本文選題：基金競(jìng)賽 + 投資者行為�。� 參考：《天津大學(xué)》2013年博士論文

【摘要】：在人們普遍的認(rèn)識(shí)中，基金經(jīng)理?yè)碛袑?zhuān)業(yè)的投資眼光和長(zhǎng)期的投資經(jīng)驗(yàn)，在投資中總是可以做出理性的決策和判斷。但事實(shí)卻遠(yuǎn)非如此，由于委托代理關(guān)系的存在，基金經(jīng)理也并非常常保持理性。Brown等在1996年發(fā)現(xiàn)年中業(yè)績(jī)排名靠后的基金，在下半年往往會(huì)提高資產(chǎn)組合的風(fēng)險(xiǎn)水平來(lái)博取更好的排名，Brown給這種行為命名為“基金競(jìng)賽假說(shuō)”，但后續(xù)研究中就這一假說(shuō)是否存在，仍存在較大爭(zhēng)議，同時(shí)是什么導(dǎo)致了這一現(xiàn)象的產(chǎn)生也成為了研究的熱點(diǎn)問(wèn)題。許多學(xué)者基于基金經(jīng)理特征、委托代理合同、市場(chǎng)交易成本等因素分別給出了不同的解釋?zhuān)疚脑谙惹把芯康幕A(chǔ)上，研究了市場(chǎng)運(yùn)行周期和投資者行為對(duì)于基金經(jīng)理風(fēng)險(xiǎn)持有行為的影響。 通過(guò)實(shí)驗(yàn)分析發(fā)現(xiàn)，當(dāng)投資者存在行為偏差時(shí)，較之市場(chǎng)中僅存在天真投資者的情況，市場(chǎng)中基金經(jīng)理人的平均風(fēng)險(xiǎn)持有水平會(huì)下降；假設(shè)投資者存在有限關(guān)注行為時(shí)，在牛市中，排名靠后的基金經(jīng)理出現(xiàn)競(jìng)賽行為；當(dāng)投資者存在處置效應(yīng)行為時(shí)，投資者的處置效應(yīng)不但不會(huì)導(dǎo)致基金競(jìng)賽行為，反而使得基金經(jīng)理產(chǎn)生偷懶行為，降低風(fēng)險(xiǎn)持有水平。 市場(chǎng)中老練投資者的存在，顯著限制了基金經(jīng)理競(jìng)賽行為的實(shí)施，降低了排名靠后基金經(jīng)理風(fēng)險(xiǎn)水平的提高，，同時(shí)也影響了其他排名位置的基金經(jīng)理也相應(yīng)降低了風(fēng)險(xiǎn)水平。 當(dāng)市場(chǎng)中投資者結(jié)構(gòu)動(dòng)態(tài)變化時(shí)，牛市中基金競(jìng)賽行為的程度加劇了，排名靠后和靠前基金經(jīng)理的風(fēng)險(xiǎn)偏好水平差距被進(jìn)一步拉大；在動(dòng)態(tài)投資者結(jié)構(gòu)下，即使市場(chǎng)沒(méi)有明顯的價(jià)格趨勢(shì)，也會(huì)從統(tǒng)計(jì)上證明基金競(jìng)賽假說(shuō)成立，這一現(xiàn)象的出現(xiàn)既是由于市場(chǎng)價(jià)格的短期波動(dòng)造成的投資者結(jié)構(gòu)變化，最終影響了基金經(jīng)理人風(fēng)險(xiǎn)持有行為的變化，從投資者種群結(jié)構(gòu)轉(zhuǎn)化角度解釋了基金競(jìng)賽行為的產(chǎn)生，從投資者適應(yīng)性角度拓展了基金競(jìng)賽行為研究。
[Abstract]:In people's general understanding, fund manager has professional investment vision and long-term investment experience, and can always make rational decision and judgment in investment. But this is far from the case. Because of the principal-agent relationship, fund managers are not always rational. Brown et al. In 1996 found that funds with lower performance in mid-year. In the second half of the year, the risk level of the portfolio will be raised to get a better ranking. Brown has named this behavior the "fund competition hypothesis," but there is still considerable controversy in subsequent studies on whether this hypothesis exists or not. At the same time, what causes this phenomenon has also become a hot issue. Many scholars give different explanations based on the characteristics of fund manager, principal-agent contract, market transaction cost and so on. The effects of market cycle and investor behavior on risk holding behavior of fund managers are studied. Through experimental analysis, it is found that the average risk holding level of fund managers in the market will decrease compared with that of naive investors in the market when investors have behavioral deviations, and if investors have limited attention behavior, the average risk holding level of fund managers in the market will decrease. In the bull market, the fund manager at the bottom of the list competes; when the investor has the behavior of disposal effect, the disposal effect of the investor not only does not cause the fund competition behavior, but also makes the fund manager lazy behavior. Reduce the level of risk holding. The existence of sophisticated investors in the market has significantly restricted the implementation of fund managers' competition behavior, reduced the risk level of the lower ranking fund managers, and affected the other ranking fund managers to reduce the risk level. When the structure of investors in the market changes dynamically, the degree of fund competition in bull market intensifies, and the gap between the risk preference level of the lower ranking fund managers and the top fund managers is further widened; in the dynamic investor structure, Even if there is no obvious price trend in the market, it will prove statistically that the fund competition hypothesis is true. This phenomenon is due to the change of investor structure caused by the short-term fluctuation of market price. Finally, it influences the change of risk holding behavior of fund managers, explains the emergence of fund competition behavior from the perspective of the transformation of investor population structure, and expands the research on fund competition behavior from the angle of investor adaptability.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

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