基金经理变更的驱动机制与市场异质性--基于1726只公募基金的实证检验  

The Driving Mechanism and Market Heterogeneity of Public Fund Manager Alternation:An Empirical Study Based on 1726 Public Offering Funds

作　　者：王韧 刘于萍[2] 何小波 WANG Ren;LIU Yu-ping;HE Xiao-bo(Yangtze Upriver Economic Research Center,Chongqing Technology and Business University,Chongqing 400067,China;School of Finance,Chongqing Technology and Business University,Chongqing 400067,China;Chongqing Institute for China Engineering Science and Technology Development Strategy,Chongqing 400030,China)

机构地区：[1]重庆工商大学长江上游经济研究中心,重庆400067 [2]重庆工商大学金融学院,重庆400067 [3]中国工程科技发展战略重庆研究院,重庆400030

出　　处：《西部论坛》2021年第2期89-105,共17页West Forum

基　　金：国家统计局全国统计科学重点研究项目(2019LZ03)。

摘　　要：公募基金经理变更会影响基金产品的投资价值和风险收益预期。国内公募基金经理的变更日益频繁,但现有研究多局限在传统的委托代理框架内,偏重于对基金业绩表现与基金经理变更间一元线性关系的探讨,而对考核评价机制与市场环境特征对于上述关系的影响鲜有论及。针对普通股票型、偏股混合型、灵活配置型三类公募基金,采用2006-2019年1726只基金的39227个有效样本数据,对公募基金经理变更的驱动机制及其制约因素进行多维度考察,研究发现:基金经理变更对于基金业绩表现的响应主要以相对收益排名形式呈现,而绝对净值增长率的表现不敏感;市场环境变化会制约基金业绩表现之于基金经理变更的实际影响,非平稳市场更容易引发基金经理变更;不同市场环境对基金经理变更存在异质性影响,牛市会形成正向推动,而熊市则会产生负向压缩效应。综合考虑基金经理变更的二元驱动机制及其市场异质性特征,有必要完善基金公司内部的考核评价体系,以进一步规范委托代理关系,同时还应构建更全面和完善的外部评价体系。The change of public fund manager affects the investment value and risk return expectations of fund products.The change in domestic public fund becomes more frequent,but existing researches are mostly limited to the traditional principal-agent framework,focusing on the discussion of the linear relationship between the fund performance and the change of the fund manager.However,the impact of the evaluation mechanism and market environment characteristics on the above relationship is rarely discussed.Taking the three types of public funds from 2006 to 2019 as the research sample such as common stock,partial stock mixed fund,and flexible allocation fund,based on the data set of 1726 funds and 39227 valid samples,this article has made a multi-dimensional examination on the driving mechanism and constraints of domestic public fund manager changes.The study finds(1)The response of fund manager changes to fund performance is mainly presented in the form of relative return ranking,while the performance of the absolute net value growth rate is not sensitive;(2)The changes in market environment will restrict the actual impact of fund performance on fund manager changes,and non-steady markets are more likely to trigger fund manager changes;(3)Different market environments have heterogeneous effects on the change of fund managers.The bull market will form a positive push,while the bear market will produce a negative compression effect.Considering the dual driving mechanism of fund managers change and its market heterogeneity characteristics comprehensively,it is necessary to improve the internal evaluation system of fund companies to further standardize the principal-agent relationship and form a more comprehensive and complete external fund evaluation system.

关 键 词：基金经理 基金业绩 基金经理评价 市场环境 公募基金 

分 类 号：F832.5[经济管理—金融学]