The effect of busy mutual fund managers on their abnormal performance

[[abstract]]本研究旨在探討共同基金經理人的兼任行為對基金異常報酬的影響，並利用事件研究法與Panel Data模型，檢驗基金經理人的兼任行為是否會使得原操作基金產生異常報酬，以及異常報酬的影響因子。實證結果顯示，當經理人原操作基金績效屬於優良群組時，其對異常報酬具有顯著正向關係。而具有較長擔任基金經理人經驗的經理人，在兼任事件發生後，將有可能會使得原操作基金具有較佳的異常報酬。此外，當基金經理人原操作基金具有較高的週轉率與費用率時，在兼任事件發生後，也越有可能會使得原操作基金具有較佳的異常報酬。若基金經理人同時兼任了兩檔以上基金，此時其經驗與學歷對異常報酬的影響將較僅兼任兩檔的基金經理人顯著。最後，基金經理人具有商學院碩士以上的學歷與基金規模，對異常報酬均無顯著影響。[[abstract]]This paper is to examine how busy mutual fund managers affect their abnormal performance. We try to use Event Study and Panel Data Model to test whether the busy managers will have abnormal return or not, and then, to find out why it will happen. The result of Panel Data Model indicates that when the busy mangers whose performance of their original tasks are sorted as the top group, or have more experience on this position, will still have positive abnormal return after they take another task. Also, managers who charge more fees and appear higher turnover will be likely to result in positive abnormal return after they take another task. Further more, when the busy managers take more then two tasks, their experience on this position and qualification, compare with other busy managers, could be more significant affect on their abnormal return. Finally, the busy managers who possess the qualification of MBA and who control the more resources are found to have no significant relation with their abnormal return