CAJ | 학술논문

本文选取我国2004年—2009年开放式股票型基金,从基金经理职业生涯关注的角度,研究前期基金业绩相对排名对后期基金经理投资组合风险选择的影响,得出与基金竞赛理论不同的结论：前期业绩排名居前与靠后的基金,后期都会选择高风险。由于基金业绩相对排名与基金经理的从业经历决定了基金经理的职业生涯状况,由此引发职业生涯关注,导致前期业绩相对排名与风险选择之间存在正U型关系,并且基金经理从业经历越欠缺,U型关系越明显。
본문선취아국2004년—2009년개방식고표형기금,종기금경리직업생애관주적각도,연구전기기금업적상대배명대후기기금경리투자조합풍험선택적영향,득출여기금경새이론불동적결론：전기업적배명거전여고후적기금,후기도회선택고풍험。유우기금업적상대배명여기금경리적종업경력결정료기금경리적직업생애상황,유차인발직업생애관주,도치전기업적상대배명여풍험선택지간존재정U형관계,병차기금경리종업경력월흠결,U형관계월명현。
From the perspective of Career Concerns, this paper considers the relative ranking of previous performance of various funds and their impact on the portfolio risk taken by fund managers at a later stage. Many researchers have noted such effect and suggest that the relationships between the two through the tournament theory exist and fund managers who rank lower choose higher risks afterwards. However, related researches of this theory have failed to reach consistent conclusions. Fund managers in China have been facing a high risk in their career life due to frequent turnover. Poor performance can easily lead to unemployment. Therefore, based on the Career Concerns theory, this paper explains fund managers＇ risk-taking behavior in terms of intrinsic motivations. While mid-level managers are being relatively risk averse, we believe that those concerns over the professional life will lead people, both managers with higher or lower rankings in the beginning, to take a high risk in next phases. To verify the effect of managers＇ career concerns on the risk-taking portfolio, we estimate the probability of negative employment status of managers by selecting Chinese open equity funds from 2004 to 2009 and employing the Logit model to measure their career concerns. We further eonduet multiple regressions to examine how career coneerns influence risk-taking behaviors at a later stage. Empirical results suggest that postrisk-taking and the square of the probability of the negative career situation are positively correlated. This finding indicates that a ＂U＂ shaped relation between probability of fund managers＇ unfavorable circumstances and later risk-taking exists. Therefore, employees with high or low probability of negative occupation status will be risk-takers in the following period. Specifically, under the great pressure of losing job, the former kind of employees may take a higher risk with the hope of earning back their loss. Meanwhile, by taking the advantage of previous performance the latter kind of employees will be motivated to choose strategies with high-risk and high-reward in order to maintain their positions. Moreover, those who hold medium probability will take relatively conservative strategies. A robust test is taken by directly reviewing the relations between the previous performance ranking and laterrisk-taking as the performance measurement can avoid triggering changes to fund managers＇ working conditions. The results also show a positive correlation between the square of prior performance rankings and subsequent strategy takings. This finding implies some disagreements with the tournament theory. Both higher and lower ranking fund managers would take high risks in the end. We also discover significantly negative coefficients of the cross-term of working experiences and previous performance ranking in the beginning period. The less experienced a fund manager has, the clearer the ＂U＂ shaped relation between previous ranking and risk taking exists.