两类不对称对基金风险承担行为的影响研究

Research on impacts of two kinds of asymmetry on risk-taking behavior of fund

假设基金管理者的报酬合同为 PBF 合同,研究合同不对称与资金流动不对称对开放式基金风险承担行为的影响.将 Mills ratio 引入模型,根据 Mills ratio 函数的性质,发现合同不对称程度和流动不对称程度对基金风险承担行为的影响正好相反,两类不对称的同时作用使任何一类不对称减轻了另一类不对称对基金风险承担行为的影响.提高基金管理者的收益分享比例不能使基金承担更多风险,而流动量的增加可以使基金管理者选择更多高风险资产.用跟踪误差度量基金的风险能反映基金的风险承担程度.

This paper studies the impacts of two kinds of asymmetry on the risk-taking behavior of open-end fund the compensation contract of which is performance-based fee（PBF）. It is shown that the impacts of the degrees of the asymmetry of the contract and of the cash flow on the risk-taking behavior of the mutual fund are opposite in terms of the properties of the Mills ratio function. When the two kinds of asymmetry happen simuhaneusly, either asymmetry will decrease the impact of the other one on risking-taking behavior of the fund. It is shown that raising the share rate of the fund return can not make the manager take more risk, but increasing the cash flow can do it. It is also shown that the tracking-error can measure the degree of risk taken by the fund.