作　　者： ; (蒋运冰）;

机构地区： 中山大学岭南学院

出　　处： 《管理评论》 2013年第11期12-22,共11页

摘　　要： 本文以2004-2011年普通股票型和混合偏股型开放式基金为研究对象,结合基金持股明细等数据,构造基金经理风险调整策略和行为代理变量——风险变更意愿,使用交叉表格分类法和非平衡面板的固定时间效应模型,检验了我国基金经理下半年风险调整行为的影响因素。研究发现,年中绩效稍逊的次优绩效基金经理提高风险的倾向最明显。虽然薪酬激励和雇佣风险激励对基金经理风险调整行为存在一定程度的影响,但最重要的风险变更驱动力是对上半年风险水平预期偏差的修正;同时,基金经理的平均任期长短也是影响风险调整的重要因素。 This paper studies the factors that affect managerial risk shifting in the second half of the year within 2004-2011 common stock and mix-stock open-end funds. With semi-annual complete position data, We construct proxy of managerial risk shifting strategy and behavior-risk shifting intention with semi-annual complete position data, and use contingency table approach and fixed-time effect model to analyze these factors. We find that the second-best mid-year-performance managers are of the greatest tendency to increase risk level during the second-half year. Though compensation incentive and employment risk may influence the risk shifting behavior inversely to some extent, the most important reason and driving force for risk shifting is to counterbalance the deviation from the expected risk level in the first half of the year. At the same time, this paper shows that the length of tenure is also a crucial factor contribute to the risk shift-ing behavior.

关 键 词： 开放式基金 薪酬激励 雇佣风险 预期偏差 风险调整

领　　域： [经济管理]