基金经理是否因承担周期性风险而获得回报？

IF 2.1 2区经济学 Q2 BUSINESS, FINANCE

Journal of Financial Markets Pub Date : 2024-03-01 DOI:10.1016/j.finmar.2024.100893

Ellen Ryan

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引用次数: 0

摘要

投资基金部门自 2008 年以来急剧扩张，增加了其风险承担产生负面溢出效应的能力。本文提供了实证证据，证明投资基金行业存在广泛的风险承担动机，尤其关注可能产生系统性风险影响的同步周期性风险承担动机。投资者对周期性风险承担所带来的回报的积极反应，以及基金回报与基金流量之间的非线性关系，都会产生激励机制。市场纪律可能不足以确保管理者的审慎行为，这一事实为宏观审慎监管干预提供了明确的理由。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Are fund managers rewarded for taking cyclical risks?

The investment fund sector has expanded dramatically since 2008, increasing the capacity for its risk-taking to generate negative spillovers. This paper provides empirical evidence for the existence of wide-spread risk-taking incentives in the investment fund sector, with a particular focus on incentives for synchronized, cyclical risk-taking which could have systemic risk implications. Incentives arise from the positive response of investors to returns achieved through cyclical risk-taking and non-linearities in the relationship between fund returns and fund flows. The fact that market discipline may not be sufficient to ensure prudent behavior among managers creates a clear case for macroprudential regulatory intervention.

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来源期刊

Journal of Financial Markets BUSINESS, FINANCE-

CiteScore

3.40

自引率

3.60%

发文量

期刊介绍： The Journal of Financial Markets publishes high quality original research on applied and theoretical issues related to securities trading and pricing. Area of coverage includes the analysis and design of trading mechanisms, optimal order placement strategies, the role of information in securities markets, financial intermediation as it relates to securities investments - for example, the structure of brokerage and mutual fund industries, and analyses of short and long run horizon price behaviour. The journal strives to maintain a balance between theoretical and empirical work, and aims to provide prompt and constructive reviews to paper submitters.