Journal of Banking & Finance·Vol.78 · MAY 2017

为什么基金经理增加了风险？

作者：HaYeonjeong (Pusan National University). KoKwangsoo (Pusan National University)

摘要：本文考察了基金风险增加与后续现金流量之间的关系。我们试图检验这样的假设，即基金风险的增加实际上增加了股权基金的净流量，这是风险转移的基本假设。我们发现基金风险的变化与基金净流量呈现正的和凸向的关系。风险变化对净流量的影响是其对流入和流出影响的自然结果。本文的实证结果对于不同回报频率、基金年龄和基金规模都是稳健的。我们的调查结果为基金经理风险转移提供了激励，这正如共同基金文献中所记录的。

关键词：风险增加，净流量，流入，流出，代理问题

Why do fund managers increase risk?

HaYeonjeong (Pusan National University). KoKwangsoo (Pusan National University)

ABSTRACT

This paper examines the relationship between the increase in fund risk and subsequent cash flows. We attempt to test the hypothesis that an increase in fund risk actually increases the net flows of equity funds, which is a basic assumption of risk shifting. We find that a change in fund risk has a positive and convex relationship with the fund's net flows. The effect of risk changes on net flows is a natural consequence of its effects on inflows and outflows. This paper's empirical results are robust to return frequency, fund age, and fund size. Our findings create incentives for managers to shift risk as documented in the mutual fund literature.

Keywords: Risk increase, Net flows, Inflows, Outflows, Agency problem

原文链接：

http://www.sciencedirect.com/science/article/pii/S0378426617300262

翻译：贾梦悦