基金经理激励机制与股票错误定价——一项实验研究
DOI:
作者:
作者单位:

作者简介:

通讯作者:

中图分类号:

基金项目:


Fund manager performance incentives and stock mispricing: An experimental study
Author:
Affiliation:

Fund Project:

  • 摘要
  • |
  • 图/表
  • |
  • 访问统计
  • |
  • 参考文献
  • |
  • 相似文献
  • |
  • 引证文献
  • |
  • 资源附件
  • |
  • 文章评论
    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.

    Abstract:

    The design of incentive mechanism in the context of principal-agent is an important subject of management science research. However,existing research pays less attention to how to incentivize agents who engage 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 institutional design of fund companies,for the strengthening of the prudential supervision of institutional investors’portfolio risks by the regulatory authorities,and for the maintenance of financial market stability.

    参考文献
    相似文献
    引证文献
引用本文

高媚,杨晓兰.基金经理激励机制与股票错误定价——一项实验研究[J].管理科学学报,2024,(6):21~42

复制
分享
文章指标
  • 点击次数:
  • 下载次数:
  • HTML阅读次数:
  • 引用次数:
历史
  • 收稿日期:
  • 最后修改日期:
  • 录用日期:
  • 在线发布日期: 2024-07-28
  • 出版日期:
您是第位访问者
管理科学学报 ® 2024 版权所有
通讯地址:天津市南开区卫津路92号天津大学第25教学楼A座908室 邮编:300072
联系电话/传真:022-27403197 电子信箱:jmsc@tju.edu.cn