内生竞争标尺、空间秩次自回归与基金业绩排名竞赛

发布时间：2018-05-11 11:17

本文选题：标尺竞争 + 空间秩次自回归模型　；参考：《上海经济研究》2011年07期

【摘要】：已有文献普遍借助于空间计量模型来检验标尺竞争理论。本文指出,传统上基于外生空间权重矩阵的空间回归模型并不适合刻画当竞争标尺是内生决定的情形。为此,本文首次建立一类命名为空间秩次自回归(spatial rank-order auto-regression,SRAR)的模型来考察截面上的内生标尺竞争效应。P(1)阶SRAR模型表现了截面上任一个体与相对绩效优于或劣于自身的前P个近邻个体展开竞争的情景,因而刻画了一种超越传统地理意义的内生空间相关结构。在运用所提模型对国内81只开放式股票型基金2007~2009半年度复权净值增长率排名中可能存在的锦标赛特征进行估计后,我们发现:锦标赛效应在各截面上均显著存在;这一效应表现出年末强于年中,大盘向好时强于大盘向差时的特点。估计结果提示标尺竞争型激励机制分别存在于基金公司-基金经理,基民-基金这两层委托-代理关系中;投资组合等特征差异化不是大部分基金追求高收益的主要策略,追赶与模仿排名靠前且接近的同类基金可以解释其中大部分的原因。空间秩次自回归模型为研究各类有关标尺竞争与攀比效应的经济学问题提供了一个崭新的实证分析框架。
[Abstract]:The existing literature generally uses the spatial econometric model to test the scale competition theory. In this paper, it is pointed out that the traditional spatial regression model based on the exogenous spatial weight matrix is not suitable to describe the case when the competition scale is endogenous. To that end, In this paper, for the first time, a class of models named spatial rank autoregressive rank-order autoregressive (SRAR) model is established to investigate the competitive effect of endogenous scales on the cross section. The order SRAR model shows that the cross section has an individual and relative performance superior to or inferior to its first P number. The scene of a close neighbor competing, Therefore, it depicts an endogenetic spatial correlation structure that transcends the traditional geographical meaning. By using the proposed model to estimate the possible championship characteristics of 81 open-end equity funds in 2007 / 2009, we find that the championship effect exists significantly in all sections; This effect shows that the end of the year is stronger than the middle of the year, and the market is stronger when it is better than when it is worse. The results suggest that the scale competitive incentive mechanism exists in the principal-agent relationship between fund companies and fund managers, and that portfolio differentiation is not the main strategy for most funds to pursue high returns. Catch-up and imitation of the top and close-ranking similar funds can explain most of these reasons. The spatial rank autoregressive model provides a new empirical analysis framework for the study of various economics problems related to scale competition and comparison effect.
【作者单位】：上海社会科学院数量经济研究中心;
【基金】：上海市教育发展基金会晨光计划项目“广义空间计量模型前沿理论及其在微观金融市场个体策略性博弈中的实证研究”(编号10CG66)的资助
【分类号】：F224;F830.9

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