证券投资基金市场锦标赛效应与羊群效应的相互作用研究

发布时间：2018-01-13 00:08

本文关键词：证券投资基金市场锦标赛效应与羊群效应的相互作用研究　出处：《山东大学》2017年硕士论文　论文类型：学位论文

【摘要】：证券投资基金是重要的机构投资者,羊群效应和锦标赛效应都是证券投资基金市场上的重要现象。羊群效应是从众行为在金融市场中的具体表现,众多投资者出于某种原因会放弃自己对市场情况的判断,直接跟随其他投资者的决策进行投资。锦标赛效应则表现为基金经理人的业绩薪酬不由其管理基金的绝对收益决定,而由其相对业绩排名决定,这种排名也由此对基金经理人的行为产生了影响。因此,本文结合锦标赛理论、声誉激励理论、薪酬激励理论、风险厌恶理论等,利用文献研究、理论模型和实证检验等方法,全面探究基金市场上两种典型现象——羊群效应和锦标赛效应——之间的相互关系,更加深入地考察基金经理人的行为,探讨证券投资基金市场非理性行为背后的原因及其影响,从而为提升基金市场上资金配置效率提出有效建议。首先,本文介绍了羊群效应和锦标赛效应的相关概念和背景,并分别对研究二者的相关文献进行了综述,梳理了相关理论和实证方法。其次,本文从理论层面讨论了二者之间的关系。一方面,本文借鉴前人研究,以期望效用最大化问题的一阶条件和博弈标准型表示和展开型表示为工具,构造出存在业绩排名情况下多个基金经理人的投资博弈,证明了锦标赛排名能通过声誉和薪酬促使许多基金经理人出现羊群行为,产生羊群效应;另一方面,本文讨论了在羊群效应显现后,基金经理人业绩、基金表现排名以及经理人薪酬制度安排可能发生的变化,解释了羊群效应对锦标赛效应带来的影响,并认为排名靠前的经理人为了与模仿自己的人相区别,可能会试图提高组合风险以换取高收益。再次,本文对理论部分提出的相关结论进行了实证检验。实证检验由三节组成,第一节采用最近国外学者提出的更为灵敏的羊群效应测度方法——FHW模型,使用我国普通股票型基金2014上半年至2016上半年共计五个半年度的持股变动数据,对每只基金、每个时期的羊群效应程度进行了测度,并得出了我国普通股票基金的羊群效应处于中等显著程度的结论;第二节利用第一节的相关数据,并结合每只基金的自身因素和基金经理人因素进行了多元线性回归,结果表明基金经理人的经验和同业排名都与基金的羊群行为程度显著相关,验证了理论思考中的猜想;第三节利用跨期的数据进行类似多元回归,结果显示基金在当期的羊群效应程度并不与其下期的排名显著相关,这是由投资结果不确定以及数据本身的不足所导致。最后,本文对理论和实证的结果进行了总结,并为减少市场盲目跟风投资行为、提高金融市场有效性,针对不同主体提出了相应的建议:加强信息披露监督,减少信息不透明;完善行业准入机制,提高基金经理人素质;制定客观合理的业绩排名标准和薪酬激励制度。
[Abstract]:Securities investment fund is an important institutional investor, herding effect and championship effect are important phenomena in the securities investment fund market. Herd effect is the concrete manifestation of herd behavior in the financial market. For some reason, many investors will give up their judgment about market conditions. The championship effect is that the performance compensation of fund manager is determined not by the absolute return of the fund but by the relative performance rank. Therefore, combining with tournament theory, reputation incentive theory, compensation incentive theory, risk aversion theory and so on, this paper makes use of literature research. The theoretical model and empirical test are used to probe into the relationship between herding effect and championship effect in the fund market, and to investigate the behavior of fund managers more deeply. This paper probes into the reasons behind the irrational behavior of the securities investment fund market and its influence, so as to put forward effective suggestions for improving the efficiency of fund allocation in the fund market. This paper introduces the related concepts and background of herding effect and tournament effect, and summarizes the related literature, combing the relevant theory and empirical methods. Secondly. This paper discusses the relationship between the two from the theoretical level. On the one hand, this paper draws lessons from previous studies and takes the first-order conditions of the expected utility maximization problem and the game standard form representation and the expanded form representation as the tools. The investment game of many fund managers under the condition of performance ranking is constructed, which proves that championship ranking can promote herding behavior of many fund managers through reputation and compensation. On the other hand, this paper discusses the possible changes in the performance of fund managers, the ranking of fund performance and the arrangement of managers' compensation system after the herding effect appears. This paper explains the influence of herding on the tournament effect, and thinks that the top managers may try to raise the risk of portfolio in order to distinguish them from the imitators. The empirical test consists of three sections. In the first section, the FHW model is used to measure herding effect, which is a more sensitive method proposed by foreign scholars recently. Using the stock holdings change data of China's ordinary stock funds from the first half of 2014 to the first half of 2016, this paper measures the herding effect of each fund in each period. The conclusion that the herding effect of ordinary stock funds in our country is in a moderate significant degree is also obtained. The second section uses the first section of the relevant data and combined with each fund's own factors and fund managers' factors to carry out multiple linear regression. The results show that the experience of fund managers and ranking of peers are significantly related to the degree of herding behavior of the fund. The third section uses intertemporal data to carry out similar multivariate regression. The results show that the herding effect of the fund in the current period is not significantly related to its ranking in the next period. This is caused by the uncertainty of investment results and the lack of data itself. Finally, this paper summarizes the theoretical and empirical results, and in order to reduce the market blindly follow the trend of investment behavior, improve the effectiveness of financial markets. The corresponding suggestions are put forward for different subjects: strengthening the supervision of information disclosure and reducing information opacity; Improve the industry access mechanism, improve the quality of fund managers; Establish objective and reasonable performance ranking criteria and salary incentive system.
【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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