同辈竞争影响基金经理冒险行为的机制研究  

The Mechanism of Peer Competition Influencing Fund Managers′Risk-taking Behavior

作　　者：王文南翔 胡日东[1] 张宬 WANG Wen-nan-xiang;HU Ri-dong;ZHANG Cheng(Institute of Quantitative Economics,Huaqiao University,Xiamen 361021,Fujian,China;School of Management,Sun Yat-sen University,Guangzhou 510275,China)

机构地区：[1]华侨大学数量经济研究院,福建厦门361021 [2]中山大学管理学院,广东广州510275

出　　处：《西部论坛》2022年第2期110-124,共15页West Forum

基　　金：福建省科技创新战略研究联合项目(2020R0160)。

摘　　要：随着基金业的蓬勃发展,基金已成为我国资本市场的重要组成部分。基金市场竞争的日益激烈使基金经理的冒险行为备受关注,现有文献主要基于“业绩—资金流—报酬—冒险”的分析范式,从基金业绩排名角度研究竞争对基金经理冒险行为的影响,但鲜有文献研究市场竞争强度对基金经理冒险行为的影响,更缺乏相关经验证据。本文认为,同辈基金(具有相似风格的基金)之间的竞争对基金经理冒险行为具有显著影响:在基金投资收益不确定和同辈基金存在替代效应的情形下,同辈竞争的加剧会增强投资者基金风格偏好对基金业绩偏好的掩盖,导致投资者业绩追逐降低,减弱“业绩—资金流—报酬”机制的激励效应,进而对基金经理的冒险动机和行为产生抑制作用;在冒险行为结果不确定和竞争具有收益递减效应的情形下,同辈竞争加剧会导致基金业绩下降,使冒险行为的预期收益降低,同时也使基金经理被解职的风险增加,进而抑制基金经理的冒险动机和行为。采用2005—2020年中国开放式基金数据的分析发现:同辈基金数量与基金的风险调整比率、重仓股集中度和市场偏离度均显著负相关,表明同辈竞争的加剧会使基金投资组合的风险水平下降;基金业绩与下期同辈基金平均资金流显著负相关,表明同辈基金的替代效应明显;同辈基金数量增加会弱化基金较同辈超额收益对基金资金流的正向影响,表明同辈竞争的加剧会降低投资者业绩追逐;基金业绩对同辈竞争影响基金经理冒险行为的部分中介效应明显,表明同辈竞争的加剧可以通过降低基金业绩来抑制基金经理冒险行为。相比已有文献,本文主要从三个方面进行了拓展和深化:一是从理论上探讨基金市场竞争强度增加对基金经理冒险行为的抑制作用;二是通过三维风格空间网络对同辈基金进行识别,构建一种基With the vigorous development of fund industry,fund has become an important part of China′s capital market.The increasingly fierce competition in the fund market makes the risk behavior of fund managers attract much attention.Existing literature mainly studies the influence of competition on fund managers′risk-taking behavior from the perspective of fund performance ranking based on the analytical paradigm of“performance-capital flow-return-risk-taking”.However,few literatures study the influence of market competition intensity on fund managers′risk-taking behavior,let alone relevant empirical evidence.This paper argues that competition among peer funds(funds with similar styles)has a significant impact on fund managers′risk-taking behavior.Under the circumstance of uncertain fund investment returns and the substitution effect of peer funds,the intensification of peer competition will enhance the cover-up of investors′fund style preference on fund performance preference,leading to lower investors′pursuit of performance,weakening the incentive effect of the“performance-capital flow-return”mechanism,and inhibiting fund managers′risk-taking motives and behaviors.In a situation where the outcome of risk-taking behavior is uncertain and competition has diminishing returns,increased peer competition will lead to a decline in fund performance,reduce the expected return of risk-taking behavior,and increase the risk of fund managers being dismissed,thereby inhibiting fund managers′risk-taking motivation and behavior.Based on the data of China open-end funds from 2005 to 2020,it is found that the number of peer funds is significantly negatively correlated with the risk adjustment ratio,the concentration degree of heavy holdings and the degree of market deviation,which indicates that the intensification of peer competition will reduce the risk level of fund portfolio.The fund performance is negatively correlated with the average fund flow of the peer fund in the next period,indicating that the substi

关 键 词：同辈基金 同辈竞争 基金经理冒险行为 投资者业绩追逐 基金业绩 

分 类 号：F830.91[经济管理—金融学]