Incentives and Mutual Fund Performance: Higher Performance or Just Higher Risk Taking?
研究合同激励对共同基金业绩的影响，发现高激励合同促使经理承担更多风险，但基金风险调整后收益更高且持续，前五分之一基金年超额收益2.70%。
We study the impact of contractual incentives on the performance of mutual funds. We find that high-incentive contracts induce managers to take more risk and reduce the funds' probability of survival. Yet, funds with high-incentive contracts deliver higher risk-adjusted return, and the superior performance remains persistent. The top incentive quintile of funds outperforms the bottom quintile by 2.70% per year. Moreover, high-incentive winner funds from one year have a positive alpha of 0.41% per month in the following year. Focusing on funds' holdings, we show that active portfolio rebalancing is the main channel through which incentives increase performance. The Author 2008. Published by Oxford University Press on behalf of The Society for Financial Studies. All rights reserved. For Permissions, please e-mail: journals.permissions@oxfordjournals.org, Oxford University Press.