【作者】 武自强；

【导师】 张维；

【作者基本信息】 天津大学 ， 管理科学与工程， 2013， 博士

【摘要】 在人们普遍的认识中，基金经理拥有专业的投资眼光和长期的投资经验，在投资中总是可以做出理性的决策和判断。但事实却远非如此，由于委托代理关系的存在，基金经理也并非常常保持理性。Brown等在1996年发现年中业绩排名靠后的基金，在下半年往往会提高资产组合的风险水平来博取更好的排名，Brown给这种行为命名为“基金竞赛假说”，但后续研究中就这一假说是否存在，仍存在较大争议，同时是什么导致了这一现象的产生也成为了研究的热点问题。许多学者基于基金经理特征、委托代理合同、市场交易成本等因素分别给出了不同的解释，本文在先前研究的基础上，研究了市场运行周期和投资者行为对于基金经理风险持有行为的影响。通过实验分析发现，当投资者存在行为偏差时，较之市场中仅存在天真投资者的情况，市场中基金经理人的平均风险持有水平会下降；假设投资者存在有限关注行为时，在牛市中，排名靠后的基金经理出现竞赛行为；当投资者存在处置效应行为时，投资者的处置效应不但不会导致基金竞赛行为，反而使得基金经理产生偷懒行为，降低风险持有水平。市场中老练投资者的存在，显著限制了基金经理竞赛行为的实施，降低了排名靠后基金经理风险水平的提高，同时也影响了其他排名位置的基金经理也相应降低了风险水平。当市场中投资者结构动态变化时，牛市中基金竞赛行为的程度加剧了，排名靠后和靠前基金经理的风险偏好水平差距被进一步拉大；在动态投资者结构下，即使市场没有明显的价格趋势，也会从统计上证明基金竞赛假说成立，这一现象的出现既是由于市场价格的短期波动造成的投资者结构变化，最终影响了基金经理人风险持有行为的变化，从投资者种群结构转化角度解释了基金竞赛行为的产生，从投资者适应性角度拓展了基金竞赛行为研究。更多还原

【Abstract】 In General awareness, fund managers have professional and long-term investmentexperience, which can always make rational decisions and judgments. But the truth isfar from it, because the existence of the agency relationship, fund managers arealways irrational. Brown et al in1996found that fund managers which rank at last inmid-year performance ranking always improve the level of portfolio risk in the secondhalf year，which Brown call it as "Fund Tournaments Hypothesis". But subsequentstudies on whether this hypothesis exists, it is still considerable controversy. At thesame time, what caused this phenomenon has become a hot issue. Many scholars havegiven some explanation based on characteristic of fund managers, agency contractsand market transaction costs. In this paper, we will study on risk taking behavior onmarket cycle and investor behavior.Through experimental analysis we found that when the investor behavioral biasesexist, average risk taking level of fund managers will decline, compared with onlyna ve investor in the market; Assuming there is limited investor attention behavior in abull market, fund managers which rank at last will raise their risk level in their asset;When disposition effect exists, the investor’s disposition will not lead fund tournamentbehavior, fund managers will become lazy and decrease the level of risk asset.The exited of sophisticated investors significantly limited the behavior fundtournament, reducing the risk who rank at the last, and also affected other fundmanagers to reduce the risk.The exited of sophisticated investors significantly limited the behavior fundtournament, reducing the risk who rank at the last, and also affected other fundmanagers to reduce the risk.This phenomenon caused by changes in investor structure,which ultimately affects the risk of the fund managers’ risk taking behavior. We firstlyexplain fund tournament hypothesis from the perspective of Investors populationstructure evolution, expand fund tournament behavior from adaptive of investors.更多还原