决策权分配与投资策略选择——来自中国开放式基金的证据

发布时间：2018-05-11 18:39

本文选题：单独管理基金 + 团队管理基金　；参考：《审计与经济研究》2017年03期

【摘要】：决策权分配与效率是组织行为研究的重要问题。通过比较决策权集中的单独管理基金和决策权分散的团队管理基金的投资策略差异,提供开放式基金决策权分配结果的证据。研究发现:团队管理基金有显著为正的选股业绩,单独管理基金表现出在股票和债券间配置组合资产的市场择时能力。研究还发现:团队管理基金没有市场择时能力是由于协调成本高;团队管理基金的专业化收益不能完全弥补其协调成本,而单独管理基金的择时收益则能够弥补其专业化的不足;多任务管理进一步影响决策权分配和投资策略的选择。单独管理基金的经理如同时管理其他偏股型基金时择时能力最突出,团队管理基金的经理如有多任务管理则其选股业绩不显著。
[Abstract]:The allocation and efficiency of decision-making power is an important issue in the study of organizational behavior. By comparing the difference of investment strategy between the single managed fund with centralized decision-making power and the team management fund with decentralized decision-making power, the paper provides evidence for the distribution of decision power in open-end funds. It is found that team management funds have significantly positive stock selection performance, and individual management funds show the market timing ability to allocate portfolio assets between stocks and bonds. The study also found that the lack of market timing ability of team management fund is due to the high coordination cost, and the professional income of team management fund can not fully compensate for its coordination cost. However, the timing income of single fund management can make up for the shortage of specialization. Multi-task management further influences the allocation of decision-making power and the choice of investment strategy. The managers who manage the fund separately have the most outstanding timing ability when they manage other equity funds at the same time, and the managers who manage the fund by team have not remarkable performance of stock selection if they have multi-task management.
【作者单位】：华南师范大学经济与管理学院;
【基金】：国家社会科学基金项目(14FJL002) 教育部人文社会科学一般项目(15YJA630073) 广东省自然科学基金项目(2015A030313381) 广州市哲学社会科学“十二五”规划项目(15G21)
【分类号】：F832.51

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