fund Manager[J].Journal of Business,2000,56(3).
[4]L.Prather,W.Bertin,T.Henker.Mutual Fund Characteristics,Managerial Attributes,and Fund Performance[J].Review of Financial Economics,2004,13(4).
[5]陈立梅.基金经理人力资本特征与基金业绩关系的实证研究[J].现代管理科学,2008,(11).
[6]廖斌.基金业绩与基金经理个人特征关系的实证研究[D].成都:西南财经大学,2008.
[7]徐明东,黎捷.我国基金经理个人特征与业绩的关系分析[J].世界经济情况,2005,(9).
[8]J.Gallo,L.Lockwood.Fund Management Changes and Equity Style Shifts[J].Financial Analysts Journal,1999,55(5).
[9]A.Khorana.Performance Changes Following Top Management Turnover:Evidence from Open-end Mutual Funds[J].Journal of Financial and Quantitative Analysis,2001,36(3).
[10]D.Gallager,P.Nadarajah.Top Management Turnover:An Analysis of Active Australian Investment Managers[J].Australian Journal of Management,2004,29(2).
[11]W.Bessler,D.Blake,P.Luckoff,I.Tonks.Why Does Mutual Fund Performance Not Persist?The Impact and Interaction of Fund Flows and Manager Changes[EB/OL].https://ssrn.com/abstract=1695890,2018-06-12.
[12]许晓磊.对我国基金调整经理现象的分析[J].证券市场导报,2002,(10).
[13]赵清光.我国基金经理更换与基金绩效[J].市场周刊,2005,(6).
[14]李伟,劳川奇.经理更换对基金影响的实证研究[J].管理现代化,2007,(2).
[15]林伟平.我国基金经理更换的实证分析[D].北京:对外经济贸易大学,2007.
[16]杨敏敏.基金经理更换对基金绩效影响的实证研究——以开放式股票型基金为例[D].杭州:浙江工商大学,2010.
[17]包睿.我国基金经理更换与基金行为特征的实证分析[D].上海:上海交通大学,2008.
[18]吴琦.基金经理个人特征与基金业绩的关系[D].杭州:浙江大学,2010.
[19]于静.基金经理个性特征与盈利能力关系的实证研究——基于中国证券市场的数据[J].商业研究,2013,55(12).
[20]E.Fama,J.Macbeth.Risk,Return,and Equilibrium:Empirical Tests[J].Journal of Political Economy,1973,81(3).
[21]D.Guercio,J.Reuter.Mutual Fund Performance and the Incentive to Generate Alpha[J].Journal of Finance,2014,69(4).
(1)文中所有检验笔者均分别用简单模型和市场模型进行了分析,两者结果相似。为简洁起见,下文将报告基于市场模型的分析结果。
(1)尽管虚拟变量的设置采用延后一期更为合理,笔者还测试了将更换基金经理这一虚拟变量取值为当期的情况。虽然虚拟变量前系数幅度减小,但仍然显著为正。由于篇幅原因不在正文中列出。