封闭式证券投资基金治理结构对基金绩效影响的研究

发布时间：2018-01-08 03:32

本文关键词：封闭式证券投资基金治理结构对基金绩效影响的研究　出处：《上海社会科学院》2013年硕士论文　论文类型：学位论文

【摘要】：本文首先从理论上分析基金的委托-代理关系。由于信息的不对称性,基金投资者和管理者之间存在广泛的委托-代理问题——道德风险和逆向选择。基金合同是事前合同,是不完全契约,合同无法就基金相关事由进行事前完全约定。不完全契约理论认为,剩余索取权和剩余控制权统一于所有权,根据剩余控制权的安排就能推出剩余索取权的安排。在证券投资基金中,对“剩余控制权”进行分配的关键在于设计出与委托代理合同相匹配的治理结构,在主要利益相关者一一股东、董事和经理之间分配剩余控制权,同时分配相应的剩余索取权。我国的证券投资基金均为契约性基金。在股权结构上,国内不同基金中前十大持有人比例、机构投资者持有比例差异很大。在董事会结构上,多数基金管理公司董事会人数大于国外研究之董事会最佳人数,独立董事比例远小于国外基金公司独立董事比例,国内普遍存在管理公司总经理兼任董事会成员的现象。在管理层激励上,国内不存在有效的激励机制。笔者使用夏普指数、基金的年度净资产费用率作为被解释变量、前十大股东持股比例、机构投资者持股比例、董事会人数、独立董事比例、基金管理公司中总经理兼职问题作为解释变量、基金年底资产净值和基金成立时间作为控制变量,选择2007-2011年持续存在的封闭式基金的数据,使用面板数据进行实证检验。最后论证了以下结论：基金年度净资产费用率随基金前十大股东持有基金份额上升而降低；基金年度净资产费用率随机构投资者持有基金比例上升而下降；基金夏普指数随基金独立董事占董事会比例的上升而提高；基金管理公司总经理在董事会中地位越高,基金夏普指数越低；基金管理公司董事会的人数与基金年度净资产费用呈现倒U型二次曲线关系,以基金的净资产费用率来考量,存在一个最优的董事会规模,为8人。
[Abstract]:This paper first analyzes the fund's principal-agent relationship in theory. Because of information asymmetry, extensive principal-agent problems -- adverse selection and moral hazard between fund investors and fund managers. The contract is the contract in advance, is the incomplete contract, the contract can not be agreed beforehand completely fund related subject. That is not completely the contract theory, the residual rights of control are unified in the ownership, according to the residual control rights arrangement will be able to launch the arrangement of the residual claims. In the securities investment fund, the "residual control rights" distribution is key to governance structure design and agency contract, the main stakeholders in all shareholders right, the distribution of residual control between directors and managers, and distribution of the residual claim.
China's securities investment funds are contractual fund. In the equity structure, the top ten holders of different proportion of domestic funds, the proportion of institutional investors holding great differences. In the structure of the board of directors, the majority of the directors of fund management companies will more than the number of directors will be the best number of study abroad, the proportion of independent directors is far less than that of independent directors the proportion of foreign fund companies, domestic common general manager concurrently a member of the board of directors of the phenomenon. In management incentives, there is no domestic effective incentive mechanism.
I use the SHARP index, the net assets fund cost rate as explanatory variables, the proportion of top ten shareholders, the shareholding of institutional investors, the number of directors, the proportion of independent directors, the general manager of the fund management company part-time as explanatory variables, the fund net assets at the end of the year and the fund set up time as control variables, select closed the fund over the period of 2007-2011 data, an empirical test using panel data. Finally it proves the following conclusions: the net asset cost rate with the fund fund annual top ten shareholders hold fund shares rise and reduce costs; net assets fund annual rate with institutional investors hold the fund proportion decreased; with the SHARP index fund fund independent directors of board of directors and improve the proportion of the rise; general manager of the fund management company position in the board of directors is higher, more SHARP Index Fund The number of the board of directors of the fund management company and the annual net asset cost of the fund show an inverted U two degree curve relationship. Considering the fund's net asset cost ratio, there is an optimal board size of 8 people.

【学位授予单位】：上海社会科学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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