學(xué)術(shù)講座：Does Mutual Fund Working Experience Affect Private Fund Performance?

金融學(xué)院SBF論壇2019年第8講

 

講座題目：Does Mutual Fund Working Experience Affect Private Fund Performance?

時(shí)間：2019年4月23日12:20-13:30

地點(diǎn)：博學(xué)樓925

主講人： 吳鍇

主講人簡(jiǎn)介：

吳鍇博士，現(xiàn)任中央財(cái)經(jīng)大學(xué)金融學(xué)院助理教授。他在康奈爾大學(xué)獲得金融學(xué)碩士和博士學(xué)位。他的研究興趣包括公司金融、機(jī)構(gòu)投資者、資產(chǎn)管理和基金等。

其研究成果發(fā)表在Journal of Futures Markets，金融研究等國(guó)內(nèi)外知名雜志。并曾在亞洲金融學(xué)年會(huì)、SFS Cavalcade North America和美國(guó)中西部金融學(xué)會(huì)年會(huì)等學(xué)術(shù)會(huì)議上做學(xué)術(shù)報(bào)告

講座內(nèi)容簡(jiǎn)介：

We evaluate how prior mutual fund working experience affects private fund managers' performance. Using a novel Chinese private fund database from 2012 to 2016, we document significantly lower excess returns and higher left-tail risks for private fund managers with prior mutual fund working experience. Such effect is concentrated in switched managers with lower performance ranks in mutual funds. Additionally, the underperformance is attributable to reduced research support, change in investment styles, and deteriorated market timing skills, while incentive schemes help alleviate such underperformance. Our findings demonstrate the key role of industry-specific human capital in the asset management industry.

本文評(píng)估了共同基金工作經(jīng)驗(yàn)對(duì)私募基金經(jīng)理業(yè)績(jī)的影響。利用一個(gè)2012年到2016年中國(guó)私募基金的數(shù)據(jù)庫(kù)，本文發(fā)現(xiàn)具有共同基金工作經(jīng)驗(yàn)的私募基金經(jīng)理有顯著更低的超額回報(bào)和更高的左尾風(fēng)險(xiǎn)。這種效應(yīng)集中在之前公募基金業(yè)績(jī)排名較低的基金經(jīng)理上。此外，業(yè)績(jī)不佳可以歸因?yàn)檠芯恐С值臏p少、投資風(fēng)格的變化以及惡化的擇時(shí)能力。但激勵(lì)計(jì)劃有助于改善此類(lèi)業(yè)績(jī)不佳。本文的發(fā)現(xiàn)顯示了行業(yè)特定的人力資本在資產(chǎn)管理行業(yè)中的關(guān)鍵作用。