业绩排名与预期风险调整——考虑报酬激励与解职风险交互影响的新证据
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摘要
报酬激励与解职风险是锦标赛机制的激励来源,对输赢家的风险调整行为存在方向相反的激励作用。而股市表现和股市强度与报酬激励、解职风险的相对强度紧密相关,可以作为锦标赛理论预测的重要外生变量。本文以2006—2012年开放式基金为样本,发现输赢家的预期风险调整因股市表现而不同,其排名-风险调整敏感性与市场强度显著正相关,牛(熊)市特征越强则输(赢)家的预期风险调整越大(小)。基金经理通常面临风险限制,上半期意外风险对预期风险产生负向影响,且该影响还取决于意外风险的偏差方向,基金经理的预期风险调整仅对正的意外风险做出反应。此外,经理任职年限对不同股市表现中的排名与预期风险调整关系也存在交互影响。
Compensation incentive and employment risk are the incentive sources for fund managers under tournament.But each has opposite incentive on fund managers'risk adjustments.The performance and strength of stock market is closely related to the relative domination of compensation incentive and employment risk.In this study,using data on open-ended funds in China from 2006—2012,we find that winners'and losers'risk adjustments are different in bull and bear markets,and their intended risk adjustments are positively related to the strength of bear and bull markets.The more bullish or bearish the market is,the winners'(losers')intended risk adjustments are more(less)pronounced.Unexpected risk in the first half year has inverse influence on fund managers'intended risk adjustments.However,the influence also depends on positive or negative deviation of unexpected risk,and fund managers only make response to positive unexpected risk.
Compensation incentive and employment risk are the incentive sources for fund managers under tournament.But each has opposite incentive on fund managers'risk adjustments.The performance and strength of stock market is closely related to the relative domination of compensation incentive and employment risk.In this study,using data on open-ended funds in China from 2006—2012,we find that winners'and losers'risk adjustments are different in bull and bear markets,and their intended risk adjustments are positively related to the strength of bear and bull markets.The more bullish or bearish the market is,the winners'(losers')intended risk adjustments are more(less)pronounced.Unexpected risk in the first half year has inverse influence on fund managers'intended risk adjustments.However,the influence also depends on positive or negative deviation of unexpected risk,and fund managers only make response to positive unexpected risk.
引文
[1]Brown,K.,W.Harlow,and L.Starks,“Of Tournaments and Temptations:An Analysis of Managerial Incentives in the Mutual Fund Industry”,The Journal of Finance,1996,51(1),85—110.
[2]Koski,J.,and J.Pontiff,“How are Derivatives Used?Evidence from the Mutual Fund Industry”,Journal of Finance,1999,54,791—816.
[3]Chen,Hsiu-Land,and G.Pennacchi,“Does Prior Performance Affect a Mutual Fund's Choice of Risk?Theory and Further Empirical Evidence”,Journal of Financial and Quantitative Analysis,2009,44(4),745—774.
[4]Busse,J.A.,“Another Look at Mutual Fund Tournaments”,Journal of Financial and Quantitative Analysis,2001,36,53—73.
[5]Taylor,J.,“Risk Taking Behavior in Mutual Fund Tournaments”,Journal of Economic Behavior&Organization,2003,50,3732—383.
[6]Qiu,J.,“Termination Risk,Multiple Managers and Mutual Fund Tournaments”,European Finance Review,2003,7,161—190.
[7]Kempf,A.,and S.,Ruenzi,“Tournaments in Mutual Fund Families”,Review of Financial Studies,2008,21,1013—1036.
[8]Kempf,A.,S.Ruenzi,and T.Thiele,“Employment Risk,Compensation Incentives,and Managerial Risk Taking:Evidence from the Mutual Fund Industry”,Journal of Financial Economics,2009,2,92—108.
[9]Han,D.Z.,and H.Y.Song,“Empirical Study on the Incentive and Constraint Mechanism of Securities Investment Funds”,The Journal of Quanlitative&Technical Economics,2002,19(4),113—110.(in Chinese)
[10]Gong,H.,Y.P.Li,and S.T.Wu,“Effect of Performance Ranking on the Fund Manager Investment Portfolio Risk Selection:Experience Analysis Based on Closed-End Fund 1998—2008Years'Performance”,World Economy,2010,4,160—146.(in Chinese)
[11]Shi,C.Y.,and X.liu,“From a Competition Perspective to Explore Risk Adjustment Behavior of Fund Managers”,Securities Market Herald,2005,2,28—32.(in Chinese)
[12]Shan,L.W.,and W.Peng,“The Fund Performance Ranking and Fund Manager's Risk Behavior”,The Investment Research,2012,31(2),15—30.(in Chinese)
[13]Ding,Z.H.,“The Fund's Past Performance Will Affect the Choice of Risk in Future?”,Securities Market Herald,2006,4,39—45.(in Chinese)
[14]Wang,M.H.,Z.Chen,and X.Y.Cai,“A Study of the Effect of Relative Performance on the RiskTaking Behavior of Mutual Funds”,Chinese Journal of Management Science,2004,12(5),1—5.(in Chinese)
[15]Li,X.F.,W.Su,R.X.Li,and Z.Y.Wang,“The Performance Evaluation's Impact on Open-end Funds'Risky Adjustment Behavior”,The Journal of Guangdong University of Finance,2010,25(1),78—85.(in Chinese)
[16]Xiao,J.H.,“Research on Tournament in Chinese Fund Industry and its Effects:Evidence from Open-ended Fund”,NankaiBusiness Review,2012,15(5),44—55.(in Chinese)
[17]Cai,Q.F,and J.Liu,“Performance Ranking,Market Status and the Risk of Fund Manager Adjustment Behavior:‘Fight’or‘Profit’?”,Chinese Review of Financial Studies,2012,3,76—66.(in Chinese)
[18]Xiao,J.,“The Stock Market Cycle and the Choice of Fund Investors”,China Economic Quarterly,2013,12(4),1320—1299.(in Chinese)
[19]Li,X.F.,Z.Y.Wang,and C.Su,“What Caused the Disposition Effect:Based on Simulation Studies and Empirical Test of Different Market Environment”,The Journal of World Economy,2011,(12),155—140.(in Chinese)
[20]Capon N.,G.Fitzsimons,and R.Prince,“An Individual Level Analysis of the Mutual Fund Investment Decision”,Working Paper,Columbia University,1992.
[21]Sirri E,,and P.Tufano,“Costly Search and Mutual Fund Flows”,Journal of Finance,1998,53(5),1589—1622.
[22]Wellman,J.W.,and J.Zhou,“Corporate Governance and Mutual Fund Performance:A First Look at the Morningstar Stewardship Grades”,Working paper,2007,Binghamton University.
[23]Ippolito,R.A.,“Consumer Reaction to Measures of Poor Quality:Evidence From the Mutual Fund Industry”,Journal of Law and Economics,1992,35,45—70.
[24]Chevalier,J.,and G.Ellison,“Risk Taking by Mutual Funds as a Response to Incentives”,Journal of Political Economy,1997,105(6),1167—1200.
[25]Gruber,M.J.,“Another Puzzle:The Growth in Actively Managed Mutual Funds”,Journal of Finance,1996,51,783—810.
[26]Khorana,A.,“Top Management Turnover:An Empirical Investigation of Mutual Fund Managers”,Journal of Financial Economics,1996,40,403—427.
[27]Farnsworth,H.,and J.Taylor,“Evidence on the Compensation of Portfolio Managers”,Journal of Financial Research,2006,29,305—324.
[28]Peng,W.P.,and J.H.Xiao,“Is Fund Manager Replacement an Effective Incentive Mechanism?”,Economic Management Journal,2012,34(4),140—131.(in Chinese)
[29]Lu J.L.,and M.B.Wang,“What Determines the Change of the Fund Manager”,Securities Market Herald,2007,3,77—68.(in Chinese)
[30]Xiao,J.H.,and W.P.Peng,“Tournament and Fund Risk Adjustment:Theoretical Model Building and Empirical Analysis”,Journal of Management Sciences in China,2015,18(1),87—98.(in Chinese)
[31]Wiggins,J.,“Betas in Up and Down Markets”,The Fianncial Review,1992,27(1),107—123.
[32]Kao,C.,L.Cheng,and K.Chan,“International Mutual Fund Selectivity and Market Timing during Up and Down Market Conditions”,The Fianncial Review,1998,33(2),127—144.
[33]Elton,E.,M.Gruber,and C.Blake,“Incentive Fees and Mutual Funds”,Journal of Finance,2003,58,779—804.
[34]Jegadeesh,N.,“Evidence of Predictable Behavior of Security Returns”,Journal of Finance,1990,45,881—898.
[35]Jegadeesh,N.,and S.Titman,“Returns to Buying Winners and Selling Losers:Implications for Stock Market Efficiency”,Journal of Finance,1993,48(1),65—91.
[36]Jegadeesh,N.,and S.Titman,“Profitability of Momentum Strategies:An Evaluation of Alternative Explanations”,Journal of Finance,2001,56,699—720.
[37]George,T.,and C.Y.Hwang,“The 52-Week High and Momentum Investing”,Journal of Finance,2004,59(5),2145—2176.
[38]Zhou,L.J.,“Momentum Strategies,Non-profit Research in China's Stock Market”,The Journal of World Economy,2002,8,60—64.(in Chinese)
[39]Lu,Z.,and H.P.Zou,“China's Stock Market Momentu and Reversal Effect Research”,Economical Research Journal,2007,9,145—155.(in Chinese)
[40]Sun J.,and W.H.Qiu,“Investigation of Fund Managers'Risk-taking Behavior Motivated by Fund Tournament”,Journal of Beijing University of Aeronautics and Astronautics:Social Sciences Edition,2005,18(2),5—9.(in Chinese)
[41]Zhou Y.F.,J.M.Yan,Z.G.Sun,and B.Tong,“Influence of Relative Performance Ranking Open-end Fund Risk Adjustment Behavior in Our Country”,Journal of Financial Development Research,2008,12,55—59.(in Chinese)
[42]Almazan.A,K.Brown,M.Carlson,and D.Chapman,“Why Constrain Your Mutual Fund Manager?”,Journal of Financial Economics,2004,73(2),289—321.
1韩德宗、宋红雨,“证券投资基金激励约束机制的实证研究”,《数量经济技术经济研究》,2002年第4期,第110-113页。
2龚红、李燕萍、吴绍棠,“业绩排序对基金经理投资组合风险选择的影响:基于封闭式基金1998~2008年表现的经验分析”,《世界经济》,2010年第4期,第146-160页。
3史晨昱、刘霞,“从竞赛观点探讨基金经理人的风险调整行为”,《证券市场导报》,2005年第2期,第28-32页。
4山立威、王鹏,“基金业绩排名与基金经理的冒险行为”,《投资研究》,2012年第2期,第15-30页。
5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年第4期,第39-45页。
6王明好、陈忠、蔡晓钰,“相对业绩对投资基金风险承担行为的影响研究”,《中国管理科学》,2004年第10期,第1-5页。
7李学峰、苏伟、李荣霞、王兆宇,“业绩排序对基金投资风险水平变化的影响”,《广东金融学院学报》,2010年第1期,第78-85页。
8肖继辉,“基金行业锦标赛及其激励效应研究——来自开放式基金的经验证据”,《南开管理评论》,2012年第4期,第44-55页;蔡庆丰、刘锦,“业绩排名、市场状态与基金经理的风险调整行为:‘争名'还是‘逐利'”?”,《金融评论》,2012年第3期,第66-76页。
9肖峻,“股市周期与基金投资者的选择”,《经济学》(季刊),2013年第4期,第1299-1320页。
10李学峰、王兆宇、苏晨,“什么导致了处置效应:基于不同市场环境的模拟研究与经验检验”,《世界经济》,2011年第12期,第140-155页。
11彭文平、肖继辉,“基金经理更换是一种有效的激励机制吗?”,《经济管理》,2012年第4期,第131-140页。
12陆家骝、王茂斌,“什么决定了基金经理的更换”,《证券市场导报》,2007年第3期,第68-77页。
13肖继辉、彭文平,“锦标赛制度与基金风险调整:理论拓展与经验证据”,《管理科学学报》,2015年第1期,87-98。
14周琳杰,“中国股票市场动量策略赢利性研究”,《世界经济》,2002年第8期,第60-64页。
15鲁臻、邹恒甫,“中国股市的惯性与反转效应研究”,《经济研究》,2007年第9期,第145-155页。
16孙静、邱菀华,“基金竞赛对基金经理交易行为影响的实证研究”,《北京航空航天大学学报(社会科学版)》,2005年第6期,第5-9页。
17周永峰、严瑾孟、孙增光、佟彬,“相对业绩排序对我国开放式基金风险调整行为的影响”,《金融发展研究》,2008年第12期,第55-59页。
[2]Koski,J.,and J.Pontiff,“How are Derivatives Used?Evidence from the Mutual Fund Industry”,Journal of Finance,1999,54,791—816.
[3]Chen,Hsiu-Land,and G.Pennacchi,“Does Prior Performance Affect a Mutual Fund's Choice of Risk?Theory and Further Empirical Evidence”,Journal of Financial and Quantitative Analysis,2009,44(4),745—774.
[4]Busse,J.A.,“Another Look at Mutual Fund Tournaments”,Journal of Financial and Quantitative Analysis,2001,36,53—73.
[5]Taylor,J.,“Risk Taking Behavior in Mutual Fund Tournaments”,Journal of Economic Behavior&Organization,2003,50,3732—383.
[6]Qiu,J.,“Termination Risk,Multiple Managers and Mutual Fund Tournaments”,European Finance Review,2003,7,161—190.
[7]Kempf,A.,and S.,Ruenzi,“Tournaments in Mutual Fund Families”,Review of Financial Studies,2008,21,1013—1036.
[8]Kempf,A.,S.Ruenzi,and T.Thiele,“Employment Risk,Compensation Incentives,and Managerial Risk Taking:Evidence from the Mutual Fund Industry”,Journal of Financial Economics,2009,2,92—108.
[9]Han,D.Z.,and H.Y.Song,“Empirical Study on the Incentive and Constraint Mechanism of Securities Investment Funds”,The Journal of Quanlitative&Technical Economics,2002,19(4),113—110.(in Chinese)
[10]Gong,H.,Y.P.Li,and S.T.Wu,“Effect of Performance Ranking on the Fund Manager Investment Portfolio Risk Selection:Experience Analysis Based on Closed-End Fund 1998—2008Years'Performance”,World Economy,2010,4,160—146.(in Chinese)
[11]Shi,C.Y.,and X.liu,“From a Competition Perspective to Explore Risk Adjustment Behavior of Fund Managers”,Securities Market Herald,2005,2,28—32.(in Chinese)
[12]Shan,L.W.,and W.Peng,“The Fund Performance Ranking and Fund Manager's Risk Behavior”,The Investment Research,2012,31(2),15—30.(in Chinese)
[13]Ding,Z.H.,“The Fund's Past Performance Will Affect the Choice of Risk in Future?”,Securities Market Herald,2006,4,39—45.(in Chinese)
[14]Wang,M.H.,Z.Chen,and X.Y.Cai,“A Study of the Effect of Relative Performance on the RiskTaking Behavior of Mutual Funds”,Chinese Journal of Management Science,2004,12(5),1—5.(in Chinese)
[15]Li,X.F.,W.Su,R.X.Li,and Z.Y.Wang,“The Performance Evaluation's Impact on Open-end Funds'Risky Adjustment Behavior”,The Journal of Guangdong University of Finance,2010,25(1),78—85.(in Chinese)
[16]Xiao,J.H.,“Research on Tournament in Chinese Fund Industry and its Effects:Evidence from Open-ended Fund”,NankaiBusiness Review,2012,15(5),44—55.(in Chinese)
[17]Cai,Q.F,and J.Liu,“Performance Ranking,Market Status and the Risk of Fund Manager Adjustment Behavior:‘Fight’or‘Profit’?”,Chinese Review of Financial Studies,2012,3,76—66.(in Chinese)
[18]Xiao,J.,“The Stock Market Cycle and the Choice of Fund Investors”,China Economic Quarterly,2013,12(4),1320—1299.(in Chinese)
[19]Li,X.F.,Z.Y.Wang,and C.Su,“What Caused the Disposition Effect:Based on Simulation Studies and Empirical Test of Different Market Environment”,The Journal of World Economy,2011,(12),155—140.(in Chinese)
[20]Capon N.,G.Fitzsimons,and R.Prince,“An Individual Level Analysis of the Mutual Fund Investment Decision”,Working Paper,Columbia University,1992.
[21]Sirri E,,and P.Tufano,“Costly Search and Mutual Fund Flows”,Journal of Finance,1998,53(5),1589—1622.
[22]Wellman,J.W.,and J.Zhou,“Corporate Governance and Mutual Fund Performance:A First Look at the Morningstar Stewardship Grades”,Working paper,2007,Binghamton University.
[23]Ippolito,R.A.,“Consumer Reaction to Measures of Poor Quality:Evidence From the Mutual Fund Industry”,Journal of Law and Economics,1992,35,45—70.
[24]Chevalier,J.,and G.Ellison,“Risk Taking by Mutual Funds as a Response to Incentives”,Journal of Political Economy,1997,105(6),1167—1200.
[25]Gruber,M.J.,“Another Puzzle:The Growth in Actively Managed Mutual Funds”,Journal of Finance,1996,51,783—810.
[26]Khorana,A.,“Top Management Turnover:An Empirical Investigation of Mutual Fund Managers”,Journal of Financial Economics,1996,40,403—427.
[27]Farnsworth,H.,and J.Taylor,“Evidence on the Compensation of Portfolio Managers”,Journal of Financial Research,2006,29,305—324.
[28]Peng,W.P.,and J.H.Xiao,“Is Fund Manager Replacement an Effective Incentive Mechanism?”,Economic Management Journal,2012,34(4),140—131.(in Chinese)
[29]Lu J.L.,and M.B.Wang,“What Determines the Change of the Fund Manager”,Securities Market Herald,2007,3,77—68.(in Chinese)
[30]Xiao,J.H.,and W.P.Peng,“Tournament and Fund Risk Adjustment:Theoretical Model Building and Empirical Analysis”,Journal of Management Sciences in China,2015,18(1),87—98.(in Chinese)
[31]Wiggins,J.,“Betas in Up and Down Markets”,The Fianncial Review,1992,27(1),107—123.
[32]Kao,C.,L.Cheng,and K.Chan,“International Mutual Fund Selectivity and Market Timing during Up and Down Market Conditions”,The Fianncial Review,1998,33(2),127—144.
[33]Elton,E.,M.Gruber,and C.Blake,“Incentive Fees and Mutual Funds”,Journal of Finance,2003,58,779—804.
[34]Jegadeesh,N.,“Evidence of Predictable Behavior of Security Returns”,Journal of Finance,1990,45,881—898.
[35]Jegadeesh,N.,and S.Titman,“Returns to Buying Winners and Selling Losers:Implications for Stock Market Efficiency”,Journal of Finance,1993,48(1),65—91.
[36]Jegadeesh,N.,and S.Titman,“Profitability of Momentum Strategies:An Evaluation of Alternative Explanations”,Journal of Finance,2001,56,699—720.
[37]George,T.,and C.Y.Hwang,“The 52-Week High and Momentum Investing”,Journal of Finance,2004,59(5),2145—2176.
[38]Zhou,L.J.,“Momentum Strategies,Non-profit Research in China's Stock Market”,The Journal of World Economy,2002,8,60—64.(in Chinese)
[39]Lu,Z.,and H.P.Zou,“China's Stock Market Momentu and Reversal Effect Research”,Economical Research Journal,2007,9,145—155.(in Chinese)
[40]Sun J.,and W.H.Qiu,“Investigation of Fund Managers'Risk-taking Behavior Motivated by Fund Tournament”,Journal of Beijing University of Aeronautics and Astronautics:Social Sciences Edition,2005,18(2),5—9.(in Chinese)
[41]Zhou Y.F.,J.M.Yan,Z.G.Sun,and B.Tong,“Influence of Relative Performance Ranking Open-end Fund Risk Adjustment Behavior in Our Country”,Journal of Financial Development Research,2008,12,55—59.(in Chinese)
[42]Almazan.A,K.Brown,M.Carlson,and D.Chapman,“Why Constrain Your Mutual Fund Manager?”,Journal of Financial Economics,2004,73(2),289—321.
1韩德宗、宋红雨,“证券投资基金激励约束机制的实证研究”,《数量经济技术经济研究》,2002年第4期,第110-113页。
2龚红、李燕萍、吴绍棠,“业绩排序对基金经理投资组合风险选择的影响:基于封闭式基金1998~2008年表现的经验分析”,《世界经济》,2010年第4期,第146-160页。
3史晨昱、刘霞,“从竞赛观点探讨基金经理人的风险调整行为”,《证券市场导报》,2005年第2期,第28-32页。
4山立威、王鹏,“基金业绩排名与基金经理的冒险行为”,《投资研究》,2012年第2期,第15-30页。
5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年第4期,第39-45页。
6王明好、陈忠、蔡晓钰,“相对业绩对投资基金风险承担行为的影响研究”,《中国管理科学》,2004年第10期,第1-5页。
7李学峰、苏伟、李荣霞、王兆宇,“业绩排序对基金投资风险水平变化的影响”,《广东金融学院学报》,2010年第1期,第78-85页。
8肖继辉,“基金行业锦标赛及其激励效应研究——来自开放式基金的经验证据”,《南开管理评论》,2012年第4期,第44-55页;蔡庆丰、刘锦,“业绩排名、市场状态与基金经理的风险调整行为:‘争名'还是‘逐利'”?”,《金融评论》,2012年第3期,第66-76页。
9肖峻,“股市周期与基金投资者的选择”,《经济学》(季刊),2013年第4期,第1299-1320页。
10李学峰、王兆宇、苏晨,“什么导致了处置效应:基于不同市场环境的模拟研究与经验检验”,《世界经济》,2011年第12期,第140-155页。
11彭文平、肖继辉,“基金经理更换是一种有效的激励机制吗?”,《经济管理》,2012年第4期,第131-140页。
12陆家骝、王茂斌,“什么决定了基金经理的更换”,《证券市场导报》,2007年第3期,第68-77页。
13肖继辉、彭文平,“锦标赛制度与基金风险调整:理论拓展与经验证据”,《管理科学学报》,2015年第1期,87-98。
14周琳杰,“中国股票市场动量策略赢利性研究”,《世界经济》,2002年第8期,第60-64页。
15鲁臻、邹恒甫,“中国股市的惯性与反转效应研究”,《经济研究》,2007年第9期,第145-155页。
16孙静、邱菀华,“基金竞赛对基金经理交易行为影响的实证研究”,《北京航空航天大学学报(社会科学版)》,2005年第6期,第5-9页。
17周永峰、严瑾孟、孙增光、佟彬,“相对业绩排序对我国开放式基金风险调整行为的影响”,《金融发展研究》,2008年第12期,第55-59页。