本文關鍵詞：業(yè)績排名對我國基金經(jīng)理風險調整行為影響的研究　出處：《復旦大學》2014年碩士論文　論文類型：學位論文

  更多相關文章： 業(yè)績排名 基金經(jīng)理 風險調整 錦標賽 市場狀態(tài)

【摘要】：隨著我國證券投資基金行業(yè)的發(fā)展,基金之間的競爭越來越激烈,各類基金業(yè)績排名備受市場關注,尤其以年末的年度排名最受投資者和基金經(jīng)理的追捧和重視。每年基金行業(yè)的這種業(yè)績排名可以視為一項激烈的錦標賽,基金經(jīng)理最終的目的是在競賽中拔得頭籌成為最終的贏家。目前我國基金的業(yè)績考核主要基于短期相對業(yè)績排名。年末只要在同類基金中取得比較好的名次,基金經(jīng)理就可得到豐厚的年終獎獎勵,這間接導致基金經(jīng)理為了爭奪排名可能采取投資風格較為激進的風險調整行為。相對業(yè)績排名到底對基金經(jīng)理的風險調整行為產生了什么樣的影響?基金經(jīng)理和基金份額持有人之間雙重的委托代理關系是否引發(fā)了其自利性的投資行為?這需要深入地研究和探討。本文選擇我國的開放式股票型基金為研究樣本,研究我國基金經(jīng)理根據(jù)前期業(yè)績所做出的風險調整行為及其經(jīng)濟效應。本文首先分別運用列聯(lián)表分析法和回歸分析法,考察了基金經(jīng)理根據(jù)前期基金業(yè)績所做出的風險調整行為,以及股市周期、基金規(guī)模、基金成立時間等因素對這種行為的作用。之后,本文分別運用分組檢驗法和回歸分析法,考察了基金業(yè)績在基金經(jīng)理做出風險調整策略后的變化,以及業(yè)績排名是否引發(fā)了基金經(jīng)理的道德風險。主要研究結論如下：1.我國基金經(jīng)理的風險調整行為受到前期相對業(yè)績排名的顯著影響,且隨著股市周期的變動呈現(xiàn)不同的特征。在牛市階段,前期業(yè)績排名落后的輸家基金有更大動力增加基金的風險,在熊市階段,前期業(yè)績排名領先的贏家基金有更大動力增加基金的風險。2.管理不同類型基金的基金經(jīng)理的風險調整行為具有差異性。成立時間短、管理資產規(guī)模小的基金的風險調整程度要大于成立時間長、管理資產規(guī)模大的基金。此外,更換基金經(jīng)理并沒有對實證結果的有效性產生影響,說明在我國基金經(jīng)理的風險調整行為具有趨同性。3.基金業(yè)績在基金經(jīng)理做出風險調整后并沒有得到顯著的改善。目前我國基金業(yè)的業(yè)績排名引發(fā)了基金經(jīng)理的自利性行為,在薪酬激勵的刺激下,基金經(jīng)理會做出損害基金份額持有人的風險調整決策。
[Abstract]:With the development of China's securities investment fund industry, the competition between funds is becoming more and more fierce. In particular, the annual ranking at the end of the year is the most sought after and valued by investors and fund managers. The annual performance ranking of the fund industry can be regarded as a fierce tournament. The ultimate goal of fund managers is to win the top in the competition to become the final winner. At present, the performance appraisal of Chinese funds is mainly based on short-term relative performance ranking. At the end of the year, we only need to get a better ranking in the same kind of funds. Fund managers receive generous year-end awards. This indirectly causes fund managers to adopt more aggressive risk adjustment behavior in order to compete for ranking. What effect does relative performance rank have on risk adjustment behavior of fund managers? Does the dual principal-agent relationship between the fund manager and the fund share holder lead to his self-interest investment behavior? This need to be deeply studied and discussed. This paper chooses the open-end equity fund as the research sample. This paper studies the risk adjustment behavior and its economic effect made by fund managers according to the previous performance in China. Firstly, this paper uses the method of column table analysis and regression analysis respectively. This paper examines the risk adjustment behavior made by fund managers according to the performance of the previous fund, as well as the effect of stock market cycle, fund size, fund establishment time and other factors on this behavior. In this paper, group test and regression analysis are used to investigate the changes of fund performance after risk adjustment strategy made by fund managers. The main conclusions are as follows: 1. The risk adjustment behavior of fund managers in China is significantly affected by the relative performance ranking in the early stage. And with the change of stock market cycle presents different characteristics. In the bull period, the loser funds with backward early performance ranking have greater incentive to increase the risk of the fund, in the bear market stage. The leading winners' funds have greater motivation to increase the risk of funds. 2. The risk adjustment behavior of fund managers of different types of funds is different and the establishment time is short. The risk adjustment degree of the fund with small assets under management is greater than that of the fund with large assets. In addition, the change of fund manager has no effect on the effectiveness of empirical results. It shows that the risk adjustment behavior of fund managers in our country is similar. 3.The fund performance has not been improved significantly after the fund managers have made the risk adjustment. At present, the performance ranking of the fund industry in our country has triggered the fund managers. Of self-interest. Stimulated by compensation incentives, fund managers make risk adjustment decisions that hurt fund share holders.
【學位授予單位】：復旦大學
【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：1404244