Performance‐Based Fee Contract and Risk‐Taking Strategy in Asset Management Tournament
Performance‐Based Fee Contract and Risk‐Taking Strategy in Asset Management Tournament
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DOI：
10.1111/boer.12185
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发表时间：
2019-07
期刊：
影响因子：
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通讯作者：
Jiliang Sheng;Xiaoting Wang;Jun Yang;Miao Li
中科院分区：
文献类型：
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作者：
Jiliang Sheng;Xiaoting Wang;Jun Yang;Miao Li
本文研究了在资产管理锦标赛中，基于业绩的费用（PBF）合同如何影响基金经理的战略风险承担行为。在完美均衡中，年中业绩较好的经理人在今年剩余时间内持有风险资产的概率高于年中业绩较差的经理人。如果流入赢家基金的现金流量取决于其成功程度，获胜基金将采取更积极的做法。当PBF合同更加关注相对于基准的相对业绩时，管理者更有可能采取积极的策略。
This paper investigates how performance‐based fee (PBF) contracts affect strategic risk‐taking behaviours of fund managers in an asset management tournament. In the perfect equilibrium, managers with better mid‐year performance will hold the risky asset with a higher probability in the remaining of the year, compared to managers with poorer mid‐year performance. If the volume of the cash flow into the winner fund is contingent on its level of success, the winning fund will take a more aggressive approach. When the PBF contract pays more heed to relative performance against the benchmark, managers are more likely to adopt aggressive strategies.