基金经理激励机制与股票错误定价——一项实验研究  

Fund manager performance incentives and stock mispricing:An experimen-tal study

作　　者：高媚 杨晓兰 GAO Mei;YANG Xiao-lan(Key Laboratory of Brain-Machine Intelligence for Information Behavior,Shanghai International Studies Uni-versity,Shanghai 201620,China;School of Business and Management,Shanghai International Studies University,Shanghai 201620,China)

机构地区：[1]上海外国语大学脑机协同信息行为重点实验室,上海201620 [2]上海外国语大学国际工商管理学院,上海201620

出　　处：《管理科学学报》2024年第6期21-42,共22页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71873089);上海市教育发展基金会和上海市教育委员会“晨光计划”资助项目(22CGA34)。

摘　　要：委托代理背景下的激励机制设计是管理科学研究的重要主题,然而现有研究较少关注如何对从事风险决策的代理人进行激励.本研究设计了一个委托代理框架下的股票交易实验,通过引入投资者和基金经理两类角色模拟现实基金经理决策环境,研究基金经理激励机制与股票市场错误定价的因果关系.结果发现,在对基金经理分别采用线性激励(按比例提成)、凸性激励(奖励好的)和凹性激励(惩罚差的)的三种情况下,市场都出现了股票错误定价现象.与线性激励相比,凸性激励和凹性激励导致了显著更高的错误定价.基金经理风险偏好水平和过度自信水平均为激励机制影响股票错误定价的作用机制.此外,实验发现激励机制是通过影响基金经理风险选择行为而非羊群行为,进而影响股票错误定价.本研究探索了微观层面基金经理激励机制设计和宏观层面市场错误定价之间的关系,对基金公司激励制度设计,以及监管部门加强对机构投资者投资组合风险的审慎监管、维持金融市场稳定具有一定现实意义.The design of incentive mechanism in the context of principal-agent is an important subject of man-agement science research.However,existing research pays less attention to how to incentivize agents who en-gage in risky decisions.The paper considers the effect of fund managers'performance incentives on asset prices in an experimental stock market in the context of principal-agent dynamics by introducing both the roles of investors and fund managers.The results show that mispricing is common in experimental stock markets no matter fund managers face linear incentive(proportional to fund return),convex incentive(reward good fund performance)or concave incentive(penalize bad fund performance).Further,benchmark-linked convex and concave incentives could lead to a significantly higher level of mispricing than linear incentives.At the same time,the risk attitude and overconfidence of fund managers can significantly affect the impact of incentives on mispricing.In addition,the incentive mechanism affects the mispricing of stocks by influencing the risk-taking behavior of fund managers rather than herd behavior.Exploring the relationship between the micro-level fund manager incentive mechanism and the macro-level market mispricing has reality significance for the institution-al design of fund companies,for the strengthening of the prudential supervision of institutional investors'port-folio risks by the regulatory authorities,and for the maintenance of financial market stability.

关 键 词：基金经理 激励机制 股票错误定价 委托-代理关系 

分 类 号：F830.91[经济管理—金融学]