基金经理更换是一种有效的激励机制吗?
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摘要
本文以2005～2009年为样本期,考察了基金经理更换的原因及效果。研究发现,业绩能够较好地解释基金经理降职,但对升职解释不足。基金经理升职后基金业绩能够保持;而降职之后,继任经理的投资风格和资产配置都发生了显著的变化,从而使得基金业绩在不增加投资组合风险的前提下得以改善。股权较为分散、股东间有效制衡的基金公司旗下的基金经理更容易被更换,但董事会制度与基金经理更换不相关。同时,内资基金公司的经理更换机制不如合资基金公司有效。所以,基金经理更换是一种较为有效但尚不完善的激励机制。
In china,the replacement of the mutual fund managers is much more frequent than any other western countries like the US.On the purpose of finding some evidences to observe whether the fund managers replacement is efficient internal incentive mechanism,this study is to carry out an empirical research on the reasons and influence of mutual fund managers replacement,Using the sample statistics period from 2005 to 2009,We analyze the influence of the mutual fund performance and internal governance mechanism in the fund manager replacement,as well as the performance and investment alteration after the replacement.According to our research,under the market situation,fund performance is the motion of the fund manager replacement to a certain extent.The empirical results show that the fund performance can better explain the demotion of the managers,However,the performance have poor explanation ability of the mangers promotion in accordance with our research.After the fund manaers promotion,the successor manager change the style of fund investment positively in order to maintain the fund performance well rather than decline significantly.However,after the fund managers demotion,the investment style and asset portfolio are changed significantly by the successor manager,so that the performance of the fund can be improved,and this improvement is not the cost of the investment portfolio increased risk.All of these can partly explain that the fund managers replacement in Chinese mutual fund market is kind of efficient incentive mechanism.The fund manager,who is in the fund management company,which the shareholding is more dispersed,and effective checks and balances among shareholders,are more easily to explain to be relaced because of the performance of the fund.In additon,the replacement of fund manager is significantly related to the property of the fund management company and the checks and balances among the shareholders,which can give strong evidence that the fund manager replacement should be influenced apparently by the internal governance mechanisim.On the other hand,however,according to the empirical results,it's a little bit regretful that the replacement of fund manager has no any relation to the board of direction system.And our research also find that,in the joint venture fund management compay,the promotion or demotion of the fund manager can be connected with the fund performance much more easily than the traditional fund company in china.This can indicate that it is efficient for the fund management in china to learn even imitate the fund management company in western market,which operate with more mature management experience and internal governance mechanism on fund management replacement.At the same momont,it also reflect some internal governance problems of domestic fund management company,which are imperative to be improved.According to the study we made,although we believe that the replacement of fund managers is a kind of efficient internal mechanism,we still find that the efficient replacement mechanism we talked above,has much little efficiency in mangers promotion than demotion.Firstly,it is much certain that fund manager,who gain poor fund performance,will be demoted.However,it is not quite sure that the manager,who get a excellent performance,will be promoted as well.Scondly,the fund performance will be improved significantly after the demotion of the bad performance fund manager.On the contrary,it has no significant improvement of the fund performance after the well performed being promoted.The research also find that,at the same time,the managers in the fund company which is established longer are more frequently to be pormoted,while the managers in the shorter established fund company are more easily to be demoted.This kind of phenomenon may indicate that the replacement of fund manager is significantly influenced by the interpersonal relationship in traditional china.Under such special market and culture background in China,the Chinese replacement of fund manager mechanism,which,though is recently recognaized as a efficient internal mechanism to a certain extent,has a lot of fields to be improved.
In china,the replacement of the mutual fund managers is much more frequent than any other western countries like the US.On the purpose of finding some evidences to observe whether the fund managers replacement is efficient internal incentive mechanism,this study is to carry out an empirical research on the reasons and influence of mutual fund managers replacement,Using the sample statistics period from 2005 to 2009,We analyze the influence of the mutual fund performance and internal governance mechanism in the fund manager replacement,as well as the performance and investment alteration after the replacement.According to our research,under the market situation,fund performance is the motion of the fund manager replacement to a certain extent.The empirical results show that the fund performance can better explain the demotion of the managers,However,the performance have poor explanation ability of the mangers promotion in accordance with our research.After the fund manaers promotion,the successor manager change the style of fund investment positively in order to maintain the fund performance well rather than decline significantly.However,after the fund managers demotion,the investment style and asset portfolio are changed significantly by the successor manager,so that the performance of the fund can be improved,and this improvement is not the cost of the investment portfolio increased risk.All of these can partly explain that the fund managers replacement in Chinese mutual fund market is kind of efficient incentive mechanism.The fund manager,who is in the fund management company,which the shareholding is more dispersed,and effective checks and balances among shareholders,are more easily to explain to be relaced because of the performance of the fund.In additon,the replacement of fund manager is significantly related to the property of the fund management company and the checks and balances among the shareholders,which can give strong evidence that the fund manager replacement should be influenced apparently by the internal governance mechanisim.On the other hand,however,according to the empirical results,it's a little bit regretful that the replacement of fund manager has no any relation to the board of direction system.And our research also find that,in the joint venture fund management compay,the promotion or demotion of the fund manager can be connected with the fund performance much more easily than the traditional fund company in china.This can indicate that it is efficient for the fund management in china to learn even imitate the fund management company in western market,which operate with more mature management experience and internal governance mechanism on fund management replacement.At the same momont,it also reflect some internal governance problems of domestic fund management company,which are imperative to be improved.According to the study we made,although we believe that the replacement of fund managers is a kind of efficient internal mechanism,we still find that the efficient replacement mechanism we talked above,has much little efficiency in mangers promotion than demotion.Firstly,it is much certain that fund manager,who gain poor fund performance,will be demoted.However,it is not quite sure that the manager,who get a excellent performance,will be promoted as well.Scondly,the fund performance will be improved significantly after the demotion of the bad performance fund manager.On the contrary,it has no significant improvement of the fund performance after the well performed being promoted.The research also find that,at the same time,the managers in the fund company which is established longer are more frequently to be pormoted,while the managers in the shorter established fund company are more easily to be demoted.This kind of phenomenon may indicate that the replacement of fund manager is significantly influenced by the interpersonal relationship in traditional china.Under such special market and culture background in China,the Chinese replacement of fund manager mechanism,which,though is recently recognaized as a efficient internal mechanism to a certain extent,has a lot of fields to be improved.
引文
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[9]陆家骝,王茂斌.什么决定了基金经理的更换[J].深圳:证券市场导报,2007,(3).
[10]张美霞.基金业绩、基金经理更换与投资者财富效应[J].太原:山西财经大学学报,2007,(9).
[11]赵清光.我国基金经理更换与基金绩效[J].北京:证券市场周刊,2005,(7).
[12]李伟,劳川奇.经理更换对基金影响的实证研究[J].北京:管理现代化,2007(2).
[2]K.Chan,H.Chen,J.Lakonishok.On the Mutual Fund Investment Styles[J].Review of Financial Studies,2002,(15).
[3]Fan Hu,Alastair R.Hall,Campbell R.Harvey.Promotion or Demotion?An Empirical Investigation of the Determinants of TopMutual Fund Manager Change[R].Unpublished Manuscript,Duke University.September 1,2000.
[4]Gallo,J.G,L.J.Lockwood.Fund Management Changes and Equity Style Shifts[J].Financial Analysts Journal,1999,(55).
[5]Khorana,Ajay.Top.Management Turnover:An Empirical Investigation of Mutual Fund Managers[J].Journal of Financial Eco-nomics,1996,(40).
[6]Rowe,Wei Wang,Wallace N.Davidson.Fund Manager Succession in Closed-end Mutual Funds[J].Financial Review,2000,(35).
[7]Russ Wermers,Youchang Wu,Josef Zechner.Portfolio Performance,Discount Dynamics,and the Turnover of Closed-End FundManagers[R].AFA 2008 New Orleans Meetings Paper,November 15,2008.
[8]Tufano,Peter,Matthew Sevick.Board Structure and Fee-setting in the U.S.Mutual Fund Industry[J].Journal of Financial E-conomics,1997,(4).
[9]陆家骝,王茂斌.什么决定了基金经理的更换[J].深圳:证券市场导报,2007,(3).
[10]张美霞.基金业绩、基金经理更换与投资者财富效应[J].太原:山西财经大学学报,2007,(9).
[11]赵清光.我国基金经理更换与基金绩效[J].北京:证券市场周刊,2005,(7).
[12]李伟,劳川奇.经理更换对基金影响的实证研究[J].北京:管理现代化,2007(2).