本文選題：基金經(jīng)理 + 顯性激勵�。� 參考：《燕山大學》2014年碩士論文

【摘要】：證券市場中基金經(jīng)理道德風險行為時有發(fā)生,其中羊群行為表現(xiàn)明顯�；鸾�(jīng)理模仿、跟隨他人投資決策的行為,不僅損害了投資者的利益,而且不利于基金市場的健康發(fā)展。本文在回顧已有文獻的基礎(chǔ)上應用博弈和實證的分析方法研究激勵視角下基金經(jīng)理羊群行為的主要影響因素。本文的研究主體內(nèi)容包括兩個部分,第一部分是基金經(jīng)理激勵機制與其羊群行為的博弈分析,目的是證明激勵前提下基金經(jīng)理存在羊群行為;第二部分在此基礎(chǔ)上,研究了激勵視角下,基金經(jīng)理羊群行為的影響因素。首先,通過對國內(nèi)外研究文獻的回顧,并結(jié)合我國基金市場現(xiàn)狀,明確了目前基金經(jīng)理激勵機制不完善和投資行為中存在道德風險問題。分別以持基激勵、聲譽、相對業(yè)績作為顯性激勵、隱性激勵、雙重激勵的替代變量,研究了基金經(jīng)理激勵機制與羊群行為的博弈關(guān)系,發(fā)現(xiàn)持基激勵水平高,聲譽高的基金經(jīng)理成為了市場上的“領(lǐng)頭羊”,而其他基金經(jīng)理會采取跟隨策略來保障自身激勵水平,形成羊群行為�；鸾�(jīng)理為了保持相對業(yè)績穩(wěn)定,也會跟隨其他基金經(jīng)理改變資本配置和投資行為,投資決策中出現(xiàn)跟風現(xiàn)象,即基金經(jīng)理會基于顯性激勵、隱性激勵的考慮采取羊群行為。然后,通過建立實證模型,分三步研究了激勵視角下基金經(jīng)理羊群行為的影響因素。第一步分析得出基金經(jīng)理激勵是其羊群行為的一個重要影響因素;第二步從基金經(jīng)理個人特征層面分析基金經(jīng)理激勵的影響因素,實證得出基金經(jīng)理年齡、任期、相對業(yè)績與隱性激勵顯著正相關(guān),基金經(jīng)理性別、任期與顯性激勵顯著正相關(guān);第三步將激勵的顯著影響因素與羊群行為進行回歸,實證得出基金經(jīng)理年齡越大,任期越長,選擇羊群行為的傾向性越大。最后,根據(jù)研究結(jié)果提出規(guī)避基金經(jīng)理羊群行為的對策及建議。在實踐中有助于充分發(fā)揮激勵作用,規(guī)范基金經(jīng)理的羊群行為,避免激勵扭曲所引發(fā)的投資決策的盲從,維護證券市場的健康發(fā)展。
[Abstract]:In the securities market, moral hazard behavior of fund managers occurs from time to time, among which herd behavior is obvious. The behavior of fund managers imitating and following others' investment decisions not only damages the interests of investors, but also is not conducive to the healthy development of the fund market. On the basis of reviewing the existing literatures, this paper applies game theory and empirical analysis to study the main influencing factors of herd behavior of fund managers from the perspective of motivation. The main content of this paper includes two parts: the first part is the game analysis between the incentive mechanism of fund manager and his herd behavior, the purpose is to prove that the fund manager has herd behavior under the premise of incentive, the second part is based on this, This paper studies the influencing factors of herding behavior of fund managers from the perspective of motivation. First of all, by reviewing the domestic and foreign research literature and combining with the current situation of fund market in China, it is clear that the incentive mechanism of fund managers is imperfect and moral hazard exists in investment behavior. This paper studies the game relationship between the incentive mechanism of fund managers and herd behavior by taking the base motivation reputation and relative performance as the substitute variables of dominant implicit and double incentive. It is found that the level of foundation holding incentive is high. Reputable fund managers have become market leaders, while other fund managers will adopt the following strategy to protect their incentive level and form herd behavior. In order to keep the relative performance stable, fund managers will follow other fund managers to change their capital allocation and investment behavior, and follow the trend in investment decisions, that is, fund managers will adopt herd behavior based on explicit incentive and implicit incentive. Then, through the establishment of empirical model, the paper studies the influencing factors of herd behavior of fund managers in the perspective of motivation in three steps. The first step is that the incentive of fund manager is an important influence factor of herding behavior; the second step is to analyze the influence factor of fund manager's incentive from the aspect of individual characteristics of fund manager, and to get the age and tenure of fund manager empirically. Relative performance is significantly positively correlated with implicit motivation, fund manager gender, tenure and explicit incentive are significantly positively correlated. The third step is regression between significant incentive factors and herd behavior, and empirical results show that the older the fund manager is, the longer the tenure is. The greater the tendency to choose herd behavior. Finally, according to the research results, the paper puts forward the countermeasures and suggestions to avoid the herding behavior of fund managers. In practice, it is helpful to give full play to the role of incentive, standardize the herd behavior of fund managers, avoid the blind follower of investment decision caused by incentive distortion, and maintain the healthy development of the securities market.
【學位授予單位】：燕山大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51

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本文編號：2096149