基金经理变更对基金风险收益的结构性影响——基于时变性和异质性视角的实证

The Structural Impact of Fund Manager Changes on Fund Risk and Return:An Empirical Study Based on the Perspective of Time Variation and Heterogeneity

基金经理变更的效果评价对基金公司治理和基金产品投资有一定参考价值。理论上,基金经理变更是降低委托代理成本和强化代理人激励的有效方式;但实证结果却并不完全相同。综合现有文献,本文采用2004—2018年国内股票型和混合型开放式基金的11021条季度数据样本,以风险收益类指标为基础,通过纳入各类型因素的综合考量,对基金经理变更的实际效果及其驱动因素进行了全面诊断。研究结果显示:(1)基金经理变更事件对基金风险收益的影响具有显著异质性和时变性,不能简单视为基金产品投资价值改变的明确信号;(2)基金的风险收益指标在基金经理变更前后存在明显的反转效应,说明基金经理变更的实际效果会更多受制于基金前期收益状况或风险水平的制约;(3)继任基金经理的个性特征不能显著影响基金经理变更效果,反倒是基金个体特征和外部市场环境的制约作用更为明显。由此,基金公司管理和基金产品投资不应高估基金经理变更的作用,应依据基金前期的风险收益特征构建适当的反向投资策略,并关注基金个体和市场环境因素的制约。

The evaluation on fund manager changes has important reference value for fund company governance and fund product investments.In theory,the change of fund manager is an effective way to reduce the agency costs and strengthen the agent incentives,but the empirical results are widely disputed and divided.Synthesizing the existing literatures,using 11021 quarterly data samples of domestic equity and hybrid open-end funds from 2004 to 2018,and considering various types of factors based on risk-yield indicators,this article conducts a comprehensive diagnosis on the actual effect of fund managers changes and its driving factors,the research reveals that:(1)The impact of fund manager changes on fund risk-returns has significant heterogeneity and time variability,and cannot be simply regarded as a clear signal that the investment value of fund products has changed;(2)The fund's risk and return indicators have obvious reversal effects before and after the fund manager change,which indicating that the actual effect of the fund manager's change will be more restricted by the fund's early return status or risk level;(3)The personality characteristics of the subsequent fund manager cannot significantly affect the change effect,while the individual characteristics of the fund and the external market environment are more effective.According to these results,fund company management and fund product investment should not overestimate the role of fund manager changes,on the contrary,they should construct an appropriate reverse investment strategy based on specific fund's pre-risk and pre-return characteristics,and pay more attention to the constraints of fund individuals and market environmental factors.