基金行业锦标赛对基金经理风险调整影响的研究.pdfVIP

中文摘要 投资者、基金管理人和托管人之间的委托代理问题不可能通过内部加以解 决，基金的内部治理失衡只有通过外部的激励约束而减缓。基金评级中介机构定 期向投资者发布基金净值和基金排名等信息，这显示出一种对基金经理的相对业 绩排序，好比在竞争激烈的基金市场建立了一种基金锦标赛制度。 本文通过实证检验，研究在我国基金锦标赛的背景下，中期基金相对业绩排 名对不同特征基金经理在排名后期调整投资组合风险的影响情况以及调整风险 后反作用于基金业绩变化的有效性影响，从而检验出基金锦标赛制度在我国基金 行业中具备有效激励效应。检验结果表明锦标赛制度下相对业绩排名与基金经理 风险调整有较强相关关系，不同业绩差距对输赢基金经理风险态度变化以及行为 有影响，锦标赛制度下基金特征和基金经理特征对基金经理的投资风险调整系数 有影响，分析得出基金经理前后风险态度变化对基金前后业绩变化有显著影响作 用的锦标赛激励效应。 本文借助激励效应理论、锦标赛理论来分析基金业绩排名对基金经理风险调 整心理和行为的影响。在基金市场中存在委托代理问题的基础上，研究提出开放 式基金行业竞争的锦标赛制度是更有效的激励约束机制，为进一步改善基金行业 锦标赛激励约束机制有效性提出政策建议，为基金管理公司制定激励监督机制和 基金投资者做出投资选择决策提供参考。 关键词：基金相对业绩排名；基金锦标赛制度；激励效应 I Abstract The principal-agent problems cannot be resolved through the investors, fund managers and trustees. The internal unbalanced government of the fund can be slow down through the exterior drive restraint. Fund rating agencies regularly issue worthy information which shows the sort of the fund managers’ performance to the investors. This is as a tournament in the competitive fund market system. This article is research on the differences of the funds performance among distinct funds investment portfolio in the late risk adjustment of the tournament. It also researches on the reaction to the fund performance after the transformation of the risk taken. It tests out that the tournament has an effect on our countrys fund market system. There is a strong relevance between r elative ranking of the performance and the manager’s attitude to the risk . Different performance gap to win affects the risk attitude. Characteristics of the Funds and the fund managers have influences on the risk manners. Fund tournament is valid. On the ba sis of the principal-agent theory, this article concludes that the fund tournament which