基金竞赛对基金经理交易行为影响的实证研究

对中国证券投资基金管理业中的"基金竞赛"行为进行了实证研究。结果表明,从整体上看 ,业绩排名确实对基金经理产生了一定的隐性激励,导致在期间业绩排名中被评为"输家" 的基金经理的风险调整比率大于"赢家",而且这种趋势在小盘基金和新基金中比在大盘基 金和运作时间较长的老基金中更明显,在开放式基金中比在封闭式基金中更明显。

Investigation of Fund Managers' Risk-taking Behavior Motivated by Fund Tournament

This paper deals with an empirical research on the tournament in China's fund industry and demonstrates that performance ranking does provide some overall implicit incentives for fund managers, which results in the fact that "losers" will face more chances of risks in ratio adjustment, specifically, the "adjustment ratio" for the interim losers will be greater than that for the interim winners. The investigation further shows that this trend is more likely to hold for small and new funds than for those large and more established ones, and it's more evident in open-ended fund than in close-ended fund management.