بررسی انگیزه‌های تغییر ریسک مدیران صندوق‌های سرمایه‌گذاری مشترک در بازارهای صعودی و نزولی و تأثیر آن بر بازدهی

نوع مقاله : مقاله پژوهشی

نویسندگان

1 استاد گروه مدیریت مالی و بیمه، دانشکده مدیریت و حسابداری، دانشگاه تهران، تهران، ایران

2 کارشناس ارشد مدیریت مالی دانشگاه البرز، قزوین، ایران

3 کارشناس ارشد اقتصاد دانشگاه آزاد اسلامی قزوین، قزوین، ایران

10.22051/jfm.2019.24725.1985

چکیده

انگیزه‌های مدیران صندوق‌ها و توانایی‌های برتر آن‌ها در سرمایه‌گذاری و مدیریت آن، دو توضیح برای تغییرات ریسک صندوق‌های سرمایه‌گذاری مشترک در شرایط مختلف بازار است. در این پژوهش بر همین اساس از طریق تحلیل 21 صندوق سرمایه‌گذاری مشترک در سهام برای دوره 79 ماهه از شهریور 1390 تا اسفند 1396 با استفاده از روش حداقل مربعات، به بررسی انگیزه‌های تغییر ریسک مدیران صندوق‌های سرمایه‌گذاری مشترک در سهام و تأثیر آن بر بازدهی پرداخته‌ایم. نتایج پژوهش حاکی از آن است که در بازارهای صعودی بین صندوق‌های بازنده انگیزه‌ی جبران سازی خسارت وجود دارد به‌طوری‌که مدیران این صندوق‌ها با افزایش سطح ریسک موجب افزایش بازدهی دوره آتی صندوق‌ها می‌شوند. در مقابل، مدیران صندوق‌های برنده با استفاده از مهارت‌های برتر در سرمایه‌گذاری، ریسک صندوق را کاهش داده و باعث افزایش بازده دوره‌ی آتی می‌شوند.
طبق نتایج، در بازارهای نزولی مدیران با افزایش ریسک صندوق باعث کاهش بازده دوره آتی خواهند شد که نشان دهنده ضعف سازمانی و یا ضعف مهارت مدیران در سرمایه‌گذاری است. در مقابل مدیرانی که سطح ریسک صندوق را کاهش می دهند در صدد افزایش بازده دوره آتی صندوق هستند که بیانگر انگیزه‌ی نگرانی‌های شغلی مدیران است.

کلیدواژه‌ها

عنوان مقاله [English]

Investigating Motivations Risk shift Mutual Funds Managers in Bullish and Bearish Market And its Impact on Return

نویسندگان [English]

  • Reza Tehrani 1
  • Jamshid Bigdelo 2
  • Milad Erfani 3
1 Professor, Department of Financial Management and Insurance, Faculty of Management and Accounting, Tehran University, Tehran, Iran
2 Master of Financial Management, Alborz University, Qazvin, Iran
3 Master of Science in Economics, Qazvin Islamic azad university, Qazvin, Iran
چکیده [English]

The incentives of fund managers and their superior capabilities in order to invest and manage them are two explanations for the risk changes of joint venture funds in different market conditions. To this end, in this research, through the analysis of 21 mutual funds in stock for the period of 79 months from August 2011 to March 2018, using the least squares method, we examine the incentives for risk managers of mutual funds in the stock and its effect on return on investment. The results of the research show that in the bull markets, there is a motivation to compensate for losses, as managers of these funds increase the level of risk in the future, Causing increase the returns of the funds Future period. Against the managers of winning funds, using the exhibit superior investment ability, reduce the risk of fund and increase the returns of the Future period.

According to the results, In bearish markets, managers will reduce their future returns by increasing the risk of the fund, which reflects the organizational weakness or weakness of the managers' skills in investing. In contrast managers who reduce the risk level of the fund seek to increase the return on the fund's future period, which is motivated by the managers' career concerns.

کلیدواژه‌ها [English]

  • Compensation incentives
  • Career concerns
  • Risk shifting
  • Managerial Skills
  • Bullish and bearish Market

مراجع

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راهبرد مدیریت مالی
دوره 12، شماره 1 - شماره پیاپی 44
فروردین 1403
صفحه 139-160

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سابقه مقاله

  • تاریخ دریافت: 27 بهمن 1401
  • تاریخ بازنگری: 12 مهر 1401
  • تاریخ پذیرش: 05 اسفند 1402

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