基金经理运用声誉及信息操纵来获得超额利润的现象频发已严重阻碍了中国证券市场的健康发展,因此明晰其中的博弈演化机理以减少基金经理道德风险的发生具有较高的研究价值。本文通过数理模型从声誉及信息操纵两个维度研究了基金经理持股策略演化博弈过程。研究发现,如果非明星基金经理树立声誉的净收益大于市场平均收益,那么经过长期演化博弈,具有有限理性的明星基金经理选择继续维护声誉策略,非明星基金经理选择建立声誉策略。当强势明星基金经理信息操纵的收益小于信息操纵的成本时,无论外部投资者是否监督,有限理性的强势明星基金经理均会选择如实披露信息的策略。当外部投资者监督的收益小于监督的成本时,外部投资者选择不监督策略;当外部投资者监督的收益大于监督的成本时,外部投资者的策略选择依赖于强势明星基金经理的策略选择,强势明星基金经理选择信息操纵策略的概率越大,外部投资者越可能选择监督策略。
Fund managers use the reputation and information manipulation strategy to obtain excess profits,which has seriously hindered the healthy development of the securities market in China. Hence, it is an worthy region to study the game evolution mechanism in order to reduce the occurrence of fund manager's moral risk. In this paper, the mathematical model of reputation and information manipulation of fund managers strategy evolutionary game process is presented. It is found that, if the net income of non-star-fund-manager establishing reputation is greater than the average market returns, after a long-term evolutionary game, star-fund-manager who have limited rationality will choose the strategy to continue to maintain the reputation, non-star-fund-manager will have strategy to establish the reputation. When a star-fund-manager's earnings by information manipulation is less than the cost of information manipulation, whether the external investors supervise, limited rational powerful star-fund-manager will choose strategy to disclose information. When the profit of external investor's supervision is less than the cost of supervising, external investors will give up supervision strategy. When the benefit of external investors supervision is higher than the supervision cost, external investor's strategy selection relies on powerful star-fund-manager's strategy, the probability that powerful star fund manager selects information manipulating is higher, the more likely that external investors will select the supervision strategy.
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