基金经理的噪声交易行为与其薪酬

从行为金融的角度对基金经理的噪声交易行为及其薪酬中的分红比例问题进行了研究。首先,建立基金经理噪声交易行为的理论模型,进而给定其薪酬的条件模型,分析了不同市场环境下当基金经理进行噪声交易时其分红比例的最优值。结果表明:面对股价的上涨(下跌),若基金经理表现的非常悲观(非常乐观)与保持理性相比,会得到较小(大)的收益(损失);若基金经理表现的乐观(悲观)反倒会比进行理性交易获得更大(小)的收益(损失)。此时,作为委托人,支付给基金经理的分红比例,随股票交易风险、基金经理风险厌恶程度及其机会成本的升高而增加;随股价上涨(下跌)幅度和基金经理能力及乐观(悲观)程度的升高而减少。最后给出仿真计算。

Research on the Noise Trading Behavior and the Income of Investment Fund Manager

This paper discusses the problem that noise trading behavior of investment fund managers and the dividend proportion of their income.First,constructs a noise trading behavior model.Then designs the condition of fund managers' income.The optimized values of fund managers' dividend proportion in different market environment are analyzed.This research concludes: Facing the rise of stock price,the investment fund manager will get fewer(more) returns(lose) than keeping rational if he is very pessimism(very optimism);will get more(fewer) returns(lose) than keeping rational if he keeps optimism(pessimism).So,the dividend proportion paid by the principal should advance by the increasing of stock exchange risk,the risk aversion coefficient and the opportunity cost of fund manager;reduce by the increasing(decreasing) of stock price and the ability of fund manager.Finally,the simulation calculation was given.