基金异质、风险偏好与创业板公司风险承担:行为金融视角

HeterogeneousFund and GEM-listed Companies' Risk-taking from the Perspective of Behavior

采用持有创业板公司股票的基金年度投资组合数据,选取投资组合集中度、投资组合周转率和风险偏好等三类指标,利用因子分析和聚类分析方法,将基金分为风险厌恶的积极型基金和风险偏好的消极型基金,并考察了异质基金对创业板公司风险承担的影响。研究结果表明:基金整体持股比例越高,公司风险承担水平越高;风险厌恶的积极型基金会对公司风险承担产生正向的积极影响,表明风险厌恶的积极型基金通常会积极参与公司治理,通过改善委托代理关系和信息不对称等方式,提升上市公司风险承担水平;而风险偏好的消极型基金因持股时间往往较短,并不十分关注公司长期收益,对公司风险承担无显著的影响。

Portfolio concentration, portfolio turnover and risk appetite according to annual portfolio data of fund which hold GEM-listed companies are selected, and methods of factor analysis and cluster analysis are used to sorted fund into risk aversion active fund and risk preference passive fund, which extend the study of fund heterogeneity from the perspective of psychology. GEM- listed companies are selected as samples to test the influence of heterogeneous fund on the risk-taking of GEM-listed companies. The results show that there is significant positive correlation between fund ownership and risk-taking of GEM-listed companies; risk aversion active fund ownership has a positive impact on risk-taking of GEM-listed companies, which means risk aversion active fund actively participates in corporate governance to enhance the level of risk-taking through improving the principal-agent relationship and information asymmetry. Risk preference passive fund has no significant impact on risk-taking of GEM-listed companies because of no concerning about the long-term benefits of the company.