Multiple regression analysis

The result of table 8 indicates F values are significant in 1% level except column (3) and (4). When we input principal component2 and interaction terms (principal component2 X characteristics of fund managers) into the regression analysis, none of the variables is significant; it means principal component2 in regression model is not appropriate to explain systematic risk changes of funds.

In column (1), we can find that ΔFAC1 is significant at 1% level, which means when principal component 1 increases, systematic risk changes of funds will decrease 0.046%.

In column (2), the result indicates education background is significant at 10% level, which means when fund managers possess postgraduate degree increase, systematic risk changes of funds

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will increase 0.081%. In addition, gender*ΔFAC1 is significant at 1% level, when gender*ΔFAC1 increases, systematic risk changes of funds will decrease 0.031%. It means when macroeconomic factors increase, female fund managers will reduce the willingness to take risk compare to male fund managers.

In column (5), the result presents gender is significant at 1% level, which means when female fund managers increase, systematic risk changes of funds will increase 0.044%. For education background, it is significant at 5% level, which means when fund managers possess postgraduate degree increase, systematic risk changes of funds will increase 0.081%. Moreover, the result also presents gender*ΔFAC1 is significant at 1% level and education background*ΔFAC1 is significant at 5% level. When gender*ΔFAC1 increases, systematic risk changes of funds will decrease 0.034%.

It means when macroeconomic factors increase, female fund managers will less inclined to take risk compare to male fund managers. When education background*ΔFAC1 increases, systematic risk changes of funds will decrease 0.026%. It means when macroeconomic factors increase, fund managers with postgraduate degree will not willing to take more risk compare to fund managers with undergraduate degree.

In column (6), the result shows us gender is significant at 10% level and gender*ΔFAC1 is significant at 1% level. When female fund managers increase, systematic risk changes of funds will increase 0.041%. When gender*ΔFAC1 increases, systematic risk changes of funds will decrease

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0.033%. It means when macroeconomic factors increase, female fund managers will less inclined to take risk compare to male fund managers.

In column (7), we only select systematic risk changes of equity funds in our observations, the result presents education background*ΔFAC1 is significant at 1% level, it means when macroeconomic factors increase, fund managers with postgraduate degree are tend to reduce 0.104%

risk. In addition, graduation background*ΔFAC1 is significant at 5% level, it means when macroeconomic factors increase, fund managers who graduate in domestic are tend to increase 0.085% risk.

According to the result in table 8, we can find that the result is consistent to the hypothesis 1,2 and 3. When macroeconomic factors are in unfavorable situation, female fund managers and fund managers with postgraduate degree tend to reduce risk, fund managers graduate in domestic are tend to rise risk.

Table 8 Systematic risk changes of funds regression estimates

OLS OLS OLS OLS OLS OLS OLS

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***. Significant at the 1% level; **. Significant at the 5% level; *. Significant at the 10% level.

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5 Conclusion

In our research, we investigate whether the macroeconomic factors in unfavorable situation induced the different decision between the fund managers with different characteristics. The result shows us when principal component1 (inflation rate, production price index and re-discount rate) increases, female fund managers will tend to reduce risk compared to male fund managers. Our finding is consistent with the findings of Barber and Odean (2001), who present that men are more willing to accept risk because of overconfidence.

In addition, we prove that when principal component1 (inflation rate, production price index and re-discount rate) increases, fund managers who possess postgraduate degree will incline to reduce risk compared to fund managers who possess undergraduate degree. The result is consistent with Chevalier and Ellison (1999), who indicated fund managers with MBA degree or above are risk avoidance.

Furthermore, we also prove that when principal component1 (inflation rate, production price index and re-discount rate) increases, fund managers who graduate in domestic will incline to increase risk compared to fund managers who graduate in abroad. However, it is effective only with the sample of systematic risk changes of equity funds. It is a new finding because most of the journal investigated the different decision between domestic and foreign fund managers.

In future work, we suggest adding macroeconomic factors from different countries like US 10-year bond yield or Philadelphia Semiconductor Index. It might also affect the decision of fund

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managers when macroeconomic factors are in adverse effect. We also suggest adding different characteristics of fund managers to explore the new findings.

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