职业生涯考虑影响开放式基金经理投资行为的实证研究

【作者】 向志恒；

【导师】 曹兴；

【作者基本信息】 中南大学 ， 管理科学与工程， 2008， 硕士

【摘要】 本文主要实证研究了我国开放式基金经理的职业生涯考虑是否影响到了他的投资行为。首先从理论角度进行了分析:定义了基金经理职业生涯考虑的概念,提出了基金经理能力评价的关键指标。分析了职业生涯考虑的激励作用及其对基金经理投资行为的影响。然后在理论分析的基础上进行了实证研究。我们只有了解到基金经理职业生涯考虑的现实情况之后,才能对职业生涯考虑对基金经理投资行为的影响进行假设和检验。因此本文的实证研究分为两个步骤。第一步骤通过对开放式基金经理的职业状况与基金产出(包括基金相对业绩和投资行为)、经理经验关系的实证研究分析了目前我国开放式基金经理的职业生涯考虑现状。研究结论与职业生涯考虑理论分析的结论一致,经验少的基金经理的职业状况对产出的敏感度要大于经验多的基金经理:经验少的基金经理在所管理的基金相对业绩较差时更容易被降职或解雇;在所管理的基金相对业绩较差时,经验少的基金经理采用非常规的投资行为而产生消极职业状况的可能性更大。第二步骤在第一步骤研究结论的基础上,提出了职业生涯考虑影响下基金经理投资行为与经理经验关系的研究假设:出于职业生涯考虑,为了避免非常规的投资策略失败而带来的消极职业状况,经验少的基金经理的投资行为偏离同类型基金的典型投资行为的程度更小。实证研究结果支持这一假设,基金经理的投资行为反应了职业生涯考虑的影响。文章最后总结了研究结论,提出了对基金投资者和基金管理公司的启示,并对进一步研究方向进行了展望。更多还原

【Abstract】 This dissertation empirically studies whether china’s mutual fund managers’ career concerns influence their investment behavior. At first, this dissertation analysis the topic theoretically: we define the concept of fund manager’s career concerns, point out the key indexes of evaluating fund manger’s abilities, analysis the fund manager’s career concerns’ incentive effect and its impact on their investment behavior. Then, we conduct empirical studies based on the theoretical analysis. We have to know the practical situation of mutual fund managers’ career concerns before examine their impact on fund managers’ investment behavior. Thus, this dissertation conducts the empirical studies via two steps: at the first step, we empirically studies the relationship among mutual fund managers’ career status, fund output (including relative performance and investment behavior) and manager’s experience in order to understand the career concerns of china’s mutual fund managers nowadays. Consistent with the theoretical analysis of career concerns, we find that the career status is more output-sensitive for inexperienced fund managers: inexperienced fund managers are more likely to be demoted or fired for bad relative performance than their more experienced counterparts; inexperienced fund managers are also more likely to get negative career status for bold or unconventional investment behavior when their relative performance is lower than the average. At the second step, on the basis of the conclusion in the first step, we put forward the hypothesis of the relationship between fund manager’s investment behavior and experience upon the impact of career concerns: in order to avoid the negative career status along with the fail of unconventional investment behavior, inexperienced fund managers deviate less from typical investment behavior than their experienced counterparts. The conclusions support this hypothesis, the investment behavior reflect the impact of career concerns on the mutual fund managers. Lastly, this dissertation summarizes the conclusions, puts forward some revelations for fund investors and fund companies, and plans the directions for further studies.更多还原