业绩评价、职业声誉和基金经理行为异化
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摘要
本文以开放式基金经理更换事件为样本,从隐性激励角度分析了业绩评价机制和职业声誉机制的相互作用及其对基金经理行为异化的影响。研究结果表明,我国基金业盛行的短期业绩评价机制扭曲了基金经理声誉激励机制,造成了基金经理的羊群行为和短期行为,特别是对于年轻、资历浅的基金经理更是如此。但长期业绩评价机制下基金经理的行为没有异化。所以,基金业短期业绩评价机制亟待改善,建立长效激励机制势在必行。
With the impressive growth of China's Securities Investment Fund,small-medium investors have various investment tools nowadays. In contrary to the rapid development of fund,the performance is not so well-pleasing. Many factors can contribute to the fund performance,many people think that fund managers' ability may be the main reason for poor performance. Though,we think that it has much to do with fund managers' behavior instead of ability. Several articles show that managers' behavior is one of the critical factors that determine fund performance. To some extent,fund managers' herd and short-term behaviors should be responsible for the poor performance of China's Securities Investment Fund. Herd and short-term behaviors are two types of distortion in fund managers' behavior,and this distortion can arise in a variety of contexts,the drawback of incentive mechanism is one of the most important factors that lead to these behaviors. It is known that incentive mechanism can provide managers with incentives and constraints. But the problems of fund managers' behavior in China indicate that the current incentive mechanism can not have a positive impact on managers' behavior. Therefore,it is absolutely necessary to check the drawbacks of incentive mechanism,and then examine how they influence fund managers' behavior,and if the defect of incentive mechanism result in fund managers' herd and short-term behavior. Both explicit and implicit incentives are included in incentive mechanism. Career concerns is a type of implicit incentive. Several theories of reputation suggest that managers' career concerns affect their decisions. From the perspective of career concerns,this paper studies whether the drawback of reputation incentive has led to fund managers' herd and short-term behavior. From the perspective of implicit incentive,Using the sample statistics period from 2005 to 2010,this study uses a sample of open-ended fund managers' replacement to analyze performance evaluation and reputation incentive and their interaction with distortion in fund managers' behavior. In this article, First,by designing a Logistic model,we use the data on Chinese open-ended fund managers' replacements and the managers' past performance to examine the relationship between fund performance and fund managers' replacement, from which we can make a judge that whether the reputation incentive is perfect or not. Second,we examine if the drawback of reputation incentive induce fund mangers to herd and speculate. Third,we analyze what kind of fund managers are more likely to "follow the herd"and speculate. In china,the replacement of the mutual fund managers is much more frequent than any other western countries like the US. The empirical results show that fund mangers' replacements are mainly based on their short-term performance,namely,managers with poor performance in the short time are more likely to be demoted or fired,while managers with pleasing performance in the short time can get promotion easily. This phenomenon called "Fund Championship". Essentially,the reputation incentive mechanism is distorted by "Fund Championship"-a shortterm evaluation system,to some extent,it leads to managers' herd and short-term behavior,what's more,we find that young managers and managers with poor past performance or shorter serving time would tend to herd and speculate. While our results show that distortion behavior dosen't happen when managers are appraised under the longterm performance evaluation. So it is really urgent to establish long-term incentive mechanism instead of short-term performance evaluation. Finally,we bring forward some suggestions in this article to solve problems above: Firstly,reforming fund evaluation and establishing a scientific evaluation system to assess fund managers' investment ability; Then,extending the "fund holding"incentive project,providing fund managers with more reasonable incentives to make good performance; Thirdly,establishing a rational personnel training mechanism so as to reduce fund managers replacement.
With the impressive growth of China's Securities Investment Fund,small-medium investors have various investment tools nowadays. In contrary to the rapid development of fund,the performance is not so well-pleasing. Many factors can contribute to the fund performance,many people think that fund managers' ability may be the main reason for poor performance. Though,we think that it has much to do with fund managers' behavior instead of ability. Several articles show that managers' behavior is one of the critical factors that determine fund performance. To some extent,fund managers' herd and short-term behaviors should be responsible for the poor performance of China's Securities Investment Fund. Herd and short-term behaviors are two types of distortion in fund managers' behavior,and this distortion can arise in a variety of contexts,the drawback of incentive mechanism is one of the most important factors that lead to these behaviors. It is known that incentive mechanism can provide managers with incentives and constraints. But the problems of fund managers' behavior in China indicate that the current incentive mechanism can not have a positive impact on managers' behavior. Therefore,it is absolutely necessary to check the drawbacks of incentive mechanism,and then examine how they influence fund managers' behavior,and if the defect of incentive mechanism result in fund managers' herd and short-term behavior. Both explicit and implicit incentives are included in incentive mechanism. Career concerns is a type of implicit incentive. Several theories of reputation suggest that managers' career concerns affect their decisions. From the perspective of career concerns,this paper studies whether the drawback of reputation incentive has led to fund managers' herd and short-term behavior. From the perspective of implicit incentive,Using the sample statistics period from 2005 to 2010,this study uses a sample of open-ended fund managers' replacement to analyze performance evaluation and reputation incentive and their interaction with distortion in fund managers' behavior. In this article, First,by designing a Logistic model,we use the data on Chinese open-ended fund managers' replacements and the managers' past performance to examine the relationship between fund performance and fund managers' replacement, from which we can make a judge that whether the reputation incentive is perfect or not. Second,we examine if the drawback of reputation incentive induce fund mangers to herd and speculate. Third,we analyze what kind of fund managers are more likely to "follow the herd"and speculate. In china,the replacement of the mutual fund managers is much more frequent than any other western countries like the US. The empirical results show that fund mangers' replacements are mainly based on their short-term performance,namely,managers with poor performance in the short time are more likely to be demoted or fired,while managers with pleasing performance in the short time can get promotion easily. This phenomenon called "Fund Championship". Essentially,the reputation incentive mechanism is distorted by "Fund Championship"-a shortterm evaluation system,to some extent,it leads to managers' herd and short-term behavior,what's more,we find that young managers and managers with poor past performance or shorter serving time would tend to herd and speculate. While our results show that distortion behavior dosen't happen when managers are appraised under the longterm performance evaluation. So it is really urgent to establish long-term incentive mechanism instead of short-term performance evaluation. Finally,we bring forward some suggestions in this article to solve problems above: Firstly,reforming fund evaluation and establishing a scientific evaluation system to assess fund managers' investment ability; Then,extending the "fund holding"incentive project,providing fund managers with more reasonable incentives to make good performance; Thirdly,establishing a rational personnel training mechanism so as to reduce fund managers replacement.
引文
[1]Ajay Khorana.Top Management Turnover:An Empirical Investigation of Mutual Fund Managers[J].Journal of Financial Economics,1996,(40):403-427.
[2]Brown K C.,W.V.Harlow and Laura T.Starks.Of Tournaments and Temptations:An Analysis of ManAgement Incentives in the Mutual Fund Industry[J].The Journal of Financ,1996,(l):373-399.
[3]Chan,Chen and Lakonishok.On Mutual Fund Investment Styles[J].The Review of Financial Studies,2002,(5):1407-1437.
[4]Chen,H.,Pennacchi,G.Does Prior Performance Affect a Mutual Fund's Choice of Risk?Theory and Further Empirical Evidence[J].Journal of Financial and Quantitative Analysis,2009,(44):745-775.
[5]Fama.Agency Problems and Theory of the firm[J].Journal of Political Economic,1980,88,(2):288-307.
[6]Grinblatt,Titman and Wermers.Momentum Investment Strategies,Portfolio Performance,and Herding:A Study of Mutual Fund Behavior[J].The American Economic Review,1995,85,(5):1088-1105.
[7]Jegadeesh and Titman.Returns to Buying Winners and Selling Losers.Implications for Stock Market Efficiencys[J].Journal of Finance,1993,48,(1):65-91.
[8]Judith Chevalier And Glenn Ellison.Risk Taking by Mutual Funds as a Response to Incentives[J].Journal of Political Economy,1997,105,(6):67-99.
[9]Judith Chevalier And Glenn Ellison.Career Concerns Of Mutual Fund Managers[J].The Quarterly Journal of Economics,1999,114,(2):389-432.
[10]Lazear,Edward P.,Rosen,Sherwin.Rank-Order Tournaments as Optimum Labor Contracts[J].Journal of Political Economy,1981,(89):841-864
[11]Scharfstein,David S.and Stein.Herd Behavior and Investment[J].The American Economic Review,1990,(3):465-489.
[12]Taylor.Risk-Taking Behavior in Mutual Fund Tournaments[J].Journal of Economic Behavior&Organization,2003,(3):373-383.
[13]蔡庆丰,宋友勇.超常规发展的机构投资者能稳定市场吗?[J].北京:经济研究,2010,(1)
[14]罗真,张宗成.职业忧虑影响基金经理投资行为的经验分析[J].北京:世界经济,2004,(4).
[15]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).
[16]彭文平,肖继辉.基金经理更换是一种有效的激励机制吗[J].北京:经济管理,2012,(4).
[17]徐琼,赵旭.我国基金经理投资行为实证研究[J].北京:金融研究,2008,(8).
[18]丁振华.基金过去的业绩会影响未来的风险选择吗?[J].深圳:证券市场导报,2006,(4).
[19]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[J].北京航空航天大学学报,200,5(6).
①我国开放式基金经理的平均任职期限约为1.8年,若选取更换前一年以上的时间作为研究区间,符合条件的样本较少。但对基金经理的业绩评价需要一定的持续研究时间,因此,本文剔除了基金经理更换前业绩评价的持续时间在一年以下的样本。
①由于回归结果和混合样本基本一致,限于篇幅,本文没有报告短命样本的回归结果。
①限于篇幅和其回归结果和混合样本基本一致,本文没有报告短命样本的回归结果。
①限于篇幅和其回归结果和混合样本基本一致,本文没有报告短命样本的回归结果。
[2]Brown K C.,W.V.Harlow and Laura T.Starks.Of Tournaments and Temptations:An Analysis of ManAgement Incentives in the Mutual Fund Industry[J].The Journal of Financ,1996,(l):373-399.
[3]Chan,Chen and Lakonishok.On Mutual Fund Investment Styles[J].The Review of Financial Studies,2002,(5):1407-1437.
[4]Chen,H.,Pennacchi,G.Does Prior Performance Affect a Mutual Fund's Choice of Risk?Theory and Further Empirical Evidence[J].Journal of Financial and Quantitative Analysis,2009,(44):745-775.
[5]Fama.Agency Problems and Theory of the firm[J].Journal of Political Economic,1980,88,(2):288-307.
[6]Grinblatt,Titman and Wermers.Momentum Investment Strategies,Portfolio Performance,and Herding:A Study of Mutual Fund Behavior[J].The American Economic Review,1995,85,(5):1088-1105.
[7]Jegadeesh and Titman.Returns to Buying Winners and Selling Losers.Implications for Stock Market Efficiencys[J].Journal of Finance,1993,48,(1):65-91.
[8]Judith Chevalier And Glenn Ellison.Risk Taking by Mutual Funds as a Response to Incentives[J].Journal of Political Economy,1997,105,(6):67-99.
[9]Judith Chevalier And Glenn Ellison.Career Concerns Of Mutual Fund Managers[J].The Quarterly Journal of Economics,1999,114,(2):389-432.
[10]Lazear,Edward P.,Rosen,Sherwin.Rank-Order Tournaments as Optimum Labor Contracts[J].Journal of Political Economy,1981,(89):841-864
[11]Scharfstein,David S.and Stein.Herd Behavior and Investment[J].The American Economic Review,1990,(3):465-489.
[12]Taylor.Risk-Taking Behavior in Mutual Fund Tournaments[J].Journal of Economic Behavior&Organization,2003,(3):373-383.
[13]蔡庆丰,宋友勇.超常规发展的机构投资者能稳定市场吗?[J].北京:经济研究,2010,(1)
[14]罗真,张宗成.职业忧虑影响基金经理投资行为的经验分析[J].北京:世界经济,2004,(4).
[15]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).
[16]彭文平,肖继辉.基金经理更换是一种有效的激励机制吗[J].北京:经济管理,2012,(4).
[17]徐琼,赵旭.我国基金经理投资行为实证研究[J].北京:金融研究,2008,(8).
[18]丁振华.基金过去的业绩会影响未来的风险选择吗?[J].深圳:证券市场导报,2006,(4).
[19]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[J].北京航空航天大学学报,200,5(6).
①我国开放式基金经理的平均任职期限约为1.8年,若选取更换前一年以上的时间作为研究区间,符合条件的样本较少。但对基金经理的业绩评价需要一定的持续研究时间,因此,本文剔除了基金经理更换前业绩评价的持续时间在一年以下的样本。
①由于回归结果和混合样本基本一致,限于篇幅,本文没有报告短命样本的回归结果。
①限于篇幅和其回归结果和混合样本基本一致,本文没有报告短命样本的回归结果。
①限于篇幅和其回归结果和混合样本基本一致,本文没有报告短命样本的回归结果。