代理問題及公司治理對基金經理人未觀察到行為之影響
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2014/08-2015/07
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第一年計畫 本計畫主要探討代理問題對基金經理人未觀察到行為之影響。計畫中所探討之代理問題 包括兩方面: 一為風險轉變，亦即，基金經理人改變投資組合之風險以企圖操控基金報 酬及個人薪酬。二為基金家族偏好，亦即基金家族偏好某些特定類型之旗下基金。本計 畫第一個研究問題為: 當基金經理人的薪酬與基金報酬相對表現連結時，基金經理人在 年中評量為”輸者”相對於”贏者”，其下半年投資組合風險的操控，可能有所不同。 但若再考慮基金經理人間的策略性互動(strategic interaction) ，亦即有無將對手可 能的風險操控策略納入基金經理人的行為決策，則最適風險操控行為可能更為複雜。本 研究即探討風險轉變是否與基金經理人未觀察到行為相關，而該相關性是否會因基金經 理人間的策略性互動而改變。台灣及美國共同基金市場就市場競爭性及基金經理人人數 均有相當大的不同，進而可用於探討該主題。本計畫第二個研究問題為:不平均分配“hot” IPOs (基金家族偏好的代理變數)是否與基金經理人未觀察到行為相關，而該相關性是否 會因美國或台灣市場而有所不同。 第二年計畫 本計畫首先比較國外基金家族在台分公司所發行之基金、與該國外基金家族在美國之 相類似基金，其報酬、收費、投資組合、及基金經理人進行〝未觀察到行為〞(unobserved action)之不同情況。再者，美國個別基金均有各自的董事會，證管會的法規並有包括 獨立董事長及獨立董事比例的要求。而在台灣，受益人會議為證券投資信託基金之最 高決策機構，個別基金並無各自的董事會，且無獨立董事比例的要求。因此本計畫將 探討基金經理人未觀察到行為與公司治理相關問題，並比較美國及台灣之差異。
The First Year The main purpose of this proposal is to examine the impacts of agency issues on fund manager’s unobserved actions by employing a sample of mutual funds in both the U.S. and Taiwan. Two agency issues are considered: one is risk shifting, in which fund managers change their portfolio risk levels to manipulate fund performance as well as compensation. The other agency issue is favoritism prevalent at the fund family level, in which fund families promote funds selectively. This proposal asks the following two research questions. First, when fund manager’s compensation is linked to relative performance, fund managers who are likely to end up as "losers" will manipulate fund risk differently than those managers who are likely to be “winners." However, the optimal behavior of fund managers who take strategic interaction between fund managers into accounts is different from the optimal behavior of fund managers who do not consider the behavior of other managers (Taylor, 2003). Hence this proposal examines whether risk shifting can contribute to the unobserved actions of fund managers, and whether this relationship can be reinforced/mitigated when strategic interaction between fund managers is taken into accounts. Since the levels of market competition and size of fund managers across the U.S. and Taiwan are quite different, these two markets provide an ideal comparison when we examine the strategic interaction in segment tournaments. Second, this proposal examines whether unequal allocation of “hot” IPOs, proxy for family favoritism, can contribute to the unobserved actions of fund managers, and whether the relation is different across the U.S. and Taiwan. The Second Year The second year of this proposal is to compare the mutual funds in the U.S. with the mutual funds in Taiwan by employing a sample of mutual funds sponsored by the same fund families across the U.S. and Taiwan. The differences in fees, performance, portfolio holdings, and unobserved actions of fund managers across these two markets will be investigated. Furthermore, funds under the same fund family should have similar approaches for how investment analysis is conducted, how performance is evaluated, and how internal reputations are created. Hence for funds under the same fund family, any differences in manager’s unobserved actions in the U.S. and Taiwan could largely attribute to the differences in organizational and fund governance structure across the counties. In particular, in the U.S., each fund has a separate, legally empowered board. By law, the board represents shareholders and must renegotiate the contracts with various service providers each year. The SEC in the U.S. tends to increase the effectiveness of fund governance structure by adopting amendments to rules under the Investment Company Act of 1940 in 2004, and requires that chairman of a fund should be independent and that independent directors should constitute at least 75 percent of a mutual fund board. Therefore, independent directors are required to serve as “watchdogs” to look out for shareholder interests. To the opposite of a fund in the U.S., a fund in Taiwan does not have a direct, separate, and legally empowered board. Therefore the main research question in the second year of this proposal is to ask: whether the differences in fund governance structure across the U.S. and Taiwan can influence the unobserved actions of fund managers in the U.S. and Taiwan markets, when the fund family factor is controlled for.
The First Year The main purpose of this proposal is to examine the impacts of agency issues on fund manager’s unobserved actions by employing a sample of mutual funds in both the U.S. and Taiwan. Two agency issues are considered: one is risk shifting, in which fund managers change their portfolio risk levels to manipulate fund performance as well as compensation. The other agency issue is favoritism prevalent at the fund family level, in which fund families promote funds selectively. This proposal asks the following two research questions. First, when fund manager’s compensation is linked to relative performance, fund managers who are likely to end up as "losers" will manipulate fund risk differently than those managers who are likely to be “winners." However, the optimal behavior of fund managers who take strategic interaction between fund managers into accounts is different from the optimal behavior of fund managers who do not consider the behavior of other managers (Taylor, 2003). Hence this proposal examines whether risk shifting can contribute to the unobserved actions of fund managers, and whether this relationship can be reinforced/mitigated when strategic interaction between fund managers is taken into accounts. Since the levels of market competition and size of fund managers across the U.S. and Taiwan are quite different, these two markets provide an ideal comparison when we examine the strategic interaction in segment tournaments. Second, this proposal examines whether unequal allocation of “hot” IPOs, proxy for family favoritism, can contribute to the unobserved actions of fund managers, and whether the relation is different across the U.S. and Taiwan. The Second Year The second year of this proposal is to compare the mutual funds in the U.S. with the mutual funds in Taiwan by employing a sample of mutual funds sponsored by the same fund families across the U.S. and Taiwan. The differences in fees, performance, portfolio holdings, and unobserved actions of fund managers across these two markets will be investigated. Furthermore, funds under the same fund family should have similar approaches for how investment analysis is conducted, how performance is evaluated, and how internal reputations are created. Hence for funds under the same fund family, any differences in manager’s unobserved actions in the U.S. and Taiwan could largely attribute to the differences in organizational and fund governance structure across the counties. In particular, in the U.S., each fund has a separate, legally empowered board. By law, the board represents shareholders and must renegotiate the contracts with various service providers each year. The SEC in the U.S. tends to increase the effectiveness of fund governance structure by adopting amendments to rules under the Investment Company Act of 1940 in 2004, and requires that chairman of a fund should be independent and that independent directors should constitute at least 75 percent of a mutual fund board. Therefore, independent directors are required to serve as “watchdogs” to look out for shareholder interests. To the opposite of a fund in the U.S., a fund in Taiwan does not have a direct, separate, and legally empowered board. Therefore the main research question in the second year of this proposal is to ask: whether the differences in fund governance structure across the U.S. and Taiwan can influence the unobserved actions of fund managers in the U.S. and Taiwan markets, when the fund family factor is controlled for.