基金业绩排名与基金经理的冒险行为

Performance Ranking and Fund Managers'Risk-taking Behavior

本文利用2005-2010年间开放式股票型和混合型基金的数据,研究年度基金业绩排名对基金经理冒险行为的影响。与相对业绩排名激励机制会导致基金经理过度冒险的假设相一致,本文发现,年中业绩排名靠后的基金经理(输家)在下半年提高所持有资产组合的风险的程度要大于年中业绩排名靠前的基金经理(赢家)。进一步研究发现,基金经理提高下半年所持有资产组合的风险并不能显著提高下半年基金的业绩。特别是在熊市中,提高下半年所持有资产组合的风险反而显著降低了基金下半年的业绩。

This paper studies how annual performance ranking affects fund managers＇ risk-taking behavior. Using a large sam- ple of open-end mutual funds in China between 2005 and 2010, we find that mid-year losers increase portfolio risk in the late year to a greater extent than mid-year winners. Moreover, we find that the future performance of mutual funds is not related to the increase in portfolio risks. In particular, during bear markets, increasing portfolio risk can decrease future performance of mutual funds.