基金經理人的特性、基金特性與風險轉換程度之關係

The relationship between fund manager' characteristics, fund characteristics and risk shifting

王天明(Tien-Ming Wang)

指導教授 ： 林嘉慧

台南應用科技大學/管理學院/商學與管理研究所/碩士(2011年)

摘要

共同基金隨著時間與投資人的參與日益蓬勃發展，然而由於近來國際金融市場詭譎多變，風險概念也成為投資不可或缺的討論議題，而「風險轉換程度」、報酬率的高低與基金經理人特性和基金的特性間存在何種關聯性呢？這是一個值得深入探討的課題。本研究有別於過去的研究是從基金的報酬率來算其風險，而是採用Huang, Sialm and Zhang (2009)所提出「風險轉換」衡量基礎，以基金「目前持股報酬的波動」減掉基金「已實現報酬的波動」來衡量「風險轉換程度」，探討基金的風險是來自於「持股波動風險」，抑或是來自於「基金報酬本身波動」的風險，研究國內自2004年1月到2011年6月間35家基金公司，176檔開放型基金，748筆基金經理人資料為主要研究對象，首先探討「風險轉換」與報酬率之關係，其次則是探討在不同經理人的特性下(學歷、性別、年資) 及基金特性(基金規模、費用率、週轉率、基金成立年數)，是否會影響其「風險轉換程度」。
本研究主要結論：
一、當「風險轉換」愈大時，其報酬率也愈高。「風險轉換」主要來自於「基金持股報酬的波動」，並非來自於「基金本身報酬的波動」。我們發現特殊類型的基金「風險轉換程度」最大，上櫃股票型基金最小。
二、基金經理人之教育程度及進入基金產業操作年資與「風險轉換程度」呈正向相關，學歷較高及年資較久的經理人較會相信自己的能力，因此會提高其基金持股的風險暴露程度，另外是女性經理人之「風險轉換程度」較低。
三、基金的規模、週轉率、成立年數與「風險轉換程度」呈負向相關，而基金費用率並不影響「風險轉換程度」。

關鍵字

風險轉換 ； 經理人特性 ； 基金特性 ； 基金績效

並列摘要

With the participation of investor, mutual fund market has grown up vigorously for the last decades. While because the environment of international financial market was highly changeable recently, the risk concern becomes the indispensable topic of investment decision. Thus, the relationship of the degree of risk shifting, return level, fund managers' characteristics, and fund characteristics is a crucial issue to explore. This study is distinct from the research in the past which use the fund return standard deviation to proxy the risk; I adopt the “risk shifting” concept which was proposed by Huang, Sialm and Zhang (2009). To measure risk shifting of mutual funds, they propose a holdings-based measure that is defined as the difference between a fund's current holdings volatility and its past realized volatility. A fund has a positive risk shifting measure if the most recently disclosed holdings are riskier than the actual fund holdings. My study sample consists of 176 mutual funds, from January of 2004 to June of 2011, and 748 fund managers' personnel data. I discuss the relationship between the degree of risk shifting and the return of the fund firstly, then explore the relationship of the degree of risk shifting, fund managers' characteristic (education level, gender, experience) and fund characteristic (fund size, expenses rate, turnover rate, fund year).
The main conclusions of this study are as follows:
1. The larger rate of return is, the higher “the risk of shifting” is. The degree of risk shifting stems from variation of the stocks holding by the fund, not the return variation of the fund. In addition, the special type fund bears the largest degree of risk shifting, while the lowest is the OTC stock type fund.
2. There exists positive relationship of the degree of risk shifting, education level and experience of fund managers. The higher the education level and working experience, the degree of risk shifting is. Probably because the fund managers relatively believe the ability they had, so raised the risk exposure of the fund. The female managers bear the lower risk shifting intensity.
3. There exists negative relationship of the degree of risk shifting, fund size, turnover rate and fund years from establish. Besides, there is no association between risk shifting intensity and the fund expenses.

並列關鍵字

risk shifting ； managers’ characteristics ； fund characteristics ； fund performance.

參考文獻

中文部分：

1.王元章、王耀賢（1998），從競賽觀點探討基金經理人風險調整行為，中國財務學刊，第6 卷第3 期，25-62。

2.王健安（2001），年度競賽觀點下共同基金經理人風險調整行為之研究，風險管理學報，第3 卷第2 期，47-83。

3.王健安（2003），績效誘因費契約的設計對基金經理人調整操作風險行為的影響，台灣管理學刊，第3卷第1 期，125-150。

4.王凱律（2006），產業集中度與共同基金績效之關聯性－以分位數迴歸模型探討，國立台北科技大學商業自動化與管理研究所碩士論文(未出版)。