基金竞赛还是职业生涯关注?——对基金经理风险选择的实证研究  

Tournament or Career Concern? An Empirical Research on Risk Taking of Chinese Fund Managers

作　　者：饶育蕾[1] 王颖[1] 戴鹏君 

机构地区：[1]中南大学商学院,湖南长沙410083 [2]广发证券,山西太原030071

出　　处：《管理工程学报》2013年第2期65-70,共6页Journal of Industrial Engineering and Engineering Management

基　　金：国家自然科学基金资助项目(70872111);中南大学优博扶植基金

摘　　要：本文选取我国2004年—2009年开放式股票型基金,从基金经理职业生涯关注的角度,研究前期基金业绩相对排名对后期基金经理投资组合风险选择的影响,得出与基金竞赛理论不同的结论:前期业绩排名居前与靠后的基金,后期都会选择高风险。由于基金业绩相对排名与基金经理的从业经历决定了基金经理的职业生涯状况,由此引发职业生涯关注,导致前期业绩相对排名与风险选择之间存在正U型关系,并且基金经理从业经历越欠缺,U型关系越明显。From the perspective of Career Concerns, this paper considers the relative ranking of previous performance of various funds and their impact on the portfolio risk taken by fund managers at a later stage. Many researchers have noted such effect and suggest that the relationships between the two through the tournament theory exist and fund managers who rank lower choose higher risks afterwards. However, related researches of this theory have failed to reach consistent conclusions. Fund managers in China have been facing a high risk in their career life due to frequent turnover. Poor performance can easily lead to unemployment. Therefore, based on the Career Concerns theory, this paper explains fund managers＇ risk-taking behavior in terms of intrinsic motivations. While mid-level managers are being relatively risk averse, we believe that those concerns over the professional life will lead people, both managers with higher or lower rankings in the beginning, to take a high risk in next phases. To verify the effect of managers＇ career concerns on the risk-taking portfolio, we estimate the probability of negative employment status of managers by selecting Chinese open equity funds from 2004 to 2009 and employing the Logit model to measure their career concerns. We further eonduet multiple regressions to examine how career coneerns influence risk-taking behaviors at a later stage. Empirical results suggest that postrisk-taking and the square of the probability of the negative career situation are positively correlated. This finding indicates that a ＂U＂ shaped relation between probability of fund managers＇ unfavorable circumstances and later risk-taking exists. Therefore, employees with high or low probability of negative occupation status will be risk-takers in the following period. Specifically, under the great pressure of losing job, the former kind of employees may take a higher risk with the hope of earning back their loss. Meanwhile, by taking the advantage of previous performance the latter kind of empl

关 键 词：职业生涯关注 风险选择 基金业绩 

分 类 号：F832.48[经济管理—金融学]