The 352th Wenlan Financial Forum

Abstract：

Against the backdrop of tournament competition in the fund industry, can funds that adopt maverick investment strategies gain opportunities to outperform? This paper constructs a theoretical model of fund manager games to demonstrate the motivations and outcomes of fund managers' choices of maverick behavior. The model's findings show that under the fund tournament mechanism, the greater the peer pressure faced by funds, the more inclined they are to act in a maverick manner. Key factors influencing this mechanism include fund managers' risk aversion levels, market volatility, and market conditions. More maverick funds exhibit higher degrees of active management and tracking errors. Using data from China's fund market, this paper empirically verifies the above conclusions. Additionally, investment portfolios constructed from the unique top holdings of maverick funds yield significant excess returns, indicating that these unique top holdings indeed have investment value. This research further enriches the literature on fund tournaments and peer pressure in the fund industry, deepens the understanding of fund managers' behavior, and holds practical significance for improving the institutional framework of the fund market.

Speaker Introduction：

Ji Shen currently serves as an associate professor in the Department of Finance at Guanghua School of Management, Peking University. He obtained his Ph.D. in finance from the London School of Economics and Political Science. His main research areas include asset pricing theory in frictional financial markets, corporate finance, financial markets, and the digital economy. In recent years, he has published multiple papers in journals such as Economic Research Journal, Journal of Financial Research, World Economy, Review of Financial Studies, and Management Science.