Fund Performance and Risk Shifting: Evidence from Bank-Affiliated Funds in China

被引：0
|
作者：
Zhang, Haoyue [1 ]
Liu, Siyi [2 ]
Gong, Junan [3 ]
Song, Jiaxun [4 ,5 ]
机构：
[1] Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China
[2] Univ Int Business & Econ, Business Sch, Beijing, Peoples R China
[3] Tsinghua Univ, PBC Sch Finance, Beijing, Peoples R China
[4] Shanghai Maritime Univ, Sch Econ & Management, Shanghai, Peoples R China
[5] Shanghai Maritime Univ, Sch Econ & Management, 1550 Haigang Ave, Shanghai, Peoples R China
来源：
EMERGING MARKETS FINANCE AND TRADE | 2024年 / 60卷 / 03期
基金：
中国国家自然科学基金;
关键词：
Bank-affiliated mutual fund; fund performance; risk shifting; compensation; China; MUTUAL FUNDS; ASSET MANAGEMENT; COMPENSATION; INCENTIVES; RETURNS;
D O I：
10.1080/1540496X.2023.2236286
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Using the China's stock open-end mutual fund data from 2005 to 2020, this paper finds that bank-affiliated funds outperform unaffiliated funds with similar risk shifting levels. We find that risk shifting of bank-affiliated fund managers is more sensitive to previous performance ranking. Coherently, we collect compensation policy data from 62 fund companies, it is shown that the risk shifting behavior is preliminarily related to the motivational compensation policies. Furthermore, our findings also suggest that skilled bank-affiliated managers are prone to aggrandize the portfolio risk shifting levels to pursue future prominent performance.
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页码：478 / 499
页数：22
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