锦标赛制度对基金风险偏好的影响

发布时间：2018-01-01 12:33

本文关键词：锦标赛制度对基金风险偏好的影响　出处：《上海经济研究》2011年06期 　论文类型：期刊论文

【摘要】：中国证券市场的迅猛发展促进了基金类投资机构的快速成长,进而基金经理的投资决策行为也逐渐成为行为金融学界一个较为热门的话题。本文在比较标准的框架下,分析了影响基金风险选择的因素,着重讨论了基金排名,即锦标赛制度对基金经理风险资产配置的影响。文章基于Falk的效用模型分别讨论了在外生,内生的比较标准和混同均衡的情况下,基金经理如何改变自己的风险水平。经过研究发现,在不存在混同均衡博弈的情况下,前一期表现优异的基金会相对于表现较差的基金采取更为保守的投资策略;在考虑混同博弈的情况下,前一期表现优异的基金会相对于表现较差的基金采取更为激进的投资策略。2007年至2010年中国封闭基金的数据证明了前一个结论,而2007年至2010年特别是熊市时期开放基金的数据证明了后一个结论。
[Abstract]:The rapid development of Chinese stock market promote the fast growth of fund investment institutions, investment decision-making behavior and fund managers have gradually become the behavior of financial circles is a popular topic. This paper is based on the standard of comparison, analyzed the influence factors of risk choice, discussed the effect of fund ranking tournament system the fund manager's risk asset allocation. The utility model based on Falk are discussed in the standard exogenous, endogenous and pooling equilibrium under the condition of fund managers to change their risk level. After the study found that in the absence of pooling equilibrium of game, before a period of outstanding performance relative to the fund the poor performance of the fund to take a more conservative investment strategy; considering the confusion of game, before a period of outstanding fund relative to the poor performance of the base Kim took a more aggressive investment strategy. The data from China's closed funds from.2007 to 2010 proved the previous conclusion, and the data from 2007 to 2010, especially the bear market period, opened the last conclusion.

【作者单位】：美国麻省理工学院斯隆商学院;
【分类号】：F832.51
【正文快照】： 一、引言在我国,证券市场是广大投资者最为重要的资本集散地,其对我国经济的资源配置作用也日渐凸显。而基金类机构投资者,以其巨大的资金储备量、专业的投资和研究团队已逐渐成为证券市场上最重要的参与者。能够准确得辨析出基金经理的抉择行为方式和风险选择变化对广大投资

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