基金利益冲突与管理努力替代——基于基金经理“一拖多”现象的研究
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摘要
本文研究了基金经理同时管理新老两只基金的"一拖多"情况,发现"一拖多"时存在业绩转移现象,基金经理以牺牲老基金为代价,将业绩转移给新基金。其原因是基金经理的管理努力替代,具体表现在新老基金间不同的持股组合,尤其是新基金普遍获得更多的新投资机会。而管理努力替代和激励机制之间存在直接的关系,新老基金资金流-业绩敏感度的非对称激励影响着新老基金管理努力替代,使得基金经理花费更多努力在新基金上。
This paper studies the multi-tasking management of fund manager who manages two funds with one new and one old at the same time,and we found a significant performance shift phenomenon in the multi-tasking management, benefit will be transferred to the new fund at the expense of the old one. The cause of that is the fund manager's managerial effort substitution, specifically reflect in the way that portfolio holdings is distinct between the new and old funds, especially the new funds generally have more new investment opportunities. And there is direct relationship exists between managerial effort substitution and incentive mechanism. Asymmetric incentive of fund flow-performance sensitivity of the new and old funds have influence on managerial effort substitution between new and old fund,as result fund managers will spend more effort in the new fund.
This paper studies the multi-tasking management of fund manager who manages two funds with one new and one old at the same time,and we found a significant performance shift phenomenon in the multi-tasking management, benefit will be transferred to the new fund at the expense of the old one. The cause of that is the fund manager's managerial effort substitution, specifically reflect in the way that portfolio holdings is distinct between the new and old funds, especially the new funds generally have more new investment opportunities. And there is direct relationship exists between managerial effort substitution and incentive mechanism. Asymmetric incentive of fund flow-performance sensitivity of the new and old funds have influence on managerial effort substitution between new and old fund,as result fund managers will spend more effort in the new fund.
引文
[1]何小杨,2010,《中国开放式基金业绩与投资者的选择——“基金热”前后开放式基金赎回现象对比研究》,《证券市场导报》第6期,69-77。
[2]林树,李翔,杨雄胜,O.Tam,2009,《他们真的是明星吗?——来自中国证券基金市场的经验证据》,《金融研究》第5期,107-120。
[3]刘志新,许宁,2010,《基金系内部交叉补贴研究》,《管理科学学报》第3期,73-80。
[4]刘志远,姚颐,2005,《开放式基金的“赎回困惑”现象研究》,《证券市场导报》第2期,37-41。
[5]陆蓉,陈百助,徐龙炳,谢新厚,2007,《基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究》,《经济研究》第6期,39-50。
[6]莫泰山,2013,《中国开放式基金真的存在“赎回异象”吗?——对开放式基金业绩和资金流入关系的实证检验》,《投资研究》第9期,126-137。
[7]彭文平和肖继辉,2012,《基金经理更换是一种有效的激励机制吗》,《经济管理》第4期,131-140。
[8]彭文平和杨蓝蓝,2013,《业绩评价、职业声誉和基金经理行为异化》,《经济管理》第6期,81-94。
[9]山立威,王鹏,2012,《基金业绩排名与基金经理的冒险行为》,《投资研究》第2期,15-30。
[10]汪慧建,张兵,周安宁,2007,《中国开放式基金赎回异象的实证研究》,《南方经济》第8期,65-73。
[12]王擎,吴玮,蔡栋梁,2010,《基金评级与资金流动:基于中国开放式基金的经验研究》,《金融研究》第9期,106-122。
[13]王叶玲,彭文平,2013,《IPO资源配置与基金家族利益输送——基于开放式基金的实证研究》,《上海金融》第9期,73-78。
[14]肖峻,石劲,2011,《基金业绩与资金流量:我国基金市场存在“赎回异象”吗?》,《经济研究》第1期,112-125。
[15]姚颐,刘志远,2004,《我国开放式基金赎回行为的实证研究》,《经济科学》第5期,48-57。
[16]叶飞腾,陈文韬,2014,《社会网络关系与多任务管理基金经理配置》,《会计与经济研究》第3期,82-93。
[17]曾德明,查琦,龚红,2006,《基金特征、管理特性与基金绩效关系的实证研究》,《管理学报》第3期,347-353。
[18]Abdesaken G.,2013,“Conflicts of Interest in Multi-Fund Management”,http://www.fma.org/Luxembour/Papers/Abdesaken_JMP.pdf.
[19]Agarwal V.and Ma L,2013,“Managerial Multitasking in the Mutual Fund Industry”,CFR Working Paper.
[20]Chen J.,Hong H.and Huang M.,2004,“Does Fund Size Erode Mutual Fund Performance?The Role of Liquidity and Organization”,The American Economic Review,94(5),PP.1276-1302.
[21]Chen,H.C.and Lai,C.W.,2012,Effort Substitution and Performance Shift of Multi-tasking Mutual Fund Managers,University of New Mexico Work Paper.
[22]Chevalier J.and Ellison G.,1999,“Are Some Mutual Fund Managers Better Than Others?Cross-Sectional Patterns in Behavior and Performance”,The Journal of finance,54(3),PP.875-899.
[23]Cici G.,Gibson S.and Moussawi R.,2010,“Mutual Fund Performance When Parent Firms Simultaneously Manage Hedge Funds”,Journal of Financial Intermediation,19(2),PP.169-187.
[24]Cremers K.J.M.and Petajisto A.,2009,“How Active is Your Fund Manager?A New Measure that Predicts Performance”,Review of Financial Studies,22(9),PP.3329-3365.
[25]Evans,R,2010,“Mutual Fund Incubation”,Journal of Finance,65(2),PP.1581–1611.
[26]Gaspar J.M.,Massa M.and Matos P.,2006,“Favoritism in Mutual Fund Families?Evidence on Strategic Cross-Fund Subsidization”,The Journal of Finance,61(1),pp.73-104.
[27]Holmstrom B.and Milgrom P.,1991,“Multitask Principal-Agent Analyses:Incentive Contracts,Asset Ownership,and Job Design”,Journal of Law,Economics and Organsation,7,pp.24-52.
[28]Hu,F.Hall A.R.and C.R.Harvey,2000,“Promotion or Demotion?An Empirical Investigation of the Determinants of Top Mutual Fund Manager Change”,Duke University Working Paper.
[29]Khorana,Ajay,and H.Servaes,2002,“Examination of Competition in the Mutual Fund Industry”,London Business School Working Paper.
[30]Nohel T,Wang Z J,and Zheng L.,2010,“Side-by-Side Management of Hedge Funds and Mutual Funds”,Review of Financial Studies,23(6),PP.2342-2373.
[31]Sirri E R,and Tufano P.,1998,“Costly Search and Mutual Fund Flows”,The Journal of Finance,53(5),PP.1589-1622.
[32]Yadav V.2010,“Portfolio Matching by Multi-Fund Managers:Effects on Fund Performance and Flows”,Available at SSRN1786681.
1据统计,2002-2012年间,我国开放式基金经理的平均任职期限约为1.8年,任职期限最短的为21天。
[2]林树,李翔,杨雄胜,O.Tam,2009,《他们真的是明星吗?——来自中国证券基金市场的经验证据》,《金融研究》第5期,107-120。
[3]刘志新,许宁,2010,《基金系内部交叉补贴研究》,《管理科学学报》第3期,73-80。
[4]刘志远,姚颐,2005,《开放式基金的“赎回困惑”现象研究》,《证券市场导报》第2期,37-41。
[5]陆蓉,陈百助,徐龙炳,谢新厚,2007,《基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究》,《经济研究》第6期,39-50。
[6]莫泰山,2013,《中国开放式基金真的存在“赎回异象”吗?——对开放式基金业绩和资金流入关系的实证检验》,《投资研究》第9期,126-137。
[7]彭文平和肖继辉,2012,《基金经理更换是一种有效的激励机制吗》,《经济管理》第4期,131-140。
[8]彭文平和杨蓝蓝,2013,《业绩评价、职业声誉和基金经理行为异化》,《经济管理》第6期,81-94。
[9]山立威,王鹏,2012,《基金业绩排名与基金经理的冒险行为》,《投资研究》第2期,15-30。
[10]汪慧建,张兵,周安宁,2007,《中国开放式基金赎回异象的实证研究》,《南方经济》第8期,65-73。
[12]王擎,吴玮,蔡栋梁,2010,《基金评级与资金流动:基于中国开放式基金的经验研究》,《金融研究》第9期,106-122。
[13]王叶玲,彭文平,2013,《IPO资源配置与基金家族利益输送——基于开放式基金的实证研究》,《上海金融》第9期,73-78。
[14]肖峻,石劲,2011,《基金业绩与资金流量:我国基金市场存在“赎回异象”吗?》,《经济研究》第1期,112-125。
[15]姚颐,刘志远,2004,《我国开放式基金赎回行为的实证研究》,《经济科学》第5期,48-57。
[16]叶飞腾,陈文韬,2014,《社会网络关系与多任务管理基金经理配置》,《会计与经济研究》第3期,82-93。
[17]曾德明,查琦,龚红,2006,《基金特征、管理特性与基金绩效关系的实证研究》,《管理学报》第3期,347-353。
[18]Abdesaken G.,2013,“Conflicts of Interest in Multi-Fund Management”,http://www.fma.org/Luxembour/Papers/Abdesaken_JMP.pdf.
[19]Agarwal V.and Ma L,2013,“Managerial Multitasking in the Mutual Fund Industry”,CFR Working Paper.
[20]Chen J.,Hong H.and Huang M.,2004,“Does Fund Size Erode Mutual Fund Performance?The Role of Liquidity and Organization”,The American Economic Review,94(5),PP.1276-1302.
[21]Chen,H.C.and Lai,C.W.,2012,Effort Substitution and Performance Shift of Multi-tasking Mutual Fund Managers,University of New Mexico Work Paper.
[22]Chevalier J.and Ellison G.,1999,“Are Some Mutual Fund Managers Better Than Others?Cross-Sectional Patterns in Behavior and Performance”,The Journal of finance,54(3),PP.875-899.
[23]Cici G.,Gibson S.and Moussawi R.,2010,“Mutual Fund Performance When Parent Firms Simultaneously Manage Hedge Funds”,Journal of Financial Intermediation,19(2),PP.169-187.
[24]Cremers K.J.M.and Petajisto A.,2009,“How Active is Your Fund Manager?A New Measure that Predicts Performance”,Review of Financial Studies,22(9),PP.3329-3365.
[25]Evans,R,2010,“Mutual Fund Incubation”,Journal of Finance,65(2),PP.1581–1611.
[26]Gaspar J.M.,Massa M.and Matos P.,2006,“Favoritism in Mutual Fund Families?Evidence on Strategic Cross-Fund Subsidization”,The Journal of Finance,61(1),pp.73-104.
[27]Holmstrom B.and Milgrom P.,1991,“Multitask Principal-Agent Analyses:Incentive Contracts,Asset Ownership,and Job Design”,Journal of Law,Economics and Organsation,7,pp.24-52.
[28]Hu,F.Hall A.R.and C.R.Harvey,2000,“Promotion or Demotion?An Empirical Investigation of the Determinants of Top Mutual Fund Manager Change”,Duke University Working Paper.
[29]Khorana,Ajay,and H.Servaes,2002,“Examination of Competition in the Mutual Fund Industry”,London Business School Working Paper.
[30]Nohel T,Wang Z J,and Zheng L.,2010,“Side-by-Side Management of Hedge Funds and Mutual Funds”,Review of Financial Studies,23(6),PP.2342-2373.
[31]Sirri E R,and Tufano P.,1998,“Costly Search and Mutual Fund Flows”,The Journal of Finance,53(5),PP.1589-1622.
[32]Yadav V.2010,“Portfolio Matching by Multi-Fund Managers:Effects on Fund Performance and Flows”,Available at SSRN1786681.
1据统计,2002-2012年间,我国开放式基金经理的平均任职期限约为1.8年,任职期限最短的为21天。