摘要
基于业绩关键排名对基金经理薪酬的影响和提高排名的难易程度这两个新视角,本文以2005～2016年中国开放式股票型基金和偏股混合型基金为样本,考察了业绩排名对基金期末业绩拉升行为的影响。研究发现,在2/3和9/10关键排名处的基金存在比其他基金更为明显的期末业绩拉升行为;另外,相邻排名基金的业绩差异越小,基金的期末业绩拉升程度越大。本文的发现不仅扩展了基金期末业绩拉升行为的研究,也对行业监管和基金投资具有重要的参考价值和现实意义。
From two new aspects of fund managers'performance-ranking-based compensation incentive and the probability of improving rankings,we study the impact of funds' performance ranking on their portfolio pumping by using data of Chinese mutual funds,including open-end stock funds and stock-oriented hybrid funds,from 2005 to 2016.Our empirical analysis shows that portfolio pumping is stronger for funds ranking at key places,including 2/3 and 9/10 percentile.Moreover,we find that the difference of performance between funds with adjacent ranking in performance has a significant negative effect on portfolio pumping.Our findings not only extend the literature on portfolio pumping,but also have implications for the supervisor and fund investors in practice.
出处
《管理世界》
CSSCI
北大核心
2018年第9期33-45,共13页
Journal of Management World
基金
本文获得国家自然科学基金项目“中国证券投资基金公司治理结构变革对其业绩和投资行为的影响研究”(71772121)和上海国际金融与经济研究院的资助,特此感谢.吴文锋为本文通讯作者.
