共同基金經理人在獎酬誘因與雇用誘因下之風險調整行為探討

Abstract

本研究主要探討共同基金經理人在獎酬誘因與雇用誘因下，其所做的風險調整行為。研究樣本採用台灣國內股票型基金自2000年1月至2009年12月，共120個月之基金月持股明細與個股投資比率。 過去文獻大多著墨在獎酬誘因影響經理人風險操作上，而忽略空頭時期經理人可能遭到解雇的威脅。本研究因此區分多頭時期與空頭時期，檢視台灣國內股票型基金是否亦同樣在不同時期下受到不同誘因影響。並且進一步探究經理人在遭遇風險突襲下，其調整行為之變化。主要研究結果如下： 一、 多頭時期，台灣國內股票型基金經理人確實受到獎酬誘因影響較大。上半年度績效落後的輸家將在下半年度增加風險操作，以期在期末有較高的年終績效分配；反之，贏家經理人則減碼操作，以鎖住獲利為主要目標。 二、 空頭時期，雇用誘因在台灣實證未見顯著之結果，上半年為輸家之經理人在下半年並沒有相對減少投資風險，而贏家經理人亦無相對增加投資風險。 三、 誘因強度與大盤報酬率無明顯的連動關係，唯隨著大盤報酬率越高，獎酬誘因效果有減弱之現象。 四、 經理人在面對來自前一年度超出預期的風險突襲時，將在下半年減少投資風險，以平衡整體投資風險。 五、 無論是在多頭或空頭時期下，輸家經理人在風險調整後其績效表現依舊不如贏家經理人，形成一種「強者恆強，弱者恆弱」之現象。

This paper studies the influence on managerial risk taking of incentives due to compensation and employment risk within Taiwan domestic equity mutual funds from 2000 to 2009. Empirical investigation of the risk taking behavior of mutual fund managers indicates that managerial risk taking crucially depends on the compensation incentive but not employment incentive. When compensation incentive is more important than employment incentive, fund managers with a poor midyear performance tend to increase risk relative to leading managers to catch up with the midyear winners. However, when compensation incentive is low, employment incentive become more relevant, the Taiwan results do not find the decreasing risk taking among midyear losers. This paper also shows that fund managers react strongly to risk surprises. Most of fund managers are subject to risk limits. Fund managers will counterbalance risk surprises if they face a higher than expected risk realization; they do not react upon unexpectedly low risk. This indicates that risk limits play an important role in fund managers’ risk taking behavior.