市场周期、投资者行为与基金经理人风险持有行为演化

发布时间：2018-05-10 11:35

本文选题：基金竞赛 + 投资者行为　；参考：《天津大学》2013年博士论文

【摘要】：在人们普遍的认识中，基金经理拥有专业的投资眼光和长期的投资经验，在投资中总是可以做出理性的决策和判断。但事实却远非如此，由于委托代理关系的存在，基金经理也并非常常保持理性。Brown等在1996年发现年中业绩排名靠后的基金，在下半年往往会提高资产组合的风险水平来博取更好的排名，Brown给这种行为命名为“基金竞赛假说”，但后续研究中就这一假说是否存在，仍存在较大争议，同时是什么导致了这一现象的产生也成为了研究的热点问题。许多学者基于基金经理特征、委托代理合同、市场交易成本等因素分别给出了不同的解释，本文在先前研究的基础上，研究了市场运行周期和投资者行为对于基金经理风险持有行为的影响。通过实验分析发现，当投资者存在行为偏差时，较之市场中仅存在天真投资者的情况，市场中基金经理人的平均风险持有水平会下降；假设投资者存在有限关注行为时，在牛市中，排名靠后的基金经理出现竞赛行为；当投资者存在处置效应行为时，投资者的处置效应不但不会导致基金竞赛行为，反而使得基金经理产生偷懒行为，降低风险持有水平。市场中老练投资者的存在，显著限制了基金经理竞赛行为的实施，降低了排名靠后基金经理风险水平的提高，，同时也影响了其他排名位置的基金经理也相应降低了风险水平。当市场中投资者结构动态变化时，牛市中基金竞赛行为的程度加剧了，排名靠后和靠前基金经理的风险偏好水平差距被进一步拉大；在动态投资者结构下，即使市场没有明显的价格趋势，也会从统计上证明基金竞赛假说成立，这一现象的出现既是由于市场价格的短期波动造成的投资者结构变化，最终影响了基金经理人风险持有行为的变化，从投资者种群结构转化角度解释了基金竞赛行为的产生，从投资者适应性角度拓展了基金竞赛行为研究。
[Abstract]:In people's general understanding, fund manager has professional investment vision and long-term investment experience, and can always make rational decision and judgment in investment. But this is far from the case. Because of the principal-agent relationship, fund managers are not always rational. Brown et al. In 1996 found that funds with lower performance in mid-year. In the second half of the year, the risk level of the portfolio will be raised to get a better ranking. Brown has named this behavior the "fund competition hypothesis," but there is still considerable controversy in subsequent studies on whether this hypothesis exists or not. At the same time, what causes this phenomenon has also become a hot issue. Many scholars give different explanations based on the characteristics of fund manager, principal-agent contract, market transaction cost and so on. The effects of market cycle and investor behavior on risk holding behavior of fund managers are studied. Through experimental analysis, it is found that the average risk holding level of fund managers in the market will decrease compared with that of naive investors in the market when investors have behavioral deviations, and if investors have limited attention behavior, the average risk holding level of fund managers in the market will decrease. In the bull market, the fund manager at the bottom of the list competes; when the investor has the behavior of disposal effect, the disposal effect of the investor not only does not cause the fund competition behavior, but also makes the fund manager lazy behavior. Reduce the level of risk holding. The existence of sophisticated investors in the market has significantly restricted the implementation of fund managers' competition behavior, reduced the risk level of the lower ranking fund managers, and affected the other ranking fund managers to reduce the risk level. When the structure of investors in the market changes dynamically, the degree of fund competition in bull market intensifies, and the gap between the risk preference level of the lower ranking fund managers and the top fund managers is further widened; in the dynamic investor structure, Even if there is no obvious price trend in the market, it will prove statistically that the fund competition hypothesis is true. This phenomenon is due to the change of investor structure caused by the short-term fluctuation of market price. Finally, it influences the change of risk holding behavior of fund managers, explains the emergence of fund competition behavior from the perspective of the transformation of investor population structure, and expands the research on fund competition behavior from the angle of investor adaptability.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F832.51

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