Fund Flows, Performance, Managerial Career Concerns, and Risk-Taking
Fund Flows, Performance, Managerial Career Concerns, and Risk-Taking
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DOI：
10.2139/ssrn.1282124
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发表时间：
2010-05
期刊：
影响因子：
--
通讯作者：
P. Hu;Jayant R. Kale;M. Pagani;Ajay Subramanian
中科院分区：
文献类型：
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作者：
P. Hu;Jayant R. Kale;M. Pagani;Ajay Subramanian
我们开发了投资者、基金公司和基金经理之间互动的统一模型。我们发现，经理的激励机制，从她的薪酬结构和职业生涯的关注之间的相互作用，导致她的风险选择和先前的表现相对于她的同行之间的非单调（近似U形）的关系。表现出色（表现不佳）的经理人在未来被解雇的可能性更小（更大），也更有可能增加相对风险。在其他条件不变的情况下，相对风险随着管理者面临的雇佣风险水平的增加而下降。使用大样本的共同基金经理，我们发现强有力的支持相对风险和先前的业绩之间的假设U形关系。我们的研究结果还强调了就业风险作为基金经理风险转移的潜在驱动因素的重要性。我们的理论模型还产生了额外的假设，链接的资金流的决定因素-绩效关系和管理人员的就业风险，他们的风险承担行为。作为支持，我们的实证分析表明，高费用率的基金具有较少的凸基金流量-业绩关系和较少的凸U型相对风险和先前业绩关系;年轻经理人，面临更大的就业风险，基金具有更多的凸U型相对风险-先前业绩关系;而规模较大的基金家族中的经理人参与风险转移的动机较低，从而导致凸度较低的U形关系。本文被金融学魏雄接受。
We develop a unified model of the interactions among investors, fund companies, and fund managers. We show that the interplay between a manager's incentives from her compensation structure and career concerns leads to a nonmonotonic (approximately U-shaped) relation between her risk choices and prior performance relative to her peers. Significantly outperforming (underperforming) managers are less (more) likely to be fired in the future and are also more likely to increase relative risk. Ceteris paribus, relative risk declines with the level of employment risk faced by a manager. Using a large sample of mutual fund managers, we find strong support for the hypothesized U-shaped relation between relative risk and prior performance. Our findings also highlight the importance of employment risk as the underlying driver of risk shifting by fund managers. Our theoretical model also generates additional hypotheses that link determinants of the fund flow--performance relation and managers' employment risk to their risk-taking behavior. In support, our empirical analysis shows that funds with higher expense ratios have less convex fund flow--performance relations and less convex U-shaped relations between relative risk and prior performance; funds with younger managers, who face greater employment risk, have more convex U-shaped relative risk--prior performance relations; and managers in larger fund families have lower incentives to engage in risk shifting, thereby leading to a less convex U-shaped relation. This paper was accepted by Wei Xiong, finance.