科研之友
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摘要
Fund managers in delegated portfolio management face asymmetries in their compensation contracts and in the fund flows contingent on their funds' performance relative to a benchmark. In this study we investigate the impacts of contract asymmetry and fund flow asymmetry on the risk-taking behavior of open-end funds whose delegation contracts are performance based, and show that their impacts are opposite. When the two asymmetries apply simultaneously, the impact of one on the fund's risk-taking alleviates the impact of the other. Raising the return-sharing ratio cannot make the manager take more risk, but increasing the cash flow volume can. We also show that the tracking-error variance can measure the degree of risk that the fund takes.
