進階搜尋


 
系統識別號 U0026-0812200911495505
論文名稱(中文) 基金管理之不確定性與投資行為: 探討基金經理人之生涯規劃、競賽與從眾行為
論文名稱(英文) Uncertainty and Investment in Fund Management: Special Topics on Career Concerns, Tournament and Herding Behavior
校院名稱 成功大學
系所名稱(中) 企業管理學系碩博士班
系所名稱(英) Department of Business Administration
學年度 94
學期 1
出版年 95
研究生(中文) 黃清滿
研究生(英文) Ching-mann Huang
學號 R4890107
學位類別 博士
語文別 英文
論文頁數 66頁
口試委員 指導教授-胡聯國
指導教授-康信鴻
召集委員-廖四郎
口試委員-江明憲
口試委員-莊雙喜
口試委員-李宏志
中文關鍵字 競賽  從眾行為  展望理論  基金經理人  生涯規劃  心理帳戶 
英文關鍵字 Herding Behavior  Tournament  Prospect Theory  Fund Managers  Career Concerns  Mental Account. 
學科別分類
中文摘要   近十年來,共同基金的家數如雨後春筍般快速增加,基金管理為相當龐大的產業,其內容包含資金投資決策、基金經理人之獎賞與為數眾多的投資人之管理。在共同基金產業裡,基金經理人彼此競爭以吸引潛在的投資人出資,為吸引此龐大資金投入基金裡,各個基金經理人莫不全力以赴來展現其優越的績效,以獲得源源不絕的資金投入。本論文的目的即從生涯規劃(career concerns)與獎賞機制(compensation scheme)、競賽(tournament)及從眾行為(herding behavior)等三方面,來探討共同基金經理人行為。在本論文的第一部分,吾人以兩期模式,而從基金經理人之生涯規劃觀點,來探討基金經理人之獎賞機制,特別強調基金經理人在第一期良好績效會吸引資金投入,而使得第二期基金的規模擴大,即所謂的規模效果(scale effect),相對地,基金經理人的報酬會因基金規模擴大而提高,進而對基金經理人的努力產生加乘作用。因此,如果基金經理人第一期較努力,則相對地績效也會較佳,此較佳的績效會進而影響到第二期的努力程度。

  本論文的第二部分,吾人探討能力的差異如何影響兩位基金經理人之風險決策行為,及後續的努力程度與報酬。吾人顯示:當兩家基金的資金流入量差距擴大時,則會促使基金經理人更加努力;另外,在基金經理人之風險選擇方面,如果能力較低的經理人意識到其能力的差距與對手不大時,則她會採取高風險策略以提高贏取此競賽的機率;相反地,如果能力較低的經理人知道其能力的差距與對手很大時,則採取低風險策略對她而言是較佳的策略。

  本論文的第三部分,吾人探討前期投資損益如何影響基金經理人的從眾行為。在考慮基金經理人的心理帳戶(mental account)後,吾人檢視基金經理人是否會揚棄她的私有資訊,進而跟隨他人而形成從眾行為。吾人發現:當基金經理人前期沒有賺錢也沒有賠錢或有賺錢時,擁有私有資訊的基金經理人不會產生從眾行為,因為擁有私有資訊的基金經理人比無私有資訊的基金經理人有較佳之績效。但當基金經理人前期賠錢時,則擁有私有資訊的基金經理人就會產生從眾行為,因為基金經理人對賠錢的心理感受比贏錢者要來得強烈,而且基金經理人害怕本期再輸錢,因此,前期賠錢的基金經理人較容易形成從眾行為。
英文摘要  The mutual fund industry has grown at a fast rate over the last decade. The fund management is a huge industry involving enormous investments and fund managers and numerous investors. In mutual fund industry, fund managers compete to attract potential investors to invest into capitals. This large inflow makes it very important for fund managers to improve their performances and make their funds attractive for new capital inflow. The purposes of this dissertation explore three categories about the behavior of mutual fund managers: career concerns and compensation design, tournament, and herding behavior. In the first part of this dissertation, we address the design of optimal compensation scheme for the fund manager with considering career concerns. We stress the scale effect of the first-period performance on the enlargement of the second-period fund size and thereby multiply the performance impact of the second-period effort. Therefore, the more effort the fund manager exerts in the first period, the better the performance she has. Thus, this better
performance will affect her second-period effort.

 In the second part of this dissertation, we examine how the ability difference between two fund mangers affects each fund manager’s risk strategy, the subsequent effort level and compensation package. We show that a larger spread of capital inflows between the two funds will trigger greater manager effort. With regard to a manager’s risk choice, when the low-ability manager acknowledges that her ability is marginally inferior to the rival, the manager might consider adopting a more risky strategy to minimize the ability disadvantage per unit risk and improve chances of winning the tournament. On the contrary, if low-ability manager acknowledges that her ability is significantly inferior to the high-ability manager, it is optimal decision for the low-ability manager to take low-risk strategies.

 In the third part of this dissertation, we analyze where prior investment outcomes will affect fund managers’ herding behavior. After taking account the changing in their mental account, we then examine where fund managers should disregard their private information, and evolve herding behavior. We show that the informed fund manager for the case of prior gains and no gains and losses, the informed fund manager will not herd the uninformed fund manager due to higher values function for the informed fund manager than for the uninformed fund manager. The informed fund manager with prior gains becomes less loss aversion in trading activities, and will not herd the uninformed fund manager either. However, for the informed fund manager with prior losses will discard their private information to herd the uninformed fund manager. This implies that the informed fund manager with prior losses would be more sensitive to reductions in the value of her portfolio than to increases.
論文目次 Chapter 1. Introduction 1

Chapter 2. The Mutual Fund Business 3
2.1 Incentive Fees for Mutual Fund Managers 3
2.2 Performance Incentive Fees Schedules 4
2.3 Implications of Incentive Fees on Manager Behavior 6

Chapter 3. The Compensation Design and Career Concerns 7
3.1 Literature Review 7
3.2 The Model Setup 9
3.3 Determination of Optimal Compensation—Second period 10
3.4 The Impact of First-Period Effort on the Second-Period Contract 14
3.5 Determination of Optimal Compensation—First Period 18
3.6 Summary 21

Chapter 4. The Risk-taking Behavior in Fund Tournaments 21
4.1 Literature Review 21
4.2 The Model of the Fund Tournaments 23
4.3 Determination of Optimal Effort in the Second Stage 24
4.4 The Relation Between Risk-taking and Effort 28
4.5 Determination of Optimal Risk Strategy in the First Stage 30
4.6 Summary 35



Chapter 5. Herding Behavior of Fund Managers 35
5.1 Literature Review 35
5.2 The Model of Herding Behavior with Prospect Theory 38
5.2.1 Constructing Utility Function with Prior Performance 38
5.2.2 Developing Learning Process on Investors 45
5.3 Equilibrium Behavior with Numerical Analysis 47
5.4 Results in Simulation Analysis 49
5.5 Summary 53

Chapter6. Conclusion 54
Appendix 56
References 61
參考文獻 Abdellaoui, M., Parameter-free Elicitation of Utilities and Probability
Weighting Functions, Management Science 46, 1497-1512 (2000).
Allen, F., The Market for Information and the Origin of Financial
Intermediation, Journal of Financial Intermediation 1, 3-30 (1990).
Banerjee, A., A Simple Model of Herd Behavior, Quarterly Journal of Economics
107, 797-817 (1992).
Barberis, N. and A. Shleifer, Style Investing, Journal of Financial Economics
68, 161-199 (2003).
Barberis, N., M. Huang, and T. Santos, Prospect Theory and Asset Prices,
Quarterly Journal of Economics 116, 1-53 (2001).
Barberis, Nicholas, and Richard Thaler, A Survey of Behavioral Finance, NBER
Working Paper 9222 (2002).
Benartzi, S. and R. H. Thaler, Myopic Loss-Aversion and the Equity Premium
Puzzle, Quarterly Journal of Economics 110, 75–92 (1995).
Bergstresser, Daniel, and James Poterba, Do after-tax Returns Affect Mutual
Fund Inflows? Journal of Financial Economics 63, 381–414 (2002).
Berk, Jonathan B., and Richard C. Green, Mutual Fund Flows and Performance in
Rational Markets, Journal of Political Economy 112, 1269-1295 (2004).
Bhattacharya, S. and Pfleiderer, P., Delegated Portfolio Management, Journal of
Economic Theory, 36, 1-25 (1985).
Bikhchandani, S., D. Hirshleifer, and I. Welch, A Theory of Fads, Fashion,
Custom, and Cultural Change as Informational Cascades, Journal of Political
Economy 100, 992-1026 (1992).
Bingley, P., and T. Eriksson, Pay Spread and Skewness, Employee Effort and Firm
Productivity. Working Paper, Aarhus (2001).
Brickley James A., James S. Linck, and Coles L., Jeffrey, What Happens to CEOs
after They Retire? New Evidence on Career Concerns, Horizon Problems, and CEO
Incentives, Journal of Financial Economics 52, 341-377 (1999).
Brown, S., Goetzman, W., Park, J., Careers and Survival: Competition and Risk
in the Hedge Fund CTA Industry, Journal of Finance 56, 1869–1886 (2001).
Brown, Keith C.,W. V. Harlow, and Laura T. Starks, Of Tournaments and
Temptations: Analysis of Managerial Incentives in the Mutual Fund Industry,
Journal of Finance 51, 85-110 (1996).
Bull, C., Schotter, A. and Weigelt, K., Tournaments and Piece Rates: an
experimental study. Journal of Political Economy 95, 1-33 (1987).
Busse, Jeffrey A., Another Look at Mutual Fund Tournaments, Journal of
Financial and Quantitative Analysis 36, 53-73 (2001).
Campbell, John Y., and John H. Cochrane, By Force of Habit: A Consumption-
Based Explanation of Aggregate Stock Market Behavior, Journal of Political
Economy 107, 205–251 (1999).
Carpenter, Jennifer N., Does Option Compensation Increase Managerial Risk
Appetite? Journal of Finance 55, 2311-2331 (2000).
Chevalier, J. A. and G. D. Ellison, Risk Taking by Mutual Funds as a Response
to Incentives, Journal of Political Economy 105, 1167-1200 (1997).
Chevalier, J. A. and G. D. Ellison, Career Concerns of Mutual Fund Managers,
Quarterly Journal of Economics 114, 389-432 (1999).
Clark, D.J. and Riis, C., Contests with More Than One Prize. American Economic
Review 88, 276-289 (1998).
Constantinides, George, Habit Formation: A Resolution of the Equity Premium
Puzzle, Journal of Political Economy 98, 519–543 (1990).
Constantinides, George, and Darrell Duffie, Asset Pricing with Heterogeneous
Consumers, Journal of Political Economy 104, 219–240 (1996).
DeGroot, M., Optimal Statistical Decisions, McGraw-Hill, New York (1970).
Del Guercio, D., 1996, The Distorting Effect of the Prudent-man Laws on
Institutional Equity Investment, Journal of Financial Economics 40, 31-62.
Del Guercio, Diane and Tkac, Paula, The Determinants of the Flow of Funds of
Managed Portfolios: Mutual Funds versus Pension Funds, Federal Reserve Bank
of Atlanta, Unpublished Manuscript (2000).
Dewatripont, M., Renegotiation and Information Revelation over Time: The Case
of Optimal Labor Contracts. Quarterly Journal of Economics 104, 589-619
(1989).
Dreman, D., Contrarian Investment Strategy: The Psychology of Stock Market
Success, Random House, N.Y. (1979).
Eriksson, T., Executive Compensation and Tournament Theory Empirical Tests on
Danish Data, Journal of Labor Economics 17, 262–280 (1999).
Falkenstein, E.G., Preferences for Stock Characteristics as Revealed by Mutual
Fund Portfolio Holdings, Journal of Finance 51, 111-135 (1996).
Fama, E. F., Agency Problems and the Theory of the Firm, Journal of Political
Economy 83, 288-307 (1980).
Friedman, B.M., A Comment: Stock Prices and Social Dynamics, Brookings Papers
on Economic Activity 2, 504-508 (1984).
Froot, A, Kenneth, David S. Scharfestein, and Jeremy Stein, Herd on the Street:
Informational Inefficiencies in a Market with Short-Term Speculation, Journal
of finance 47, 1461-1484 (1992).
Fudenberg, D., and Tirole, J., Moral Hazard and Renegotiation in Agency
Contracts, Econometrica 58, 1279-1319 (1990).
Fung, W., Hsieh, D., A Primer on Hedge Funds, Journal of Empirical Finance 6,
309–331 (1999).
Gibbons, R. and K. J. Murphy, Optimal Incentive Contracts in the Presence of
Career Concerns: Theory and Evidence, Journal of Political Economy 100, 468-
505 (1992).
Gibbons, R., Incentives in Organizations, Journal of Economic Perspectives 12 ,
115– 132 (1998).
Goetzmann, William, and Nadav Peles, Cognitive Dissonance and Mutual Fund
Investors, Journal of Financial Research 20, 145-158 (1996).
Golec, J. H., Empirical Tests of a Principal-agent Model of the Investor-
Investment Advisor Relationship, Journal of Financial and Quantitative
Analysis 27, 81-95 (1992).
Gompers, P. and A. Metrick, Institutional Investors and Equity Prices,
Quarterly Journal of Economics, 116, 229-260 (2001).
Green, J., and N., Stokey, 1983, A Comparison of Tournaments and Contracts,
Journal of Political Economy 91, 349–364 .
Grinblatt, Mark, Sheridan Titman, and Russ Wermers, Momentum Investment
Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund
Behavior, American Economic Review 85, 1088-1105 (1995).
Gruber, Martin J., Another Puzzle: The Growth in Actively Managed Mutual Funds,
Journal of Finance 51, 783-810 (1996).
Harbring, C. and Irlenbusch, B., 2003, An Experimental Study on Tournament
Design, Labour Economics 10 , 443–464.
Hermalin,B.E. and M. L. Katz, Moral Hazard and Verifiability: The Effects of
Renegotiation in Agency, Econometrica 59, 1735-1753 (1991).
Hirshleifer D., A. Subrahmanyam, and Sheridan Titman, Security Analysis and
Trading Patterns When Some Investors Receive Information Before Others,
Journal of Finance, 49, 1665-1698 (1994).
Hoffler, F, and Sliwka, D., Do New Brooms Sweep Clean? When and Why Dismissing
a Manager Increases the Subordinates’ Performance. European Economic Review
47, 877-890 (2003).
Holmström, B., Managerial Incentive Problems-A Dynamic Perspective, Essays in
Economics and Management in Honor of Lars Wahlbeck (Helsinki: Swedish School
of Economics) (1982).
Hong, H., J.D. Kubik and A. Solomon, Security Analysts’ Career Concerns and
Herding of Earnings Forecasts, RAND Journal of Economics 31, 121-144 (2000).
Huddart, S., Reputation and Performance Fee Effects on Portfolio Choice by
Investment Advisers, Journal of Financial Markets 2, 227-271 (1999).
Hvide, Hans K., Tournament Rewards and Risk Taking, Journal of Labor Economics
20, 876-898 (2002).
Ippolito, R. A., Consumer Reaction to Measures of Poor Quality: Evidence from
the Mutual Fund Industry, Journal of Law and Economics 35, 45-70 (1992).
Jones, S., D. Lee, and E. Weis, Herding and Feedback Trading by Different
Types of Institutions and the Effects on Stock Prices, Working Paper, Indiana
University – Indianapolis Campus, Kennesaw State University, and Merrill
Lynch (1999).
Kahneman, D. and A. Tversky, Prospect Theory: An Analysis of Decision Under
Risk, Econometrica 47, 263–291 (1979).
Kahneman, D., J. Knetsch, and A. Tversky, Experimental Tests of Endowment
Effect and the Coase Theorem, Journal of Political Economy 98, 1325-1348
(1990).
Khorana, Ajay, Top management turnover: an empirical investigation of mutual
fund managers, Journal of Financial Economics 40, 403–426 (1996).
Knoeber, Charles R., and Walter N. Thurman, Testing the Theory of Tournaments:
an Emperical Analysis of Broiler Production, Journal of Labor Economics 12,
155-179 (1994).
Koski, J., and Pontiff, J., How are Derivatives Used? Evidence from the Mutual
Fund Industry. Journal of Finance 54, 791-816 (1999).
Kräkel, Matthias and Dirk Sliwka, Risk Taking in Asymmetric Tournaments,
German Economic Review 5, 103-116 (2004).
Lakonishok, Josef, Andrei Shleifer and Robert W. Vishny, The Impact of
Institutional Trading on Stock Prices, Journal of Financial Economics, 312,
23-43 (1992).
Lazear, E. P. and Rosen, S., Rank Order Tournaments as Optimum Labor Contracts,
Journal of Political Econom 89, 841- 864 (1981).
Lazear, E.P., Personnel Economics Past Lessons and Future Directions—
Presidential Address to the Society of Labor Economists, Journal of Labor
Economics 17, 199–236 (1999).
Lucas, Rober E., Jr., Asset Pricing in Exchange Economy, Econometrics 46, 1429-
1445 (1978).
Lynch, Anthony W., and David K. Musto, How Investors Interpret Past Fund
Returns, Journal of Finance 58 , 2033–2058 (2003).
Ma, A. C. T., Renegotiation and Optimality in Agency Contracts. Review of
Economic Studies 61, 109-129 (1994).
Matthews, S. A., Renegotiation of Sales Contracts, Econometrica 63, 567-589
(1995).
Modigliani, Franco, and Gerald A. Pogue, Alternative Investment Performance Fee
Arrangements and Implications for SEC Regulatory Policy, Bell Journal of
Economics 6, 127–160 (1975).
Nalebuff, B.J. and Stiglitz, J.E., Prizes and Incentives: Towards a General
Theory of Compensation and Competition, Bell Journal of Economics 3, 21-43
(1983).
O’Keefe, M., Viscusi, W.K. and Zeckhauser, R.J., Economic Contests:
Comparative Reward Schemes, Journal of Labor Economics 2, 27-56 (1984).
Palomino, F. and Prat, A., Risk Taking and Optimal Contracts for Money
Managers, Rand Journal of Economics 34 (2003).
Pirinsky, C., Herding and Contrarian Trading of Institutional Investors,
Working Paper, Texas A&M University (2002).
Prendergast, C. and L. Stole, Impetuous Youngsters and Jaded Old-Timers:
Acquiring a Reputation for Learning, Journal of Political Economy 104, 1105-
1134 (1996).
Prendergast, C., The Provision of Incentives in Firms, Journal of Economic
Literature 37, 7– 63 (1999).
Rosen, S., Prizes and Incentives in Elimination Tournaments, American Economic
Review 76, 701-715 (1986).
Scharfstein, D. and J. Stein, Herd Behavior and Investment, American Economic
Review 80, 465-479 (1990).
Sias, Richard, W., Institutional Herding, Review of Financial Studies 17, 165-
206 (2004).
Sirri, Erik R., and Peter Tufano, Costly Search and Mutual Fund Flows, Journal
of Finance 53, 1589–1622 (1998).
Stoughton, N., Moral Hazard and the Portfolio Management Problem, Journal of
Finance, 48, 2009-2028 (1993).
Taylor, Jonathan D., Risk-Taking Behavior in Mutual Fund Tournaments, Journal
of Economic Behavior and Organization 50, 373–383 (2003).
Thaler, Richard H., Toward a Positive Theory of Consumer Choice, Journal of
Economic Behavior and Organization 1, 36-90 (1980).
Thaler, Richard H., and Eric J. Johnson, Gambling with the House Money and
Trying to Break Even: The Effects of Prior Outcomes on Risky Choice,
Management Science 35, 643–660 (1990).
Tversky, Amos and Daniel Kahneman, Advances in Prospect Theory: Cumulative
Representation of Uncertainty, Journal of Risk and Uncertainty 5, 297–323
(1992).
Vives, X., How Fast Do Rational Agents Learn? Review of Economic Studies 60,
329-347 (1993).
Welch, I., Sequential Sales, Learning, and Cascades, Journal of Finance 47, 695-
732 (1992).
Wermers, R., 1999, Mutual Fund Trading and the Impact on Stock Prices, Journal
of Finance, 54, 581-622.
Zwiebel, J., 1995, Corporate Conservatism and Relative Compensation, Journal of
Political Economy 103, 1-25.
論文全文使用權限
  • 同意授權校內瀏覽/列印電子全文服務,於2007-01-24起公開。
  • 同意授權校外瀏覽/列印電子全文服務,於2007-01-24起公開。


  • 如您有疑問,請聯絡圖書館
    聯絡電話:(06)2757575#65773
    聯絡E-mail:etds@email.ncku.edu.tw