本研究旨在探討美國共同基金市場中，主動管理程度、投資人情緒與經理人行為、基金特質、基金績效、投資人資金流向之交互影響。研究期間涵蓋2003年第一季至2009年第三季，以及2020年第一季至2023年第三季。實證結果顯示，高Active Share經理人傾向長期持有具投資價值之標的且經理人的投資行為較不易受到投資人情緒干擾。此外，經理人能力越高越傾向偏離基準指數進行主動配置，且在市場情緒高漲時此效果更加顯著。本研究亦發現基金規模與Active Share存在顯著負向且非線性之關係，大型基金在高情緒環境下面臨更明顯的主動管理程度下降。另一方面，較高之Active Share有助於提升基金報酬率，但市場情緒高漲將對基金績效造成負面影響。在資金流向方面，投資人於市場情緒平穩時偏好高Active Share基金，但在極端樂觀時期則傾向撤出資金。

This study investigates the interactive effects of active management, investor sentiment, managerial behavior, fund characteristics, fund performance, and fund flows in the U.S. mutual fund market. The empirical results show that fund managers with higher Active Share tend to hold undervalued securities for longer periods, and their investment behavior is less affected by investor sentiment. In addition, managers with greater ability are more likely to deviate from benchmark indices through active portfolio allocation, especially during periods of high investor sentiment. The findings also indicate a significantly negative and nonlinear relationship between fund size and Active Share, suggesting that large funds face greater difficulties in maintaining active management due to liquidity constraints and market impact costs, particularly in optimistic market environments. Furthermore, higher Active Share contributes positively to fund performance, while elevated investor sentiment negatively affects fund returns. Regarding fund flows, investors prefer high Active Share funds during stable market sentiment periods, but tend to withdraw capital from such funds during periods of extreme optimism.

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