Idiosyncratic Risk and Fund Manager Skills
碩士 === 元智大學 === 財務金融學程 === 99 === This paper intends to exploit the information contained in the fund holdings as an identification of fund manager skills. Specifically, using the idiosyncratic risk contained in fund portfolio holdings as a proxy for fund manager`s private information, this study ex...
Main Authors: | , |
---|---|
Other Authors: | |
Format: | Others |
Language: | en_US |
Published: |
2011
|
Online Access: | http://ndltd.ncl.edu.tw/handle/51602175538619679350 |
id |
ndltd-TW-099YZU05304009 |
---|---|
record_format |
oai_dc |
spelling |
ndltd-TW-099YZU053040092016-04-13T04:16:58Z http://ndltd.ncl.edu.tw/handle/51602175538619679350 Idiosyncratic Risk and Fund Manager Skills 特性風險與基金經理人能力 Yen-Pu Chen 陳彥樸 碩士 元智大學 財務金融學程 99 This paper intends to exploit the information contained in the fund holdings as an identification of fund manager skills. Specifically, using the idiosyncratic risk contained in fund portfolio holdings as a proxy for fund manager`s private information, this study examines the relationship between fund performance and idiosyncratic risk, so as other characteristics of fund. It employs the data of U.S. equity funds collected from CRSP and Thomson Reuters over the period 1992-2007. The findings indicate that the idiosyncratic risk between portfolios of winning funds and losing funds is significantly different. Also there is a significant positive relationship between idiosyncratic risk and fund abnormal returns, indicating that idiosyncratic risk is correlated with traditional performance measures capturing managerial skills and is consistent with the private information argument. Furthermore, the results also find that funds with a senior manager or with a management structure as solo-managed can utilize the private information in more efficient way. 賴慧文 2011 學位論文 ; thesis 43 en_US |
collection |
NDLTD |
language |
en_US |
format |
Others
|
sources |
NDLTD |
description |
碩士 === 元智大學 === 財務金融學程 === 99 === This paper intends to exploit the information contained in the fund holdings as an identification of fund manager skills. Specifically, using the idiosyncratic risk contained in fund portfolio holdings as a proxy for fund manager`s private information, this study examines the relationship between fund performance and idiosyncratic risk, so as other characteristics of fund. It employs the data of U.S. equity funds collected from CRSP and Thomson Reuters over the period 1992-2007. The findings indicate that the idiosyncratic risk between portfolios of winning funds and losing funds is significantly different. Also there is a significant positive relationship between idiosyncratic risk and fund abnormal returns, indicating that idiosyncratic risk is correlated with traditional performance measures capturing managerial skills and is consistent with the private information argument. Furthermore, the results also find that funds with a senior manager or with a management structure as solo-managed can utilize the private information in more efficient way.
|
author2 |
賴慧文 |
author_facet |
賴慧文 Yen-Pu Chen 陳彥樸 |
author |
Yen-Pu Chen 陳彥樸 |
spellingShingle |
Yen-Pu Chen 陳彥樸 Idiosyncratic Risk and Fund Manager Skills |
author_sort |
Yen-Pu Chen |
title |
Idiosyncratic Risk and Fund Manager Skills |
title_short |
Idiosyncratic Risk and Fund Manager Skills |
title_full |
Idiosyncratic Risk and Fund Manager Skills |
title_fullStr |
Idiosyncratic Risk and Fund Manager Skills |
title_full_unstemmed |
Idiosyncratic Risk and Fund Manager Skills |
title_sort |
idiosyncratic risk and fund manager skills |
publishDate |
2011 |
url |
http://ndltd.ncl.edu.tw/handle/51602175538619679350 |
work_keys_str_mv |
AT yenpuchen idiosyncraticriskandfundmanagerskills AT chényànpǔ idiosyncraticriskandfundmanagerskills AT yenpuchen tèxìngfēngxiǎnyǔjījīnjīnglǐrénnénglì AT chényànpǔ tèxìngfēngxiǎnyǔjījīnjīnglǐrénnénglì |
_version_ |
1718222507559878656 |