An Econometric Model of Survival Time of Fund Manager─The Experience of Taiwan

• Main Authors: Zi-Mei Wang, 王子湄
• Other Authors: Chung-Chu Chuang
• Format: Others
• Language: zh-TW
• Published: 2001
• Online Access: http://ndltd.ncl.edu.tw/handle/17868232489757416629

碩士 === 真理大學 === 管理科學研究所 === 89 === The related data of existing equity and bond funds and their managers from 1986/5/1 to 2000/9/30 are employed in this paper. An econometric survival analysis is proposed to respectively investigate the distributions of survival time of equity and bond fund managers. Meanwhile, on the fund manager characteristics (e.g., education background, experience) and fund financial characteristics (e.g., funds performance, funds size), what the statistically significant determinants affect the distributions of survival time of equity and bond fund managers are respectively discussed.The results show that when equity and bond funds are both included in the model, Log-logistic model is the optimal distribution of fund managers’ survival time and the shape of exit-rate of fund managers is like an inverted U type. The explanatory variables on the fund manager characteristics and funds financial characteristics can’t explain fund managers’ survival time, and it may be attributed to equity and bond funds with different investment style. Additionally, the generalized Gamma model (Log-logistic model) is the optimal distribution of equity (bond) fund managers’ survival time and the shape of exit-rate of fund managers is like an U type (inverted U type). The survival time of equity (bond) fund managers is significantly related with fund size, fund management fee, traditional Sharpe´s index and Treynor ＆ Mazuy model index modified by GARCH(1,1) model (with return volatility and Henriksson ＆ Merton model index modified by GARCH (1,1) model) of fund financial characteristics. Further survival time of equity and bond fund managers isn’t affected by fund manager education background and experience in managing a fund.