TITLE:
Research on the Effects of Fund Performance on Fund Manager Turnover
AUTHORS:
Tiao-yan Hui, Ze Yuan
KEYWORDS:
Fund manager; Performance; Turnover; Interaction
JOURNAL NAME:
Journal of Financial Risk Management,
Vol.1 No.3,
September
28,
2012
ABSTRACT: We take the equity funds and hybrid funds in china as a sample, base on fund performance in the second half of the year 2009, and make an empirical analysis on the effects of fund performance, interaction between fund performance and the character of fund manager on his turnover in 2010 year by method of Logistic Regression Analysis using SPSS17.0. We find that fund return rate and excess return rate have a significant negative impact on fund manager turnover, while risk-adjusted fund performance and the capability of market-timing and stock-selection have no significant effect on fund manager turnover. For some characters of fund manager, such as fund manager age and securities working time will mitigate the negative relationship between the fund performance and the fund manager turnover.