基金經理人風險調整行為之研究－展望理論觀點

Fund Managers' Risk Adjustment Behavior: The Viewpoint of Prospect Theory

10.6545/JFS.2011.19(1).2

李春安(Chun-An Li)；陳輝格(Hui-Ko Chen)；林慶章(Chin-Chang Lin)

升遷制度 ； 過度自信 ； 展望理論 ； 自利性風險調整行為 ； Promotion system ； Overconfidence ； Prospect theory ； Self-interest risk adjustment behavior

財務金融學刊

19卷1期（2011 / 03 / 31）

33 - 62

繁體中文

本文利用展望理論觀點，架構理論模型以探討過度自信與升遷制度對基金經理人風險調整行為的影響。研究結果顯示，當投入成本愈大，在相對利得的情境下，基金經理人會趨於保守，在相對損失的情境下，則是趨於投機。升遷制度的考量會使具相對利得的基金經理人更投機，使具相對損失的基金經理人更保守。只有在相對利得情境下，過度自信的基金經理人才會選擇比較高風險水準的投資組合，在相對損失的情境下，過度自信的基金經理人選擇比較低風險水準的投資組合。本研究的結果意味著，雖然升遷制度與過度自信心理都會影響基金經理人的投資組合風險調整行為，但真正的關鍵則是在於基金經理人為相對贏家或是相對輸家的心理情境，在成為相對贏家或相對輸家之後，基金經理人很可能就會有自利性的風險調整行為。

This paper develops a model from the viewpoint of ＂Prospect Theory＂ and uses it to investigate the relationship among fund managers' overconfidence, promotion system and their risk adjustment behavior. Our results describe as follows. Fund managers will be conservative while under relative gain situation, and becoming speculative while under relative loss situation. The consideration of promotion system will let fund managers more speculative while under relative gain situation, and more conservative while under relative loss situation. The demonstration shows that when considering the mind of overconfidence, fund managers may increase their portfolio risk under relative gain situation; fund managers instead decrease their portfolio risk under relative loss situation. It means that promotion system and overconfidence both can affect fund managers' portfolio risk choice, the key point is fund managers is relative winner or loser. Overall, our results suggest that only fund managers become relative winner or loser could they reveal self-interest risk adjustment behavior.

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