业绩排名对我国基金经理风险调整行为影响的研究

发布时间：2018-01-10 06:29

本文关键词：业绩排名对我国基金经理风险调整行为影响的研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：随着我国证券投资基金行业的发展,基金之间的竞争越来越激烈,各类基金业绩排名备受市场关注,尤其以年末的年度排名最受投资者和基金经理的追捧和重视。每年基金行业的这种业绩排名可以视为一项激烈的锦标赛,基金经理最终的目的是在竞赛中拔得头筹成为最终的赢家。目前我国基金的业绩考核主要基于短期相对业绩排名。年末只要在同类基金中取得比较好的名次,基金经理就可得到丰厚的年终奖奖励,这间接导致基金经理为了争夺排名可能采取投资风格较为激进的风险调整行为。相对业绩排名到底对基金经理的风险调整行为产生了什么样的影响?基金经理和基金份额持有人之间双重的委托代理关系是否引发了其自利性的投资行为?这需要深入地研究和探讨。本文选择我国的开放式股票型基金为研究样本,研究我国基金经理根据前期业绩所做出的风险调整行为及其经济效应。本文首先分别运用列联表分析法和回归分析法,考察了基金经理根据前期基金业绩所做出的风险调整行为,以及股市周期、基金规模、基金成立时间等因素对这种行为的作用。之后,本文分别运用分组检验法和回归分析法,考察了基金业绩在基金经理做出风险调整策略后的变化,以及业绩排名是否引发了基金经理的道德风险。主要研究结论如下：1.我国基金经理的风险调整行为受到前期相对业绩排名的显著影响,且随着股市周期的变动呈现不同的特征。在牛市阶段,前期业绩排名落后的输家基金有更大动力增加基金的风险,在熊市阶段,前期业绩排名领先的赢家基金有更大动力增加基金的风险。2.管理不同类型基金的基金经理的风险调整行为具有差异性。成立时间短、管理资产规模小的基金的风险调整程度要大于成立时间长、管理资产规模大的基金。此外,更换基金经理并没有对实证结果的有效性产生影响,说明在我国基金经理的风险调整行为具有趋同性。3.基金业绩在基金经理做出风险调整后并没有得到显著的改善。目前我国基金业的业绩排名引发了基金经理的自利性行为,在薪酬激励的刺激下,基金经理会做出损害基金份额持有人的风险调整决策。
[Abstract]:With the development of China's securities investment fund industry, the competition between funds is becoming more and more fierce. In particular, the annual ranking at the end of the year is the most sought after and valued by investors and fund managers. The annual performance ranking of the fund industry can be regarded as a fierce tournament. The ultimate goal of fund managers is to win the top in the competition to become the final winner. At present, the performance appraisal of Chinese funds is mainly based on short-term relative performance ranking. At the end of the year, we only need to get a better ranking in the same kind of funds. Fund managers receive generous year-end awards. This indirectly causes fund managers to adopt more aggressive risk adjustment behavior in order to compete for ranking. What effect does relative performance rank have on risk adjustment behavior of fund managers? Does the dual principal-agent relationship between the fund manager and the fund share holder lead to his self-interest investment behavior? This need to be deeply studied and discussed. This paper chooses the open-end equity fund as the research sample. This paper studies the risk adjustment behavior and its economic effect made by fund managers according to the previous performance in China. Firstly, this paper uses the method of column table analysis and regression analysis respectively. This paper examines the risk adjustment behavior made by fund managers according to the performance of the previous fund, as well as the effect of stock market cycle, fund size, fund establishment time and other factors on this behavior. In this paper, group test and regression analysis are used to investigate the changes of fund performance after risk adjustment strategy made by fund managers. The main conclusions are as follows: 1. The risk adjustment behavior of fund managers in China is significantly affected by the relative performance ranking in the early stage. And with the change of stock market cycle presents different characteristics. In the bull period, the loser funds with backward early performance ranking have greater incentive to increase the risk of the fund, in the bear market stage. The leading winners' funds have greater motivation to increase the risk of funds. 2. The risk adjustment behavior of fund managers of different types of funds is different and the establishment time is short. The risk adjustment degree of the fund with small assets under management is greater than that of the fund with large assets. In addition, the change of fund manager has no effect on the effectiveness of empirical results. It shows that the risk adjustment behavior of fund managers in our country is similar. 3.The fund performance has not been improved significantly after the fund managers have made the risk adjustment. At present, the performance ranking of the fund industry in our country has triggered the fund managers. Of self-interest. Stimulated by compensation incentives, fund managers make risk adjustment decisions that hurt fund share holders.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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