业绩排名对开放式基金经理投资行为影响的研究
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摘要
基金经理是基金运作的核心人物,在很大程度上决定基金的业绩。对基金经理而言,业绩排名是重要的隐性激励方式,影响其职业前景。为了提升业绩排名,基金经理最直接、最有效的办法就是改变投资组合。本文在梳理、分析业绩排名、基金经理职业前景、经理人个性特征及其投资行为之间关系的基础上进行实证研究。通过基金经理年龄、学历、性别、从业经历与其职业前景之间关系的分析,探讨业绩排名与经理人职业前景、业绩排名与投资行为、经理人个性特征对业绩排名的敏感度差异,深入研究基金经理投资行为的差异性。
本文的实证研究分两步进行。第一步:通过对业绩排名与职业前景、经理人个性特征的实证分析,实证结果证实了本文的构想,即业绩排名与职业前景正相关,并且不同个性特征的基金经理对业绩排名的敏感度是不一致的,从而造成投资行为的差异性。第二步:在第一步实证的基础上,实证研究受业绩排名影响,不同个性特征的基金经理会采取相应的投资策略。根据这一思路提出了在业绩排名压力下基金经理投资行为与个性特征间的假设,得出的结论与理论分析结果基本吻合。
文章最后总结了研究结论,提出了对基金业绩评价体系、基金投资者、基金管理公司的启示,并指出进一步研究的方向。
Fund manager is the key person in the operation of an investment fund, who has a great impact on fund performance. To fund manager, the performance ranking is the most important implicit incentive method, affects its career foreground. In order to promote the performance ranking, the most direct and effective means for the fund manager is to change investment portfolio. Empirical study has been made in this paper on the aspects of analyzing the performance ranking, a fund manager’s career foreground and the relationship between his individuality and investment behavior. Through analyzing the relationships of a fund manager’s age, education, gender, the experience and his career foreground, and discussing the performance ranking, the manager career foreground, the performance ranking and the investment behavior, the manager individuality difference in the performance ranking sensitivity, this article made an intensive study on the diversities of the fund managers’investment behavior.
The research has been divided into two steps. The first step improves the conception of this paper that there’s positive correlation between performance ranking and career foreground, and different individuality caused different sensitivity about ranking, which leads to the difference of investment behavior by the empirical study of career foreground and individuality. The second step: on the basis of the first step, the empirical study the performance ranking influence, different individuality fund manager will adopt the corresponding investment strategy. Then, this paper brought the assumption of the relationships between the individuality and investment behavior under the performance ranking pressure according to this clue, and the result is basically matched with theoretical analysis.
Finally, this article sums up the research conclusion, and bring forward an inspiration on fund performance evaluation system, fund investors and fund companies, and therefore pointed out the direction of further research.
本文的实证研究分两步进行。第一步:通过对业绩排名与职业前景、经理人个性特征的实证分析,实证结果证实了本文的构想,即业绩排名与职业前景正相关,并且不同个性特征的基金经理对业绩排名的敏感度是不一致的,从而造成投资行为的差异性。第二步:在第一步实证的基础上,实证研究受业绩排名影响,不同个性特征的基金经理会采取相应的投资策略。根据这一思路提出了在业绩排名压力下基金经理投资行为与个性特征间的假设,得出的结论与理论分析结果基本吻合。
文章最后总结了研究结论,提出了对基金业绩评价体系、基金投资者、基金管理公司的启示,并指出进一步研究的方向。
Fund manager is the key person in the operation of an investment fund, who has a great impact on fund performance. To fund manager, the performance ranking is the most important implicit incentive method, affects its career foreground. In order to promote the performance ranking, the most direct and effective means for the fund manager is to change investment portfolio. Empirical study has been made in this paper on the aspects of analyzing the performance ranking, a fund manager’s career foreground and the relationship between his individuality and investment behavior. Through analyzing the relationships of a fund manager’s age, education, gender, the experience and his career foreground, and discussing the performance ranking, the manager career foreground, the performance ranking and the investment behavior, the manager individuality difference in the performance ranking sensitivity, this article made an intensive study on the diversities of the fund managers’investment behavior.
The research has been divided into two steps. The first step improves the conception of this paper that there’s positive correlation between performance ranking and career foreground, and different individuality caused different sensitivity about ranking, which leads to the difference of investment behavior by the empirical study of career foreground and individuality. The second step: on the basis of the first step, the empirical study the performance ranking influence, different individuality fund manager will adopt the corresponding investment strategy. Then, this paper brought the assumption of the relationships between the individuality and investment behavior under the performance ranking pressure according to this clue, and the result is basically matched with theoretical analysis.
Finally, this article sums up the research conclusion, and bring forward an inspiration on fund performance evaluation system, fund investors and fund companies, and therefore pointed out the direction of further research.
引文
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[3]王珩.短命的基金经理.管理人,2005(12):68-69
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[6]李荣昌.近三成投资者青睐基金投资.证券时报,2005-02-21
[7] Ang.Chen and Wayne Y. Lin. Mutual Fund Performance: Does Fund Size Matter?. Financial Analysis Journal. Vol.55. No.3.1999
[8] Jurgen Eichberger, Simon Gant, Stephen King.On relative performance contracts and fund manager`s incentives [J]. European Economic Review, 1999,43(1):135-161
[9]龚红.证券投资基金经理激励问题研究:[博士学位论文].湖南:湖南大学,2005.23-24
[10] Brown,K.,W.Harlow and L.Starks.Of Tournaments and Temptations: An Analysis of Mangerial Incentives in the Mutual Fund Industry.Journal of Finance.1996(51):85-110
[11] Goriaev, A., F., Palomino and A., Part. Mutual Fund Tournament: risk taking Incentives induced by ranking objectives. Working paper, New Economic School, Moscow. 2003
[12]王立新.投资基金制度研究.北京:中国社会科学院研究生院,2000.78-87
[13] Israelsen. Risk-Adjusted Performance of Mutual Funds. New England Economic Review. 1998(9):33-48
[14]李豫湘,程剑,彭聪.基金经理个人特性对基金业绩影响的研究.价值工程,2006(12):151-155
[15] Gibbons, R. K. J. Murphy. Optimal incentive contracts in the presence of career concerns: theory and evidence[J]. Journal of Political Economy, 1992(100):468-505
[16] Hu F A, R Hall, Harvey C R. Promtion or Demotion? An Empirical Investigation of the Determinants of Top Mutual Manager Change[Z]. Working paper. Duke University, 2000
[17] Scharfstein D S, Stein J C. Herd Behavior and Investment. American Economic Review, 1990(80):465-479
[18] Anchor Lin.et al.The Behavior and Performance of Foreign Investors in Emerging Equity Markets:Evidence from Taiwan [J].International Review of Finance,2003(March-April):189-210
[19] Lakonishok, J., A. Shleifer, R. Thaler and R. Vishny. Window Dressing by pesnsion Fund Managers. American Ecinomic Review, 1991(81):227-232
[20] Chevalier, Judith and Glenn Ellison. Risk taking by mutual funds as a response to incentives. Journal of Political Economy, 1997(105):1167-1200
[21] Capon, N., G.Fitzsimons and R.Prince. An Individual Level Analysis of the Mutual Fund Investment Decision. Journal of Financial Services Research, 1996(10):59-82
[22] Jason Zweig. Watch out for the Year-End Fund Flimflam[J]. Momey Magazine. November, 1997
[23] Mark M.Carhart, Ron Kaniel, David K.Musto, Adam V.Reed. Leaning for the Tape: Evidence of Gaming Behavior in Equity Mutual Funds[J]. Journal of Finance, 2002(57)
[24] Hsiu-lang Chen, and George G.Pennacchi. Does prior performance affect a mutual fund`s choice of risk? Working paper. 2001
[25] Busse, J.Another Look at Mutual Fund Tournaments. Journal of Financial and Quantitative Analysis. 2001(36):53-73
[26] Avery, Christopher N, Judith A Chevalier.Herding over the career[J]. Economics Letters. 1999(53):327-333
[27] Harrison Hong, Jeffrey D.Kubik, Amit Solomon. Security analysis’career concerns and herding of earnings forecasts[J]. Journal of Economics, 2000,31(1):121-144
[28]徐婧婧.明星基金经理离职背后.上海证券报,2009-07-13
[29]施东晖.证券投资基金的交易行为及其市场影响[J].世界经济,2001(10):26-31
[30]吴福龙,曾勇,唐小我.中国证券投资基金羊群行为的进一步研究.中国管理科学,2004(4):7-12
[31]张庆华.基于行为金融学的证券投资行为研究:[硕士学位论文].青岛:中国海洋大学,2003.16-17
[32]宋德舜,宋逢明.国有控股、经营者变更和公司绩效[J].南开管理评论,2005,8(1):10-15
[33]张美霞.基金业绩、基金经理更换与投资者财富效应——项基于我国资本市场的实证研究.山西财经大学学报,2007,29(9):98-105
[34]张贡生.中国开放式证券投资基金短期行为分析.吉林工商学院学报,2008,24(3):50-53
[35]张昕.中国亏损上市公司第四季度盈余管理的实证研究.会计研究,2008(4):25-32
[36]欧阳凌,欧阳令南,周红霞.基于职业生涯的企业家投资行为博弈研究[J].哈尔滨工业大学学报,2005,37(1):141-144
[37]史晨昱,刘霞.从竞争观点探讨基金经理人的风险调整行为[M].证券市场导报,2005(2):28-32
[38]熊胜君,杨朝军.中国证券投资基金投资风格变化原因分析[J].哈尔滨商业大学学报(自然科学版),2005(6):129-133
[39]王茂斌,毕秋侠.业绩排名、投资者选择和投资基金行为.证券市场导报,2006(4):52-55
[40]丁振华.基金过去的业绩会影响未来的风险选择吗.证券市场导报,2006(4):39-45
[41]李凌波,吴启芳,汪寿阳.周内效应和月度效应:中国证券投资基基金市场的实证研究[J].管理学报,2004(1):49-54
[42]赵秀娟,吴启芳,汪寿阳.开放式基金净值增长率被拉升了吗?——中国证券市场日历效应检验[J].中国管理科学,2006(4):15-20
[43]伏爱国.基金行为与基金业绩的日历效应.经济理论与经济管理,2008(5):39-45
[44] http://news.stockstar.com/info/darticle.aspx?id=ss20080121,30074213
[45] Jensen, M. and W. Meckling. Theory of the Firm: Managerial Behavior, Agency Costs and Ownership Structure. Journal of Financial Economics, 1976(3):305-360
[46]蒋峰.中国投资基金效率研究.厦门:厦门大学.金融学,2005-05
[47]蔡庆丰.代理投资、道德风险和市场效率:[博士学位论文].厦门:厦门大学,2006.13-14
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