Compensation Incentives, Employment Risk and Intended Risk-Taking in the Taiwan Mutual Fund Industry

台灣共同基金經理人意圖性風險承擔行為之研究

王祝三(C. Edward Wang) ； 林美珍(Mei-Chen Lin) ； 葉家宏(Chia-Hung Yeh)

《財務金融學刊》 22卷2期 (2014/06) Pp. 97-127

https://doi.org/10.6545/JFS.2014.22(2).4

摘要

本研究檢測台灣共同基金經理人的風險承擔行為是否會受到報酬動機與雇用動機之相對強度所影響。研究證實，多頭市場期間台灣共同基金經理人的風險承擔行為會受到報酬動機所影響，上半年基金績效較差的經理人，在下半年時會增加較多的風險；但在空頭市場期間，雇用風險卻會使上半年輸家在下半年時降低投資組合風險。

關鍵字

風險承擔行為 ； 雇用風險 ； 報酬動機 ； 共同基金

並列摘要

This paper examines the effects of compensation incentives and employment risk on intended risk-taking of fund managers. We find that in a bull market when compensation incentives are relatively strong, midyear losers tend to increase their risk more than midyear winners in an attempt to catch up with them. In a bear market when employment risk dominates, midyear losers engage in less risk-taking.

並列關鍵字

Risk-taking ； employment risk ； compensation incentives ； mutual funds

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