基于隐性交易的证券投资基金锦标赛研究

Research of the Tournament in China's Securities Investment Fund Based on Hidden Transaction

基于报酬合约理论构建基金锦标赛的二元博弈模型,诠释了基金业绩对其风险调整行为影响的理论机理,发现在考虑同一类基金内部竞争行为时,业绩较好的基金反而会主动增加投资组合风险。基于2002年~2015年我国开放式基金数据,构建基于隐性交易的基金锦标赛模型,研究结果表明:当上半年股市处于上涨趋势时,上半年业绩较好的基金经理在下半年并不会主动降低其所持投资组合的风险,因而不存在锦标赛现象;当上半年股市处于下跌趋势时,业绩较好的基金经理存在降低总体风险承担水平的倾向。然而,考虑基金经理显性和隐性风险调整后可发现,基金锦标赛现象源于其所持投资组合自身风险变化所造成的假象,并非基金经理主动操作行为所致。此外,无论股票市场处于上涨还是下跌趋势,基金经理上半年风险承担与下半年风险调整均显著负相关,即其风险承担意愿具有稳定性。

Based on the theory of compensation contract,we construct a game theory model of two competitors,which explains the theoretical mechanism of risk adjustment behavior of fund managers. Using the data of China＇s open-end fund from 2002 to 2015 to do an empirical research and finds that： 1） when the first half year of the stock market stays in a rising trend,the better performance fund manager will not increase the risk he takes,which means that the tournament phenomenon doesn＇t exist; 2） If the stock market in the first half of the year is declining,the better performance fund manager will decrease the risk he takes.In addition,the empirical results indicate that,no matter the stock market is in the up or down trend in the first half year,fund managers＇ taking risks in the first half of the year and conducting risk adjustment in the second half of the year have a significant negative correlation,namely the risk willingness of fund manager is stable.