摘要
在人们普遍的认识中，基金经理拥有专业的投资眼光和长期的投资经验，在投资中总是可以做出理性的决策和判断。但事实却远非如此，由于委托代理关系的存在，基金经理也并非常常保持理性。Brown等在1996年发现年中业绩排名靠后的基金，在下半年往往会提高资产组合的风险水平来博取更好的排名，Brown给这种行为命名为“基金竞赛假说”，但后续研究中就这一假说是否存在，仍存在较大争议，同时是什么导致了这一现象的产生也成为了研究的热点问题。许多学者基于基金经理特征、委托代理合同、市场交易成本等因素分别给出了不同的解释，本文在先前研究的基础上，研究了市场运行周期和投资者行为对于基金经理风险持有行为的影响。
通过实验分析发现，当投资者存在行为偏差时，较之市场中仅存在天真投资者的情况，市场中基金经理人的平均风险持有水平会下降；假设投资者存在有限关注行为时，在牛市中，排名靠后的基金经理出现竞赛行为；当投资者存在处置效应行为时，投资者的处置效应不但不会导致基金竞赛行为，反而使得基金经理产生偷懒行为，降低风险持有水平。
市场中老练投资者的存在，显著限制了基金经理竞赛行为的实施，降低了排名靠后基金经理风险水平的提高，同时也影响了其他排名位置的基金经理也相应降低了风险水平。
当市场中投资者结构动态变化时，牛市中基金竞赛行为的程度加剧了，排名靠后和靠前基金经理的风险偏好水平差距被进一步拉大；在动态投资者结构下，即使市场没有明显的价格趋势，也会从统计上证明基金竞赛假说成立，这一现象的出现既是由于市场价格的短期波动造成的投资者结构变化，最终影响了基金经理人风险持有行为的变化，从投资者种群结构转化角度解释了基金竞赛行为的产生，从投资者适应性角度拓展了基金竞赛行为研究。
In General awareness, fund managers have professional and long-term investmentexperience, which can always make rational decisions and judgments. But the truth isfar from it, because the existence of the agency relationship, fund managers arealways irrational. Brown et al in1996found that fund managers which rank at last inmid-year performance ranking always improve the level of portfolio risk in the secondhalf year，which Brown call it as "Fund Tournaments Hypothesis". But subsequentstudies on whether this hypothesis exists, it is still considerable controversy. At thesame time, what caused this phenomenon has become a hot issue. Many scholars havegiven some explanation based on characteristic of fund managers, agency contractsand market transaction costs. In this paper, we will study on risk taking behavior onmarket cycle and investor behavior.Through experimental analysis we found that when the investor behavioral biasesexist, average risk taking level of fund managers will decline, compared with onlyna ve investor in the market; Assuming there is limited investor attention behavior in abull market, fund managers which rank at last will raise their risk level in their asset;When disposition effect exists, the investor's disposition will not lead fund tournamentbehavior, fund managers will become lazy and decrease the level of risk asset.The exited of sophisticated investors significantly limited the behavior fundtournament, reducing the risk who rank at the last, and also affected other fundmanagers to reduce the risk.The exited of sophisticated investors significantly limited the behavior fundtournament, reducing the risk who rank at the last, and also affected other fundmanagers to reduce the risk.This phenomenon caused by changes in investor structure,which ultimately affects the risk of the fund managers’ risk taking behavior. We firstlyexplain fund tournament hypothesis from the perspective of Investors populationstructure evolution, expand fund tournament behavior from adaptive of investors.
引文
1资料来源http://wiki.mbalib.com/wiki/%E6%A0%87%E5%B0%BA%E7%AB%9E%E8%B5%9B%E7%90%86%E8%AE%BA
2本文的研究重点在于研究投资者行为对于基金经理的风险分担行为的影响，已经在不同市场条件下影响效果的不同，基金经理主要专心于如何在不同的市场环境中，合理配置自身的风险组合，因此本文假设基金经理的交易行为并不能影响市场价格，只是价格的被动接受者，本文中的资产价格并不由交易产生。
3由于本文的研究重点不在于基金经理的契约设计，因此假设基金经理都拥有与基金规模直接的线性相关的收益契约合同。
4由于模型运行速度较慢，此处暂时不对基金经理人数量和分组数量进行讨论，此处作为本研究未来的拓展方向之一。
5指数取值范围为0-1，表示模型市场中均为天真投资者，当指数为0，表示均为老练投资者，0-1之间表示投资者结构的不同比例
6具体程序请详见附录
7由图例对比色带所示，基金经理的风险资产分配比例由低到高，呈现颜色由深到浅的变化过程，风险资产比例越高颜色越深，纵坐标表示基金的排名，横坐标表示季度
8方差分析表中有六列数据：第一列显示数据来源；第二列显示三种离差平方和（SS）；第三列显示三种离差平方和的自由度（df）；第四列显示三种离差平方和的均值平方和，即SS/df；第五列显示假设检验的F统计量，即均方值的比值；第六列显示概率值P，它由F的累积分布函数得．F越大，概率值P越小．
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