基金经理论文：基于职业生涯考虑的基金经理风险选择特征研究.doc

基金经理论文：基于职业生涯考虑的基金经理风险选择特征研究【中文摘要】文从基金投资运行中的双重委托代理关系出发,以我国开放式股票型基金作为研究对象,分析了基金前期相对业绩排名和基金经理下期风险选择之间的关系,并从职业生涯考虑的角度解释了产生这种关系的原因。在基金的投资运行管理中,存在着双重委托代理关系。第一重是基金投资者将其资产委托给基金管理公司而形成的外部委托代理关系；第二重是基金管理公司将基金资产的组合管理授权给基金经理而形成的内部委托代理关系。在这两重委托代理层次中三方关注的利益点不同,基金投资者最关心的是自己所购买基金的业绩,他们主要根据基金的业绩排名决定是否购买或赎回基金；基金公司为了吸引的投资者来购买公司的基金,要求基金经理尽可能的提高基金的业绩排名来吸引的基民,并根据基金经理人的表现在来决定是否更换基金经理；而作为最终代理人的基金经理,最关心的则是自己的职业生涯状况。由于三方关注的利益点不同且存在这严重的信息不对称,必然导致了委托代理风险,主要表现在基金经理人的行为上。基金经理人出于自利性的原因,在进行投资和做出决策的出发点的是自己的职业生涯考虑,以此为依据决定下期是否增大或减小投资风险,所采取的风险选择行为可能会与基金投资者和基金管理者的利益不符。本文选取我国开放式股票型基金为研究对象,分三步进行了实证研究。首先对对基金经理的职业生涯考虑进行了实证研究,分析了影响经理人职业生涯状况的主要因素；其次对基金年中相对业绩排名与基金经理下一期的风险选择之间是否存在U型关系进行了实证研究,并且从职业生涯考虑的角度进行了解释,即通过基金经理下期风险选择和和基金经理人产生消极职业生涯的概率进行实证研究,证明二者之间也存在着U型关系,从而很好的解释了业绩排名风险选择之间产生U型关系的原因。【英文摘要】Focused on the dual-principal-agent relationship in funds investment and using the data from the open-end stock funds in Chinas capital market, we analyze the relationship between the comparative ranking of fund performance in the beginning phase and the fund managersrisk decisions next, and then, explain the cause from the aspect of career concerns in this paper.There is a dual principal-agent relationship in the investment management of funds. The first is fund investors entrust their assets to the management companies and that is the external principal-agent relationship. The second is funds management companies grant the management of funds combination to managers and that is the internal one. The focused interests of three aspects are different in this framework. What the investors concern most is the performance of funds. They decide whether to buy a fund or not mainly on the ranking. So fund companies try their best to increase it to attract investors and change managers accordingly. As for the managers, they put more emphasis on their own career concerns. The serious information asymmetry arising from different focused interests has inevitably caused agency risks and this reflects on the performance of managers mostly. Because of the selfish of the managers, they always put more importance on their own career concerns when making investment decisions and adjust investment risks next term. Maybe they are inconsistent with the interests of investors and companies.We present the empirical analysis of open-end funds in three steps. The first is the empirical analysis of main factors that influence career concerns. Next is the empirical analysis of whether there is a U-shaped relationship between the relative ranking and variance decisions. And explain it from the view of career concerns. That is to say, through the empirical analysis of risk decisions and the probability of fund managersfailing career, we identify there is a U-shaped relationship between them to explain the cause of the relationship between ranking and risk decisions.【关键词】基金经理 职业生涯考虑 风险选择【英文关键词】fund managers career concerns risk decision【目录】基于职业生涯考虑的基金经理风险选择特征研究摘要4-5ABSTRACT5第一章 导论8-201.1 研究背景与意义8-91.2 国内外文献综述9-161.2.1 国外文献综述9-121.2.2 国内文献综述12-151.2.3 文献述评15-161.3 研究对象与说明16-171.4 研究思路与论文框架17-20第二章 相关理论概述20-282.1 基金的委托代理关系20-232.1.1 传统委托代理理论20-212.1.2 证券投资基金的双重委托代理关系21-232.2 职业生涯考虑23-252.2.1 职业生涯考虑的概念232.2.2 职业生涯考虑对基金经理风险选择影响的理论研究23-242.2.3 职业生涯考虑对基金经理风险选择影响的理论研究24-252.3 基金锦标赛观点和逆诱因假说25-272.3.1 基金锦标赛25-262.3.2 逆诱因假说26-272.4 本章小结27-28第三章 我国基金经理人职业生涯分析28-383.1 我国基金市场现状分析28-303.1.1 我国基金相对业绩排名现状分析283.1.2 我国基金经理人职业生涯状况现状分析28-303.1.3 我国基金经理人从业经历现状分析303.2 研究假设303.3 数据来源与样本选择30-313.4 变量的选择与计算方法和描述性统计31-363.4.1 变量的选择与计算方法31-353.4.2 变量的描述性统计35-363.5 实证结果及分析36-373.5.1 模型建立363.5.2 实证结果及分析36-373.6 实证小结37-38第四章 基金业绩排名与风险选择U型关系的实证研究38-454.1 研究假设38-394.2 实证结果及分析39-4