职业生涯考虑影响开放式基金经理投资行为的实证研究
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摘要
本文主要实证研究了我国开放式基金经理的职业生涯考虑是否影响到了他的投资行为。首先从理论角度进行了分析:定义了基金经理职业生涯考虑的概念,提出了基金经理能力评价的关键指标。分析了职业生涯考虑的激励作用及其对基金经理投资行为的影响。然后在理论分析的基础上进行了实证研究。我们只有了解到基金经理职业生涯考虑的现实情况之后,才能对职业生涯考虑对基金经理投资行为的影响进行假设和检验。因此本文的实证研究分为两个步骤。第一步骤通过对开放式基金经理的职业状况与基金产出(包括基金相对业绩和投资行为)、经理经验关系的实证研究分析了目前我国开放式基金经理的职业生涯考虑现状。研究结论与职业生涯考虑理论分析的结论一致,经验少的基金经理的职业状况对产出的敏感度要大于经验多的基金经理:经验少的基金经理在所管理的基金相对业绩较差时更容易被降职或解雇;在所管理的基金相对业绩较差时,经验少的基金经理采用非常规的投资行为而产生消极职业状况的可能性更大。第二步骤在第一步骤研究结论的基础上,提出了职业生涯考虑影响下基金经理投资行为与经理经验关系的研究假设:出于职业生涯考虑,为了避免非常规的投资策略失败而带来的消极职业状况,经验少的基金经理的投资行为偏离同类型基金的典型投资行为的程度更小。实证研究结果支持这一假设,基金经理的投资行为反应了职业生涯考虑的影响。文章最后总结了研究结论,提出了对基金投资者和基金管理公司的启示,并对进一步研究方向进行了展望。
This dissertation empirically studies whether china's mutual fund managers' career concerns influence their investment behavior. At first, this dissertation analysis the topic theoretically: we define the concept of fund manager's career concerns, point out the key indexes of evaluating fund manger's abilities, analysis the fund manager's career concerns' incentive effect and its impact on their investment behavior. Then, we conduct empirical studies based on the theoretical analysis. We have to know the practical situation of mutual fund managers' career concerns before examine their impact on fund managers' investment behavior. Thus, this dissertation conducts the empirical studies via two steps: at the first step, we empirically studies the relationship among mutual fund managers' career status, fund output (including relative performance and investment behavior) and manager's experience in order to understand the career concerns of china's mutual fund managers nowadays. Consistent with the theoretical analysis of career concerns, we find that the career status is more output-sensitive for inexperienced fund managers: inexperienced fund managers are more likely to be demoted or fired for bad relative performance than their more experienced counterparts; inexperienced fund managers are also more likely to get negative career status for bold or unconventional investment behavior when their relative performance is lower than the average. At the second step, on the basis of the conclusion in the first step, we put forward the hypothesis of the relationship between fund manager's investment behavior and experience upon the impact of career concerns: in order to avoid the negative career status along with the fail of unconventional investment behavior, inexperienced fund managers deviate less from typical investment behavior than their experienced counterparts. The conclusions support this hypothesis, the investment behavior reflect the impact of career concerns on the mutual fund managers. Lastly, this dissertation summarizes the conclusions, puts forward some revelations for fund investors and fund companies, and plans the directions for further studies.
This dissertation empirically studies whether china's mutual fund managers' career concerns influence their investment behavior. At first, this dissertation analysis the topic theoretically: we define the concept of fund manager's career concerns, point out the key indexes of evaluating fund manger's abilities, analysis the fund manager's career concerns' incentive effect and its impact on their investment behavior. Then, we conduct empirical studies based on the theoretical analysis. We have to know the practical situation of mutual fund managers' career concerns before examine their impact on fund managers' investment behavior. Thus, this dissertation conducts the empirical studies via two steps: at the first step, we empirically studies the relationship among mutual fund managers' career status, fund output (including relative performance and investment behavior) and manager's experience in order to understand the career concerns of china's mutual fund managers nowadays. Consistent with the theoretical analysis of career concerns, we find that the career status is more output-sensitive for inexperienced fund managers: inexperienced fund managers are more likely to be demoted or fired for bad relative performance than their more experienced counterparts; inexperienced fund managers are also more likely to get negative career status for bold or unconventional investment behavior when their relative performance is lower than the average. At the second step, on the basis of the conclusion in the first step, we put forward the hypothesis of the relationship between fund manager's investment behavior and experience upon the impact of career concerns: in order to avoid the negative career status along with the fail of unconventional investment behavior, inexperienced fund managers deviate less from typical investment behavior than their experienced counterparts. The conclusions support this hypothesis, the investment behavior reflect the impact of career concerns on the mutual fund managers. Lastly, this dissertation summarizes the conclusions, puts forward some revelations for fund investors and fund companies, and plans the directions for further studies.
引文
[1]龚红.证券投资基金经理激励问题研究[D].长沙:湖南大学,2005
[2]Lakonishok,J.,Shleifer.A,and R.W.Vishny.The impact of institutional trading on stock prices[J].Journal of Financial Economics,1992a(32):23-43.
[3]Bank for international settlements:incentive structures in institutional asset management and their implications for financial markets,report submitted by a working group established by the committee on the global financial system.2003.
[4]Edwin J.Elton,Martion J.Gruber,Christopher R.Blake.Incentive fees and mutual funds[J].Journal of Finance,2003,58(2):779-804
[5]Heinkel,R and N.M.Stoughton.The dynamics of portfolio management contracts[J].Review of Financial Studies,1999,7(2):351-387.
[6]曾德明,刘颖等.管理费激励与基金绩效:对中国基金的实证研究[J].湖南大学学报(社会科学版),2005,19(2):35-38.
[7]Goldman.E,S.L.Slezak.Delegated portfolio management and rational prolonged mispricing[J].Journal of Finance,2003,58(1):283-311.
[8]Holmstrom Bengt,Joan Ricart Costa.Managerial incentives and capital management[J].Quarterly Journal of Economics,1986,101(4):835-860.
[9]Nicole M.Boyson.The impact of hedge fund managers' career concerns on their returns,risk-taking behavior,and performance persistence[D].The Ohio state university,2003.
[10]王洐.“短命”的基金经理[N].管理人,2005(12):68-69.
[11]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].世界经济2004(4):63-71.
[12]范瑛,平新乔.工资合约、灰色收入和职业生涯考虑[J].经济学(季刊),2004,3(3):680-702.
[13]宋舜明,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.
[14]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.
[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]Andrew Foerster,Leonardo Martinez.Are we working too hard or should we be working harder? A simple model of career concerns[J].Federal Reserve Bank of Richmond Economic Quarterly,2006,92(1):79-92.
[17]Fredrik Andersson.Career concems,contracts,and effort distortions[J].Journal of Labor Economics,2002,20(1):42-58.
[18]Hu Ping,Jayant Kale,Ajay Subramanian.Fund flows,performance,managerial career concerns,and risk-taking[R].Working Paper,University of Colorado,2006.
[19]郭蕾.自我效能感理论在大学生职业生涯规划中的应用研究[D].郑州:郑州大学,2005.
[20]王立新.投资基金制度研究[D].北京:中国社会科学院研究生院,2000,78-87.
[21]Fama,Eugene F.Agency problems and the theory of the firm[J].Journal of Political Economy,1980,88(2):288-307.
[22]Lazer P,S Rosen.Rank-order tournaments as optimal labor contracts[J].Journal of Political Economy,1981,89(4):841-864.
[23]Holmstrom,Benge.Managerial incentive problems-A dynamic perspective.In Essays in Economics and Management in Honor of Lars Wahlbeck.Helsinki:Swedish School of Economics,1982.
[24]Rosen.Prizes and incentives in elimination tournaments[J].American Economic Review,1986,76(4):701-715.
[25]Holmstrom B.Managerial incentive problems:A dynamice perspective[J].Review of Economic Studies,1999(66):169-182.
[26]Andres Almazan,Keith C.Brown,Murray Carlson,David A.Chapman.Why constrain your mutual fund manager?[J].Journal of Financial Economics,2004,73:289-321.
[27]Ching Mann Huang,Len Kuo Hu,Hsin Hong Kang.Compensation design and career concerns of fund manager[J].Review of Quantitative Finance and Accounting,2005,24:379-397.
[28]Bernd Irlenbusch,Dirk Sliwka.Career concerns in a simple experimental labour market[J].European Economic Review,2005(50):147-170.
[29]Avery,Christopher N,Judith A Chevalier.Herding over the career[J].Economics Letters,1999,53:327-333.
[30]Chevalier J,Ellison G.Career concerns of mutual fund managers[J].The Quarterly Journal of Economics,1999,114(2):389-432.
[31]Harrison Hong,Jeffrey D.Kubik,Amit Solomon.Security analysts' career concerns and herding of earnings forecasts[J].Journal of Economics,2000,31(1): 121-144.
[32]Nicole M.Boyson.Another look at career concerns:a study of hedge fund managers[C].2004 Alternative investment conference.2004.
[33]Prenergast,Canice,Lars Stole.Impetuous youngsters and jaded old-timers:Acquiring a reputation for learning[J].The Journal of Political Economy,1996,194(6):1105-1134.
[34]Graham,John R.Herding among investment newsletters:Theory and evidence[J].The Journal of Finance,1999,54(1):237-268.
[35]Li Xi.Performance,herding,and career concerns of individual financial analysts[R].Working paper,Vanderbilt University,2002.
[36]杨柳,李子超.基金经理人动态激励问题研究[J].技术经济与管理研究,2006,(5):35-38.
[37]朱宏泉,李亚静.基于季度投资组合的基金投资能力分析[J].管理评论,2005,17(7):3-9.
[38]陆媛媛,卢涛.我国证券投资基金业绩评价的实证研究[J].西南交通大学学报(社会科学版),2006,7(3):126-133,157.
[39]王建琼,卢涛.我国封闭式投资基金业绩评价的实证研究[J].数理统计与管理,2006,25(1):93-100.
[40]李荣昌.近三成投资者青睐基金投资[N].证券时报,2005年2月21日.
[41]熊胜君,杨朝军.基金经理调整对基金择股能力和择时能力的影响[J].上海交通大学学报,2006,40(4):619-623.
[42]陆家骝,王茂斌.什么决定了基金经理的更换[J].证券市场导报,2007(3):68-77.
[43]Scharfstein D S,Stein J C.Herd behavior and investment[J].American Economic Perspective,1990,80(3):465-479.
[44]Zwiebel,Jeffrey.Corporate conservatism and relative compensation[J].Journal of Political Economy,1995,103:1-25.
[45]Geoffrey C Kiel,Gavin J Nicholson.Board composition and corporate performance:how the Australian experience informs contrasting theories of corporate governance[J].Corporate governance:an international review,2003,11(3):189-205.
[46]年薪在39万至75万之间,基金经理薪酬浮出水面[N].北京晚报,2004年9月7日.
[47]张维迎.博弈论与信息经济学[M].上海:上海三联出版社,上海人民出版社,1996.
[48]刘惠萍,张世英.基于声誉理论的我国经理人动态激励模型研究[J].中国管理科学,2005,13,(4):78-86.
[49]Meyer M,Vickers J.Performance comparisons and dynamic incentives[J].Journal of Political Economy,1997,105(3):547-581.
[50]Maug E G,Naik N Y.Herding and delegated portfolio management:The impact of relative performance evaluation on asset allocation[R].Washington University,Working paper,IFA,1996.
[51]Aoroa N,Ou-Yang H.Explicit and implicit incentives in a delegated portfolio management problem:Theory and evidence[R].Fuqua School of Business,Duke University,Working Paper,2001.
[52]Li Jin,Leonid Kogan.Managerial career concern and mutual fund short-termism[R],Working Paper,Harvard Business School,2005.
[53]曾德明,查琦,龚红.基金特征、管理特性与基金绩效关系的实证研究[J].管理学报,2006,3(3):347-353.
[54]赵清光.我国基金经理更换与基金绩效[J].市场周刊·管理探索,2005(6):16-18.
[55]wind资讯.基金分析帮助手册[R].wind数据库2007版:30-32.
[56]Fudenberg,Drew,Jean Tirole.A theory of income and dividend smoothing based on incumbency rents[J].Journal of Political Economy,1995,105:75-93.
[57]Brandenburger,Adam,Ben Polak.When managers cover their posteriors:making decisions the market wants to see[J].Rand Journal of Economics,1996,27:523-541.
[2]Lakonishok,J.,Shleifer.A,and R.W.Vishny.The impact of institutional trading on stock prices[J].Journal of Financial Economics,1992a(32):23-43.
[3]Bank for international settlements:incentive structures in institutional asset management and their implications for financial markets,report submitted by a working group established by the committee on the global financial system.2003.
[4]Edwin J.Elton,Martion J.Gruber,Christopher R.Blake.Incentive fees and mutual funds[J].Journal of Finance,2003,58(2):779-804
[5]Heinkel,R and N.M.Stoughton.The dynamics of portfolio management contracts[J].Review of Financial Studies,1999,7(2):351-387.
[6]曾德明,刘颖等.管理费激励与基金绩效:对中国基金的实证研究[J].湖南大学学报(社会科学版),2005,19(2):35-38.
[7]Goldman.E,S.L.Slezak.Delegated portfolio management and rational prolonged mispricing[J].Journal of Finance,2003,58(1):283-311.
[8]Holmstrom Bengt,Joan Ricart Costa.Managerial incentives and capital management[J].Quarterly Journal of Economics,1986,101(4):835-860.
[9]Nicole M.Boyson.The impact of hedge fund managers' career concerns on their returns,risk-taking behavior,and performance persistence[D].The Ohio state university,2003.
[10]王洐.“短命”的基金经理[N].管理人,2005(12):68-69.
[11]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].世界经济2004(4):63-71.
[12]范瑛,平新乔.工资合约、灰色收入和职业生涯考虑[J].经济学(季刊),2004,3(3):680-702.
[13]宋舜明,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.
[14]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.
[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]Andrew Foerster,Leonardo Martinez.Are we working too hard or should we be working harder? A simple model of career concerns[J].Federal Reserve Bank of Richmond Economic Quarterly,2006,92(1):79-92.
[17]Fredrik Andersson.Career concems,contracts,and effort distortions[J].Journal of Labor Economics,2002,20(1):42-58.
[18]Hu Ping,Jayant Kale,Ajay Subramanian.Fund flows,performance,managerial career concerns,and risk-taking[R].Working Paper,University of Colorado,2006.
[19]郭蕾.自我效能感理论在大学生职业生涯规划中的应用研究[D].郑州:郑州大学,2005.
[20]王立新.投资基金制度研究[D].北京:中国社会科学院研究生院,2000,78-87.
[21]Fama,Eugene F.Agency problems and the theory of the firm[J].Journal of Political Economy,1980,88(2):288-307.
[22]Lazer P,S Rosen.Rank-order tournaments as optimal labor contracts[J].Journal of Political Economy,1981,89(4):841-864.
[23]Holmstrom,Benge.Managerial incentive problems-A dynamic perspective.In Essays in Economics and Management in Honor of Lars Wahlbeck.Helsinki:Swedish School of Economics,1982.
[24]Rosen.Prizes and incentives in elimination tournaments[J].American Economic Review,1986,76(4):701-715.
[25]Holmstrom B.Managerial incentive problems:A dynamice perspective[J].Review of Economic Studies,1999(66):169-182.
[26]Andres Almazan,Keith C.Brown,Murray Carlson,David A.Chapman.Why constrain your mutual fund manager?[J].Journal of Financial Economics,2004,73:289-321.
[27]Ching Mann Huang,Len Kuo Hu,Hsin Hong Kang.Compensation design and career concerns of fund manager[J].Review of Quantitative Finance and Accounting,2005,24:379-397.
[28]Bernd Irlenbusch,Dirk Sliwka.Career concerns in a simple experimental labour market[J].European Economic Review,2005(50):147-170.
[29]Avery,Christopher N,Judith A Chevalier.Herding over the career[J].Economics Letters,1999,53:327-333.
[30]Chevalier J,Ellison G.Career concerns of mutual fund managers[J].The Quarterly Journal of Economics,1999,114(2):389-432.
[31]Harrison Hong,Jeffrey D.Kubik,Amit Solomon.Security analysts' career concerns and herding of earnings forecasts[J].Journal of Economics,2000,31(1): 121-144.
[32]Nicole M.Boyson.Another look at career concerns:a study of hedge fund managers[C].2004 Alternative investment conference.2004.
[33]Prenergast,Canice,Lars Stole.Impetuous youngsters and jaded old-timers:Acquiring a reputation for learning[J].The Journal of Political Economy,1996,194(6):1105-1134.
[34]Graham,John R.Herding among investment newsletters:Theory and evidence[J].The Journal of Finance,1999,54(1):237-268.
[35]Li Xi.Performance,herding,and career concerns of individual financial analysts[R].Working paper,Vanderbilt University,2002.
[36]杨柳,李子超.基金经理人动态激励问题研究[J].技术经济与管理研究,2006,(5):35-38.
[37]朱宏泉,李亚静.基于季度投资组合的基金投资能力分析[J].管理评论,2005,17(7):3-9.
[38]陆媛媛,卢涛.我国证券投资基金业绩评价的实证研究[J].西南交通大学学报(社会科学版),2006,7(3):126-133,157.
[39]王建琼,卢涛.我国封闭式投资基金业绩评价的实证研究[J].数理统计与管理,2006,25(1):93-100.
[40]李荣昌.近三成投资者青睐基金投资[N].证券时报,2005年2月21日.
[41]熊胜君,杨朝军.基金经理调整对基金择股能力和择时能力的影响[J].上海交通大学学报,2006,40(4):619-623.
[42]陆家骝,王茂斌.什么决定了基金经理的更换[J].证券市场导报,2007(3):68-77.
[43]Scharfstein D S,Stein J C.Herd behavior and investment[J].American Economic Perspective,1990,80(3):465-479.
[44]Zwiebel,Jeffrey.Corporate conservatism and relative compensation[J].Journal of Political Economy,1995,103:1-25.
[45]Geoffrey C Kiel,Gavin J Nicholson.Board composition and corporate performance:how the Australian experience informs contrasting theories of corporate governance[J].Corporate governance:an international review,2003,11(3):189-205.
[46]年薪在39万至75万之间,基金经理薪酬浮出水面[N].北京晚报,2004年9月7日.
[47]张维迎.博弈论与信息经济学[M].上海:上海三联出版社,上海人民出版社,1996.
[48]刘惠萍,张世英.基于声誉理论的我国经理人动态激励模型研究[J].中国管理科学,2005,13,(4):78-86.
[49]Meyer M,Vickers J.Performance comparisons and dynamic incentives[J].Journal of Political Economy,1997,105(3):547-581.
[50]Maug E G,Naik N Y.Herding and delegated portfolio management:The impact of relative performance evaluation on asset allocation[R].Washington University,Working paper,IFA,1996.
[51]Aoroa N,Ou-Yang H.Explicit and implicit incentives in a delegated portfolio management problem:Theory and evidence[R].Fuqua School of Business,Duke University,Working Paper,2001.
[52]Li Jin,Leonid Kogan.Managerial career concern and mutual fund short-termism[R],Working Paper,Harvard Business School,2005.
[53]曾德明,查琦,龚红.基金特征、管理特性与基金绩效关系的实证研究[J].管理学报,2006,3(3):347-353.
[54]赵清光.我国基金经理更换与基金绩效[J].市场周刊·管理探索,2005(6):16-18.
[55]wind资讯.基金分析帮助手册[R].wind数据库2007版:30-32.
[56]Fudenberg,Drew,Jean Tirole.A theory of income and dividend smoothing based on incumbency rents[J].Journal of Political Economy,1995,105:75-93.
[57]Brandenburger,Adam,Ben Polak.When managers cover their posteriors:making decisions the market wants to see[J].Rand Journal of Economics,1996,27:523-541.