從競賽觀點探討基金經理人風險調整行為

Mutual Fund Managers' Risk Adjustment Behavior: A Tournament Approach

王元章(Yung-Jang Wang) ； 王耀賢(Yao-Hsien Wang)

《中國財務學刊》 6卷3期 (1999/01) Pp. 25-62

https://doi.org/10.6545/JoFS.1999.6(3).2

摘要

本文探討國內共同基金經理人於期中績效評估之後是否存有風險調整行為，此外，亦探討基金特性（如規模大小、成立年限）、過去年度累積績效及更換經理人對此風險調整行為的影響。本文除以全樣本期間外，並將競賽期間細分來驗證此種風險調整行為的一致性與普及性以及競賽架構的適用性。實證結果發現不論在全樣本或子樣本期間，基金經理人均會依期中績效的優劣從事風險調整，且期中績效表現較差的基金其風險調整行為幅度較大。新基金與小型基金之風險調整幅度皆高於舊基金與大型基金，顯示此種風險調整行為乃一般行為傾向。此外，基金經理人與投資人皆較重視目前短期的績效表現，而非過去的歷史績效。更換經理人對續任經理人的風險調整行為會產生若干影響。

關鍵字

共同基金 ； 競賽 ； 風險調整 ； 代理問題

並列摘要

This study examines the effect of mid-year (i .e., mid-tournament) performance rankings, fund characteristics (i.e., size, age), past-year cumulative investment performance and fund manager replacements on the risk adjustment behavior of fund managers in Taiwan during 1989 to 1996. In addition to a who le-sample-period research, we divide further the tournament period in order to ascertain the consistency and prevalence of suchrisk adjustment behavior as well as the applicability of such tournament structure . Our empiric al findings indicate that most fund managers for either whole-sample-period or sub-period tend to rebalance the irfunds after mid-year rankings. Among them, mid- year loser sespecially incline to increase fund volatility in the latter part of an annual assessment period to a greater extent than mid-year winners. Moreover, manager s in newer and smaller funds have more incentives to change risk than those in larger and more established funds. Both fund managers and investors are found to focus more attention on current performance than on the past. Finally, replacing fund managers may affect the risk adjustment behavior of succeeding manager to some extent.

並列關鍵字

Mutual Fund ； Tournament ； Risk Adjustment ； Agency Problem