An Empirical Study On Mutual Fund Management Turnover And Investment Behavior-Evidence From China

This paper aimed on the research of the causes and consequences of mutual fund management turnover by an empirical study with China mutual fund data. By applying event study method, the paper first provided a descriptive statistic analysis on all the turnover events collected. An assumption was drawn from this analysis and then proved/revised by empirical data. Lastly, several quantitative parameters were selected to evaluate the investment behavior of mutual fund managers. T tests were applied with empirical samples to see whether these parameters are significantly changed after management turnover.Main conclusions are: (1) under the same time window, over performers and under performers are more likely to experience turnover than normal managers; (2) for over performers, the old managers are usually promoted, and new managers usually come from the same company with less experience and lower ranking, while for under performers, old guys are often fired and new comers are more likely from outside sources; (3) after the turnover, the risk adjusted return dropped (raised) significantly for over performers (under performers); (4) new manager tends to increase trading volume to adjust the fund's position by applying her own idea, when the fund under performs, volume is usually increased to win back the loss.The paper finished a complete research procedure, from descriptive analysis to general rules, from rules to assumptions, which were then proved by empirical study, from which the conclusions are drawn. A solid result was given for the topic. Besides, the data collection works are timely and complete.