基于相对业绩排序的基金经理风险调整行为研究

华中科技大学硕士学位论文基于相对业绩排序的基金经理风险调整行为研究姓名：胡远申请学位级别：硕士专业：企业管理指导教师：陈君宁20060429IIIAbstractThetopicofthisstudy,usingthetournamentconceptastheframework,focusesonthecompetitivenatureofmutualfundenvironmentshowtoaffectthemanagers’portfoliodecision-makingandrisk-adjustedbehavior.Basingonit,thispaperexamineswhetheraimoffundmanagersistomaximizeearningsoffundinvestors.Therefore,intheory,pays,promotingandcollectingfundsonfundmanagersallarerelatedhighlyonplaceinacompetition.Soitconcludesthatlosemanagersevaluatedduringtheassessmentperiodattempttomaximizetheirexpectedcompensationmayrevisetheriskleveloralterthecompositionoftheirportfoliosnextmonths.Andwinnersmaywanttomaintaintheplaceinacompetitiontorevisetherisklevel.However,Changesofwinnersarelessthenlosers’.Whichadjustattributestobenefitforthemselves,butdon’tservethebestinterestoffundinvestors.Thispaperresearchesonclose-endedfundandopen-endedfundthroughempiricalanalysis.Theresultisthatinourfundmarketingfundmanagercanmakerisk-adjustedbehaviorbasingonplaceinacompetitioninmediumterm.Andlosersprefertorevisetheriskleveloralterthecompositionoftheirportfoliosgreatly,especiallywhenmarketingcompetitionisfierce.Theresultisthatfunds’managersfocusonbenefitofshortterminexcess,whichneedstobechanged.Sothispapersuggeststoperfectinternalpromptingsystemandtodevelopthecurrentsystemofassessingandreportingfundperformancesonanannualbasistorestrainthepotentialagencyconflictbetweenmutualfundinvestorsandmutualfundmanagers.Keywords:securityinvestmentfunds;Relativeperformanceranking;Risk-AdjustmentBehavior_____111.11.21.2.1MutualFundUnitTrustInvestmentFund21.2.2121.3341.4522.1186819401940197319738080199720044516154107324615%61985---1990199011---199219931997199351931997199711199832000102001972.22.2.1Fama1980/MayersandSmith1988///2.2.22.182.1192102.3Treynor(1966)Jensen(1968)Fama(1972)GrinblattandTitman(1993)(portfoliochangemeasure)Daniel,Grinblatt,Titman,andWermers(1997)(averagestyle)(characteristictiming)(characteristicselectivity)Gruber(1996)11()()()BeckerandHuselid(l992)Lakonishok,ShleiferandVishny(1991)Brown,HarlowandStarks(1996)CohenandStarks(1988)1CohenandStarks(1988)Golec(1992)1985SEC(incentivefeecontract)(S&P500)212Nalebuff,Stiglitz(1983)Rosen(1986)Capon,Fitzsimons,andPrince(1992)SirriandTufano(1992)Capon,FitzsimonsandPrince(1996)13ScharfsteinandStein(1990)Grinblatt,TitmanandWermers(1995)Brown,HarlowandStarks(1996)(adverse-incentive)ScharfsteinandStein(1990)Khorana(1996)(windowdressing)Brown,HarlowandStarks(1996)(losers)(winners)142.420002001T-MH-M60702002152001,,1.5%(2004)2000(2000)200516Brown,HarlowandStarks(1996)()173()()3.13.1.1119982McDonald(1974)Radcliff(1990)””183.1.2119991120041231622003112004123123.1.3WIND3.1.41Mjy1)]1()1)(1[(21−++−=jMyyjyjjMyrrrRTN(3.1)jrj110)1(−=−jtjttjjtjtyNAVNAVNAVNAVr(3.2)jtNAV)1(−tjNAVjt(t-1)0jtNAV1jtNAV0jtNAV-0D()M39RTN3919jM1)()1)12()((121212)12(−−−−−=∑∑=+=−MrrMrrRARMmjMyjmyMmyMjjmyjy(3.3)yjj1Mt=3456789(t=6)3.1.51RTN225%25%32003153.1.61RAR225%25%3.220)()(1212WWLLσσσσ3.4Brown,HarlowandStarks(1996)(centralprediction)121(39)(RTN)34RTN()RAR()22:3.1RARRARRTNAba+bRTNCdc+dA+cb+da+b+c+d210HRTN()RAR()(=25%)1HRTNRAR(aRTNRAR)(bRTNRAR)(cRTNRAR)(dRTNRAR)()()()()()dbcadcbannbcadeeoritjijijij++++−−=−=∑∑==21122)(χ3.5i,jr,tijoijeije=nTRji/iR,jTniRjT∑∑====tjjriiTRn11v=(r-1)(t-1)1{=(2-1)(2-1)}ijeijoije∂2)1,1(2ααχχ−0H2244.14.1.14.1200228.973.6525.32003200436.1836.074.323.731.932.44.11999200020012002200320045223348545429737387583826326587177997275112650777271627895975151487949332068404965277351746375420545528971099103617789218360669364125923223791416726379426185319.4365127024.3431975810.9370284563.4303978624639415779102010552170912465741.515085482331402038428243071672.510763640881119810303887896888.11110952806101129602641.3200246.88664545-14.38203939-11.4012541720.63914074-2.95988333352.080660.5477-3.8419-2.738232.751316.990728.042337.0108-26.0097-17.9392-0.6424-14.38549.209571516.6499940195.2510734363.2922355076.9382660415.976939453234.1.24.2M=3,4,5,6,7,8,977(1)M=3M=4,5,6,7,8,9p0.00940.04030.00170.13260.07550.0139(2)M=6p(3)M=459p0.05M78p05.0=∂(4)M=3p0.41207(3.4)RTN/RARRTN/RAR0.25(3.4)0.25(3.4)(1)70.25(3.4)244.24(%)RTN()RTN()RARRARRARRARp-value(3,9)22.9027.1025.7024.300.67290.4120(4,8)20.5629.4429.4420.566.74770.0094***(5,7)21.5028.5028.5021.504.20560.0403**(6,6)19.6330.3730.3719.639.88790.0017***(7,5)22.4327.5727.5722.432.26170.1326(8,4)21.9628.0428.0421.963.15890.0755*(9,3)21420.5629.4428.9721.036.05610.0139********1%5%10%0.00%25.00%1234567RTN/RARRTN/RARRTN/RARRTN/RAR4.11,,7M=3,,974.1.34.31M=34567892χ251.92163.17654.74514.74514.74513.17654.7451p0.16570.07470.02930.02960.02930.07470.0293M=32M=5,6,7,9p0.02930.05M=64.24.34(%)RTN()RTN()RARRARRARRARp-value(3,9)21.57%28.43%28.43%21.57%1.9215690.165684(4,8)20.59%29.41%29.41%20.59%3.1764710.074706*(5,7)19.61%30.39%30.39%19.61%4.7450980.029382**(6,6)19.61%30.39%30.39%19.61%4.7450980.029382**(7,5)19.61%30.39%30.39%19.61%4.7450980.029382**(8,4)20.59%29.41%29.41%20.59%3.1764710.074706*(9,3)10219.61%30.39%30.39%19.61%4.7450980.029382****