显性激励和隐性激励对基金风险承担行为的影响  

Study on the Effect of Explicit and Implicit Incentive on the Risk Taking Fund Behavior

作　　者：盛积良[1] 马永开[2] 

机构地区：[1]江西财经大学信息管理学院 [2]电子科技大学管理学院

出　　处：《管理学报》2009年第5期692-697,共6页Chinese Journal of Management

基　　金：国家自然科学基金资助项目(70861003);教育部新世纪优秀人才支持计划(NCET-05-0811);江西省教育厅科技项目(GJJ09294)

摘　　要：通过假设基金管理者的报酬合同为PBF合同,研究了显性激励和隐性激励对开放式基金的风险承担行为的影响。然后,以一个存在混合策略的博弈模型为基础,发现隐性激励使年中业绩领先的基金其下半年持有高风险资产的概率要高于年中业绩落后的基金。最后,分析了风险资产与市场组合的收益率之差、2个基金年中业绩之差、资产收益的波动率和2种激励的强度对基金选择高风险资产的影响.We study explicit incentive and implicit incentive on the risk taking of the open end mutual fund whose compensation contract is Performance based Fee. By a game model with mixed-strategy, we argue that the probability of holding risk asset of the fund with better midyear performance is higher than that of the fund with bad midyear performance. We analyze the effect of the return gap between risk asset and benchmark portfolio ,performance gap, volatility of the risk asset and the degree of explicit and implicit incentive in the risk taking behavior.

关 键 词：显性激励 隐性激励 基金 风险承担 合同 

分 类 号：F830[经济管理—金融学]