持有人行为对基金管理人的隐性激励——理论分析与实证检验  

Implicit Incentive Impact of Fund Holder Behavior upon Fund Manager Theoretical Analysis and Empirical Testing

作　　者：李学峰[1] 黄亚元[1] 王健[1] 

机构地区：[1]南开大学金融学院,天津300071

出　　处：《证券市场导报》2016年第1期62-71,共10页Securities Market Herald

基　　金：国家自然科学基金项目<不完美市场中的基金契约--投资者非理性和市场非充分竞争下的连续时间契约模型>(编号:71171118)

摘　　要：本文对持有人的申购和赎回行为给基金管理人带来的隐性激励进行了探讨。文章首先从理论上分析了持有人基于前期收益在申购时存在惯性行为和在赎回时存在处置效应,这两种行为通过对基金规模和管理费的影响给基金管理人带来不同的隐性激励。进一步,我们通过实证检验,验证了持有人的惯性行为和处置效应对基金管理人具体的激励,特别是持有人的处置效应对基金管理人产生的棘轮效应,以及持有人的惯性行为与处置效应合一后没能激发基金管理人去争取最高的收益率。本文的研究为完善基金契约和引导持有人理性投资提供了有益的启示。This paper focuses on the implicit incentive of fund managers from the holders＇ purchase and redemption behavior. Firstly, the paper theoretically analyzes the holders＇ inertial behavior in purchase and disposition effect in redemption, which are based on pre-period return. These two behaviors bring the implicit incentive to fund managers by affecting the fund scale and management fees. Furthermore, through the empirical test, we verified the specific incentive to the fund managers caused by the holders＇ behaviors, especially the ratcheting from the disposition effect and fail for the fund managers pursuing the highest yields from the combination of inertial behaviors and the disposition effect. The research of this paper provides the perfection of fund contracts and guidance of investors＇ rational investments with profound significance.

关 键 词：证券投资基金 申购与赎回 隐性激励 基金契约 

分 类 号：F830.591[经济管理—金融学]