标题: 基金经理人情绪与基金绩效预测-拔靴追踪因果关系检定
Fund Manager Sentiment and Performance Prediction: Bootstrap Panel Granger Causality Test
作者: 叶智丞
Chih-Cheng Yeh
关键字: 共同基金;基金绩效;经理人情绪;拔靴追踪法;Mutual Fund;Sentiment;Fund Performance;Panel Granger Causality Test
公开日期: 2017
出版社: 国立交通大学
National Chiao Tung University
摘要: 基金绩效是否可以预测,过去相关文献主要是从基金的过去报酬、基金流量、经理人的选股能力与外在特质等进行研究,本研究则从基金经理人的内在心理角度来分析。本文首先确认了32 档中小型基金经理人情绪与基金绩效之间,存在着横断面相依与异质性,其次,采用Kónya (2006) 的拔靴追踪因果关系模型,检视中小型基金经理人情绪与基金绩效的四种因果关系:乐观、保守、回馈与中立,并建立四种基金投资组合。实证结果发现,不论持有期是一年或二年,中立因果关系型的投资组合,即基金经理人情绪与基金绩效互相没有影响的报酬最佳;回馈因果关系型的投资组合,即基金经理人情绪与基金绩效互相影响的报酬最低。在进一步考虑风险变数下,发现基金经理人投资策略不受情绪与系统风险影响的基金,有更优异的绩效表现。
If fund performance could be predicted, previous related reference documents had studied the past compensation of fund, fund flows and security selection ability of manager and external characteristics, but this study is analyzed from internal psychological point of view. This paper firstly confirms that there is cross section dependence and heterogeneity between 32 middle and small size fund managers' sentiment and fund performance. Next, five years as a ection moves year by year and there are totally 9 sections, it adopted the Kónya (2006) Bootstrapping Causality Model and inspects the four causalities of managers' sentiment and fund performance within these sections: optimistic, conservative, feedback and neutrality, and established four fund portfolio. It proves that no matter the holding period is one or two year, the investment portfolio of neutrality causality that is the fund managers' sentiment and fund performance are not affected by each other, the compensation is the best; the investment portfolio of feedback causality that is the fund managers' sentiment and fund performance are affected by each other, the compensation is the worst. In the further analysis, the investment strategy of the fund manager is not influenced by sentiment and system risk, and has the better performance of compensation.
URI: http://hdl.handle.net/11536/138268
ISSN: 1023-9863
期刊: 管理与系统
Journal of Management and System
Volume: 24
Issue: 1
起始页: 73
结束页: 101
显示于类别:Journal of Management and System


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