投资者隐性激励与开放式基金的风险选择

Investor Implicit Incentive and the Risk Choice of Open-end Fund

构建投资者资金流与开放式基金风险之间的理性预期模型,量化了投资者对基金管理人的隐性风险激励,并结合国内市场2006~2012年股票型开放式基金的非平衡面板数据,从预期投资者资金流、实际投资者资金流以及基金风险选择与基金后期业绩关系三个方面对开放式基金的风险选择行为进行研究,结果表明:我国开放式基金投资者没有表现出对基金冒险行为的市场约束作用,相反,基金投资者资金流与基金业绩的局部凸性特征还构成了对基金冒险行为的一种隐性激励;基金冒险行为也并不符合基金投资者的利益,而是基金管理人道德风险的一种具体表现。

Constructing a rational expectation model between investors' flows and open-end fund risks,we quantify the implicit managerial risk incentives from open-end fund investors.Using an extensive unbalanced panel data of equity open-end fund market in China from 2006to 2012,we empirically examine the risk choice of domestic open-end fund from expected investor flows,actual investor flows and the relation between fund risk and subsequent performance.The results shows that domestic open-end fund investors do not show market constraints to fund managerial risk-taking,instead,local convexity of fund flow-performance relation constitutes an implicit incentive to risk-taking behaviors.The fund managerial risk-taking behavior does not accord with the interests of fund investors,but a specific form of fund managerial moral hazard behaviors.