關於基金經理風險調整行為影響因素的研究

為了便於追蹤基金經理的風險調整行為變化，本文特選取2006-2014年中國證券市場中配置股票資產比例相對較高的開放式偏股混合型基金以及普通股票型基金為研究對象，重點考察基金經理的風險調整行為和與之相關的因素對其的作用。本文將基金經理風險調整行為的原因分為薪酬激勵、就業風險和預期偏差。本文通過大量基金資產配置明細數據構建了基金經理風險調整意願變量，計算了預期風險調整比例和預期風險調整幅度，將基金經理的風險調整意圖與風險調整的實際結果進行區分。本文分別採用了交叉表格分類法和多元回歸法對樣本數據進行統計檢驗和分析。研究發現，由於中國證券業薪酬激勵程度較弱等原因，牛市狀態下中國基金經理的風險調整行為基本不受薪酬激勵因素的影響，期中績效輸家沒有反映出在薪酬激勵主導之下提高下半年風險水平的傾向。而若市場處於熊市狀態下時，就業風險起主導作用，此時年中績效較差的基金經理相對于年終績效較好的基金經理，更不傾向於提高下半年的投資組合風險。除上述薪酬激勵因素和就業風險因素之外，本文研究發現中國基金經理進行風險調整的最主要原因在於對前期風險的預期偏差進行修正，且基金經理對正向預期偏差的敏感性更強。上述結論在加入基金自身特徵等控制變量進行檢驗後仍然維持不變。此外，本文發現若基金經理的期中績效表現為最優，與其他排名的基金經理相比，他們更傾向于增加下半年投資組合的風險。基金經理的任職時長也與其風險調整行為有關，在薪酬激勵起主導作用時，期中績效較差的基金經理平均任職時長越長，越不傾向於在下半年提升投資組合的風險水平。而基金是單獨管理類或團隊管理類基金並未對基金經理的風險調整行為產生顯著影響。

關鍵字

風險調整行為；薪酬激勵；就業風險；預期偏差；中國開放式基金

並列摘要

This paper examine the factors that affect managerial risk shifting due to compensation incentives and employment incentives as well as risk surprise. The empirical investigation is based on data of mix-stock and common stock open-end funds of China during 2006 – 2014. This paper constructs deviation from the expectation as the proxy of managerial risk shifting behavior using detailed data of funds’ asset allocation. Then, we analyze these factors by contingency table approach and regression approach. Based on a thorough empirical investigation, firstly, we find that due to inadequate payment system in China, compensation incentives have insignificant influence on fund managers’ risk shifting behavior. Secondly, when employment incentives dominate, mid-year-performance losers tend to decrease risk relative to mid-year-performance winners to prevent potential job loss. In addition to the compensation incentives and employment incentives, the deviation from the expectation when facing risk surprise is the most crucial factors for fund managers’ risk shifting behavior. We also find that the best mid-year-performance fund managers are of the greatest tendency to increase portfolio risk during the next half year. Finally, this paper shows the tenure of fund manager is relative to their risk shifting behavior while the fund is managed by a single manager (team) doesn’t matter.

並列關鍵字

Risk shifting behavior ； Compensation incentives ； Employment incentives ； Risk surprise ； Open-end funds of China

參考文獻

Almazan, A., Brown, K. C., Carlson, M., & Chapman, D. A. (2004). Why constrain your mutual fund manager?. Journal of Financial Economics,73(2), 289-321.

Basak, S., Pavlova, A., & Shapiro, A. (2007). Optimal asset allocation and risk shifting in money management. Review of Financial Studies, 20(5), 1583-1621.

Basak, S., & Makarov, D. (2012). Difference in interim performance and risk taking with short-sale constraints. Journal of Financial Economics, 103(2), 377-392.

Berk, J. B., & Green, R. C. (2002). Mutual fund flows and performance in rational markets (No. w9275). National Bureau of Economic Research.

Bloom, M., & Milkovich, G. T. (1998). Relationships among risk, incentive pay, and organizational performance. Academy of Management Journal,41(3), 283-297.

國際替代計量

關於基金經理風險調整行為影響因素的研究

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