锦标制度、基金经理短视投资与股票市场波动

The Trophy System, Fund Managers' Myopia Investment and the Volatility of Stock Market

基金经理的短视行为不仅不能起到稳定市场的作用,甚至还是引发市场不稳定风险的因素之一。本文首先分析了基金经理短视行为的成因;在此基础上,通过实证检验分别分析了外部市场环境和锦标制度对业绩较好和业绩较差的基金经理短视程度的不同影响。本文研究发现,锦标制度对所有基金经理的短视程度均有不同程度的显著影响。业绩较好和业绩较差的基金经理的短视行为对于外部市场变化的敏感度存在"错位效应":牛市环境下业绩较差的基金经理的短视程度较熊市时更严重,业绩较差的基金经理的短视程度对于外界环境的变动也更为敏感;而业绩较好的基金经理的短视程度受经济下行周期的影响更显著,受锦标制度的影响弱于业绩较差的基金经理。最后,本文对改变基金经理短视情况提出了建议。

Stock market volatility is founded to be affected by fund managers＇ myopia. First, this paper analyzes the cause of the fund managers＇ myopia. On the basis of the analysis, we discuss different effects of the external market environment and the trophy system on fund managers＇ myopic with good or bad performance. Through the empirical test, we find that the trophy system has significant impacts both on good and bad fund managers to different extents. In addition, there is the dislocated effect on the myopia of the good and bad managers. That is, the bad managers＇ myopic becomes more serious in the bull market environment than in the bear one, and his myopic degree is more sensitive to the change in the external environment. On the other hand, for the good fund managers, the impact of the recession on their myopic degree is more significant than the booming market external environment, and the impact of the trophy system is weaker than that on the bad fund manager. Finally, the suggestion on the relief of fund managers＇ myopia is proposed.