年度竞赛观点下共同基金经理人风险调整行为之研究.pdf

風險管理學報 第三卷 第二期 2001 年 11 月 Journal of Risk Management Vol. 3 No.2 Nov. 2001 pp.47-83 年度競賽觀點下共同基金經理人風險調整行為 之研究 A Study of the Mutual Fund Managers ’Risk-Adjusted Behavior on the Basis of Tournament Concept * 王健安 (Chien-An Wang) 摘 要 本研究將國內共同基金市場的環境，比喻為持續的激烈年度競賽，探討年度 中的定期績效評估系統，對於基金經理人所持投資組合風險調整的影響，以檢驗 其是否具有自利性風險調整的行為傾向。研究結果發現：1.不管評估期前累積績 效是屬於贏家或輸家的經理人，在越接近年終總績效結算時，會偏向選擇一個高 風險的操作水準，同時，上述特性在非外資型投信公司所發行的基金、新基金、 小規模基金、資淺經理人所操盤的基金特別明顯。2.基金投資人對於短期績效的過 分重視，是導致經理人操作風險調整幅度偏高的主要原因之一。 關鍵詞：年度競賽、共同基金經理人、風險調整行為 。 Abstract This paper analyzes the risk-adjusted behavior of mutual fund managers on the basis of tournament concept. The competitive environment and the reward structure make the managers attempt to maximize their expected compensation. During the assessment period, they may revise the risk level or alter the composition of portfolio to achieve the aims. Such risk-adjusted behavior might not serve the best interest to mutual fund investors. The evidence su ggests that managers with poor performance will become aggressive, and they tend to increase the portfolio volatility toward the end of the annual assessment period. This result is more obvious for small and younger mutual funds. It is also involved with the investors’ myopic of an assessment to the managers ’ performance. Keywords: Tournament, Mutual Fund Managers, Risk-Adjustment Behavior. * 逢甲大學財務金融學系助理教授，Assistant Professor, Department of Finance, Feng Ch ia University, Taichung, Taiwan. 作者感謝三位匿名審稿人的建議，使本研究更加嚴謹。作者感謝邱顯比 、劉玉珍 、周行一 、周賓 凰 、陳隆麒等教授在研討會中之建議