基于投资者情绪的开放式基金业绩激励机制激励效率研究

Efficiency of the Performance Incentive Mechanism of Open-end Fund based on Investor's Sentiment

将行为金融理论引入开放式基金逆向选择问题研究。通过建立数学模型,分析开放式基金业绩激励机制产生效率损失的原因,并揭示了投资者情绪对激励效率产生的影响。结果表明:业绩激励机制的激励效率损失,一方面源于投资者错误放弃有能力基金经理所损失的收益,另一方面源于投资者错误接受无能力基金经理所承担的成本;当投资者受乐观情绪影响时,会使业绩激励机制的效率提高;反之,当投资者受悲观情绪影响时,会使业绩激励机制的效率降低。

We apply the behavioral finance theory to resolve the adverse selection problem of open-end fund. By setting up principal-agent model, we study the reasons of the efficiency loss of incentive mechanism based on performance, and announce the effects of investors＇ sentiment on incentive efficiency. The result shows that on one hand the efficiency loss is due to investors giving up good money managers by mistake; on the other hand, the efficiency loss is due to investors accepting bad money managers by mistake. The incentive efficiency loss decreases when investors are influenced by the optimistic sentiment. The incentive efficiency loss increases when investors are influenced by the pessimistic sentiment. The conclusion provides new ideas and countermeasures for explaining real practices and dealing with the conflict between investors and money managers.