績效誘因費契約的設計對基金經理人調整操作風險行為的影響

A Study of the Impact on the Different Designs of the Performance-Based Incentive Contract to the Mutual Fund Managers' Risk-Adjustment Behavior

10.6295/TAMJ.2003.0301.07

王健安(Chien-An Wang)

績效誘因費契約 ； 自利性風險調整行為 ； 年度競賽 ； 隱含選擇權 ； 上限條款 ； 懲罰條款 ； Performance-Based Incentive Contract ； Risk-Adjustment Behavior ； Call Option ； Contract with Penalties

台灣管理學刊

3卷1期（2003 / 02 / 01）

125 - 149

繁體中文

基金經理人與投資人之間的代理問題源自兩個原因：(1)在資訊不對稱的環境下，投資人無法觀察到經理人投資組合是否真正從投資人利益角度出發，因此引發了基金經理人的道德危險。(2)在競爭激烈的基金產業裏，定期績效評比的年度競賽，特別加重期中累積績效被評估為輸家的經理人，會產生持有一個自利性高風險投資組合的逆誘因選擇。本研究推導「隱含選擇權」的三種不同設計型態之績效誘因費契約，對於抑制基金經理人自利性風險調整行為傾向的效果。結果發現：「當操作績效超越一個適當的比較基準指數時，即可抽取部份比例額外獎酬」的純粹誘因費契約，以及純粹誘因費契約加上「上限條款」的設計，這兩種契約設計的型態都無法抑制基金經理人自利性的風險調整操作行為；但是當純粹誘因費契約加上「懲罰條款」的設計，即可有效抑制基金經理人自利性風險調整的傾向。

In this paper, I analyze the impact on the mutual fund managers' risk-manipulation behavior of a performance-based incentive plan. In a tournament reward structure, the managers' rational attempting to maximize their expected compensation may revise the risk level or alter the composition of their portfolio during the assessment period. While there will be times when such changes don't serve the best interest of funds' investors. In this study, the Black-Scholes option pricing model is used as a framework to analyze the components of a mutual funds' incentive fee. The bonus is similar to a call option on the fund' portfolio. Three types of incentive contracts are compared. The results show that the incentive contract with penalties can reduce managers to adversely alter the risk of the portfolio they manage. It dominates the pure incentive contract and only with a ceiling incentive contract.

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