【摘要】 报酬激励与解职风险是锦标赛机制的激励来源,对输赢家的风险调整行为存在方向相反的激励作用。而股市表现和股市强度与报酬激励、解职风险的相对强度紧密相关,可以作为锦标赛理论预测的重要外生变量。本文以2006—2012年开放式基金为样本,发现输赢家的预期风险调整因股市表现而不同,其排名-风险调整敏感性与市场强度显著正相关,牛(熊)市特征越强则输(赢)家的预期风险调整越大(小)。基金经理通常面临风险限制,上半期意外风险对预期风险产生负向影响,且该影响还取决于意外风险的偏差方向,基金经理的预期风险调整仅对正的意外风险做出反应。此外,经理任职年限对不同股市表现中的排名与预期风险调整关系也存在交互影响。更多还原

【Abstract】 Compensation incentive and employment risk are the incentive sources for fund managers under tournament.But each has opposite incentive on fund managers’risk adjustments.The performance and strength of stock market is closely related to the relative domination of compensation incentive and employment risk.In this study,using data on open-ended funds in China from 2006—2012,we find that winners’and losers’risk adjustments are different in bull and bear markets,and their intended risk adjustments are positively related to the strength of bear and bull markets.The more bullish or bearish the market is,the winners’(losers’)intended risk adjustments are more(less)pronounced.Unexpected risk in the first half year has inverse influence on fund managers’intended risk adjustments.However,the influence also depends on positive or negative deviation of unexpected risk,and fund managers only make response to positive unexpected risk.更多还原