基于损失厌恶的开放式基金业绩激励研究

Study on Performance Incentive of Open-end Fund Based on Loss Aversion

基于行为金融理论,建立了投资者表现为损失厌恶情形下的开放式基金业绩激励模型,并考察了投资者的损失厌恶偏差对开放式基金业绩激励效率的影响。结果表明:在开放式基金的业绩激励机制下,损失厌恶型投资者在面对失败的投资结果时会低估基金经理的投资管理能力,进而低估投资的期望收益;在一定条件下,与完全理性型投资者相比,损失厌恶型投资者会导致业绩激励效率损失增大。

Based on the behavioral finance theory,this paper sets up aperformance incentive model of open-end fund under the hypotheses that the investor show loss aversion,and studies the impact of the investor＇s loss aversion on the performance incentive efficiency of open-end fund.The results show as follows：affected by the performance incentive of open-end fund,the investor who takes on loss aversion would revise down his/her underestimates the abilities of fund manager and the expected investment return;in the given condition,comparing with the rational investor,the investor who takes on loss aversion would make the loss of performance incentive efficiency increased.