开放式基金竞争激励机制的效率分析——基于竞争锦标赛的视角

The Efficiency of Mutual Fund Competition and Compensation System——An Empirical Study Based on Tournaments

当基金经理存在隐藏努力和博弈风险的双重道德风险时,基于相对业绩并淘汰落后经理人的竞争锦标赛可以起到选择和激励基金经理、优化公司治理的功效。运用2004—2009年开放式基金的持股明细数据,研究竞争压力与薪酬激励对基金经理投资行为以及基金业绩的影响。实证研究结果表明:基金经理采取积极投资战略的程度与其面临的竞争压力和激励强度相关,但是与基金经理是否具有择股能力无关。业绩不佳的基金经理为改变排名,会选择更加积极的投资策略,但这些基金经理没有显著的股票选择的能力,积极投资战略不能给投资者带来超额回报率。在合资格职业经理人普遍供给不足的情况下,锦标赛竞争不能正向选择基金经理,高激励和强竞争增加了投资者的激励成本和风险。

When fund managers are faced with dual agency conflicts of hiding efforts and taking risks,a tournament scheme which is based on relative performance and removes bottom ranked managers can help investors to select and stimulate fund managers.Using mutual fund equity holding data from 2004—2009,this study examines how tournaments among mutual fund managers affect managers’ trading strategy and fund performance.The empirical results show that the degree of activeness is correlated with the degree of competition and compensation,but is independent with fund managers’ stock selection ability.Lower ranked fund managers are more likely to take aggressive strategy in order to change their ranking position,but on average,these fund managers do not have stock selection abilities and fail to deliver positive returns to investors.The results suggest that when qualified fund managers are in short,a simple tournament scheme can not help select capable fund managers,while high incentives increase investors’ costs and risks.