激励视角下基金经理羊群行为影响因素研究

发布时间：2018-07-04 12:55

本文选题：基金经理 + 显性激励　；参考：《燕山大学》2014年硕士论文

【摘要】：证券市场中基金经理道德风险行为时有发生,其中羊群行为表现明显。基金经理模仿、跟随他人投资决策的行为,不仅损害了投资者的利益,而且不利于基金市场的健康发展。本文在回顾已有文献的基础上应用博弈和实证的分析方法研究激励视角下基金经理羊群行为的主要影响因素。本文的研究主体内容包括两个部分,第一部分是基金经理激励机制与其羊群行为的博弈分析,目的是证明激励前提下基金经理存在羊群行为;第二部分在此基础上,研究了激励视角下,基金经理羊群行为的影响因素。首先,通过对国内外研究文献的回顾,并结合我国基金市场现状,明确了目前基金经理激励机制不完善和投资行为中存在道德风险问题。分别以持基激励、声誉、相对业绩作为显性激励、隐性激励、双重激励的替代变量,研究了基金经理激励机制与羊群行为的博弈关系,发现持基激励水平高,声誉高的基金经理成为了市场上的“领头羊”,而其他基金经理会采取跟随策略来保障自身激励水平,形成羊群行为。基金经理为了保持相对业绩稳定,也会跟随其他基金经理改变资本配置和投资行为,投资决策中出现跟风现象,即基金经理会基于显性激励、隐性激励的考虑采取羊群行为。然后,通过建立实证模型,分三步研究了激励视角下基金经理羊群行为的影响因素。第一步分析得出基金经理激励是其羊群行为的一个重要影响因素;第二步从基金经理个人特征层面分析基金经理激励的影响因素,实证得出基金经理年龄、任期、相对业绩与隐性激励显著正相关,基金经理性别、任期与显性激励显著正相关;第三步将激励的显著影响因素与羊群行为进行回归,实证得出基金经理年龄越大,任期越长,选择羊群行为的倾向性越大。最后,根据研究结果提出规避基金经理羊群行为的对策及建议。在实践中有助于充分发挥激励作用,规范基金经理的羊群行为,避免激励扭曲所引发的投资决策的盲从,维护证券市场的健康发展。
[Abstract]:In the securities market, moral hazard behavior of fund managers occurs from time to time, among which herd behavior is obvious. The behavior of fund managers imitating and following others' investment decisions not only damages the interests of investors, but also is not conducive to the healthy development of the fund market. On the basis of reviewing the existing literatures, this paper applies game theory and empirical analysis to study the main influencing factors of herd behavior of fund managers from the perspective of motivation. The main content of this paper includes two parts: the first part is the game analysis between the incentive mechanism of fund manager and his herd behavior, the purpose is to prove that the fund manager has herd behavior under the premise of incentive, the second part is based on this, This paper studies the influencing factors of herding behavior of fund managers from the perspective of motivation. First of all, by reviewing the domestic and foreign research literature and combining with the current situation of fund market in China, it is clear that the incentive mechanism of fund managers is imperfect and moral hazard exists in investment behavior. This paper studies the game relationship between the incentive mechanism of fund managers and herd behavior by taking the base motivation reputation and relative performance as the substitute variables of dominant implicit and double incentive. It is found that the level of foundation holding incentive is high. Reputable fund managers have become market leaders, while other fund managers will adopt the following strategy to protect their incentive level and form herd behavior. In order to keep the relative performance stable, fund managers will follow other fund managers to change their capital allocation and investment behavior, and follow the trend in investment decisions, that is, fund managers will adopt herd behavior based on explicit incentive and implicit incentive. Then, through the establishment of empirical model, the paper studies the influencing factors of herd behavior of fund managers in the perspective of motivation in three steps. The first step is that the incentive of fund manager is an important influence factor of herding behavior; the second step is to analyze the influence factor of fund manager's incentive from the aspect of individual characteristics of fund manager, and to get the age and tenure of fund manager empirically. Relative performance is significantly positively correlated with implicit motivation, fund manager gender, tenure and explicit incentive are significantly positively correlated. The third step is regression between significant incentive factors and herd behavior, and empirical results show that the older the fund manager is, the longer the tenure is. The greater the tendency to choose herd behavior. Finally, according to the research results, the paper puts forward the countermeasures and suggestions to avoid the herding behavior of fund managers. In practice, it is helpful to give full play to the role of incentive, standardize the herd behavior of fund managers, avoid the blind follower of investment decision caused by incentive distortion, and maintain the healthy development of the securities market.
【学位授予单位】：燕山大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】