Implied measures of relative fund performance

We evaluate the relative performance of funds by conditioning their returns on the cross-section of portfolio characteristics across fund managers. Our implied procedure circumvents the need to specify benchmark returns or peer funds. Instead, fund-specific benchmarks for measuring selection and market timing ability are constructed. This technique is robust to herding as well as window dressing and mitigates survivorship bias. Empirically, the conditional information contained in portfolio weights defined by industry sectors, assets, and geographical regions is important to the assessment of fund management. For each set of portfolio characteristics, we identify funds with success at either selecting securities or timing-the-market.

Peer firms in relative performance evaluation

Relative performance evaluation (RPE) in chief executive officer (CEO) compensation provides insurance against external shocks and yields a more informative measure of CEO actions. I argue that empirical evidence on the use of RPE is mixed because previous studies rely on a misspecified peer group. External shocks and flexibility in responding to the shocks are functions of, for example, the firm's technology, the complexity of the organization, and the ability to access external credit, which depend on firm size. When peers are composed of similar industry-size firms, evidence is consistent with the use of RPE in CEO compensation.     

Tax incentives for inefficient executive pay and reward for luck

I study the economic consequences of tax deductibility limits on salaries for the design of incentive contracts. The analysis is based on an agency model in which the firm’s cash flow is a function of the agent’s effort and an observable random factor beyond the agent’s control. According to my analysis, limiting the tax deductibility of fixed wages has two consequences. The principal rewards the agent on the basis of the observable random factor and adjusts the amount of performance-based pay in the optimal incentive contract. The new contract can have weaker or stronger work incentives than without the tax. The theoretical findings have implications for empirical compensation research. First, the analysis shows that reward for luck can be the optimal response to recent tax law changes, whereas earlier empirical literature has attributed this phenomenon to managerial entrenchment. Second, I demonstrate that a simple regression analysis that fails to control for separable measures of luck is likely to find an increased pay for performance sensitivity as a response to the introduction of tax deductibility limits on salaries even if the pay for performance sensitivity has actually declined.     

Linking environmental uncertainty to non-financial performance measures and performance: a research note

Several previous research studies have reported mixed results concerning the direct association between non-financial performance measures and performance. The presence of environmental uncertainty on this relationship has not been established. This paper makes a contribution to this area by proposing that it is in conditions of environmental uncertainty that non-financial measures are most useful in improving organizational performance. It analyses empirical data from a sample of New Zealand manufacturing organizations to test the hypothesis that non-financial measures of performance would lead to improved organizational performance under conditions of increased environmental uncertainty. Multiple regression analysis of the data suggests that performance should be a declining function of the size of the ‘mismatch’ between an organization's environment and use of the different combinations of non-financial performance measures. Further, the paper concludes that prior mixed results may be attributed to the omission of environmental uncertainty.     

相对业绩差距评估对基金经理风险承担的激励研究

基金经理在选择投资组合风险时,不仅会考虑基金的业绩排名,同时会考虑基金业绩之间的差距,由此提出了业绩差距排名,并提出了新的实证方法,即线性回归的方法来研究业绩差距排名对基金经理风险承担的影响,同时验证了BHS结论在中国基金市场中的适用性。结果表明BHS结论在中国基金市场中是不成立的,同时表明在中国基金市场中基金经理具有相对业绩排名目标,但此相对业绩排名是本文中所提出的业绩差距排名,此结论可以为监管部门规范基金投资行为以及为投资者选择基金提供参考。     

新绩效预算理论在高校预算中的运用

传统的绩效预算强调预算支出所导致的产出,新绩效预算则关注支出的最终结果。高校预算管理工作应以目标管理和部门预算为支柱,以畅通的信息传导与反馈渠道为保障,以协调发展的内生制度与外生制度为条件,构建效益分析框架和绩效预算管理的运行模式。