家族共同持股行为对基金公司业绩与风险的影响分析

发布时间：2018-03-21 08:15

本文选题：基金家族　切入点：共同持股行为　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国基金业的发展,基金公司数量和规模也得到迅速的扩大,基金投资行为对证券市场的影响也越来越大。因此,对单只基金和基金家族的投资行为的研究也显得越来越重要。鉴于我国证券市场中基金家族存在较为严重的共同持股行为,且近几年国内这方面的相关研究较为薄弱,因此本文研究了基金家族内部共同持股行为对基金管理公司整体业绩与风险的影响。本文先分析了基金家族共同持股行为产生的原因,并采用Elton等(2007)构建的指标来度量家族内两只基金的共同持股程度。然后运用面板数据模型对2007年第四季度至2012年第四季度的中国基金市场数据进行了实证分析。考虑到基金家族特征的不同以及由此带来的影响,本文还根据“基金家族规模”和“基金公司年龄”这两个指标对样本基金家族分别进行分组实证检验,以观察不同基金家族特征下,基金家族共同持股行为对基金公司整体业绩和风险的影响。最后对基金管理公司的治理结构和监管提出一些建议。通过实证研究,本文得到以下结论：1)基金家族内部共同持股行为对基金公司业绩呈“倒U型”的影响,且当基金共同持股程度达到7.01时,对基金公司整体业绩最有利；2)大、中、小型基金家族以及新老基金家族共同持股行为都有助于提升基金公司整体超额收益率,且基金家族规模越小,基金公司年龄越小(即成立日期越晚),相关系数越大；3)基金家族内部共同持股行为对基金公司整体风险的影响呈“倒U型”,即基金家族共同持股的行为会增加基金公司整体风险,且当基金家族共同持股程度达到5.6时,基金公司整体风险达到最大值。4)中、小型基金家族共同持股程度与基金公司整体风险呈正相关关系,且基金家族规模越小,相关系数越大。但大型基金相关关系并不显著。新基金共同持股程度与基金家族整体风险呈正相关关系。而老基金此关系不显著,即老基金公司内部共同持股程度提高的同时,却并不一定会增加公司整体风险。
[Abstract]:With the development of fund industry in China, the number and scale of fund companies have been expanded rapidly, and the influence of fund investment behavior on the securities market has become more and more serious. The research on the investment behavior of single fund and fund family is becoming more and more important. In view of the serious joint ownership behavior of fund family in China's securities market, and in recent years, the research on this aspect is relatively weak in China. Therefore, this paper studies the influence of co-ownership behavior on the overall performance and risk of fund management companies. This paper first analyzes the causes of the joint ownership behavior of the fund family. The index constructed by Elton et al. 2007) is used to measure the degree of joint ownership of the two funds in the family, and then the panel data model is used to analyze the Chinese fund market data from in the fourth quarter of 2007 to in the fourth quarter of 2012. Taking into account the differences in the characteristics of the Fund's family and the implications thereof, According to the two indexes of "family size of fund" and "age of fund company", the sample fund family is tested by group empirical test to observe the characteristics of different fund families. Finally, some suggestions on the governance structure and supervision of the fund management company are put forward. Through empirical research, this paper draws the following conclusions: (1) the co-ownership behavior within the fund family has a "inverted U" effect on the performance of the fund company, and when the degree of mutual ownership of the fund reaches 7.01, it is most favorable to the overall performance of the fund company. Both small and old mutual shareholdings help raise the overall excess returns of fund companies, and the smaller the fund family, the smaller the size of the fund family. The younger the fund company is (that is, the later the establishment date is, the bigger the correlation coefficient is, the greater the correlation coefficient is.) the influence of the co-ownership behavior within the fund family on the overall risk of the fund company is "inverted U", that is, the behavior of the mutual ownership of the fund family will increase the foundation. The overall risk of the company, When the mutual shareholding degree of the fund family reaches 5.6, the overall risk of the fund company reaches the maximum. 4) in the case of the mutual ownership degree of the small fund family and the overall risk of the fund company, there is a positive correlation, and the smaller the fund family size, the smaller the fund family size. The greater the correlation coefficient is, the less significant the correlation is. The degree of co-ownership of new funds is positively correlated with the overall risk of the fund family, but the relationship between the old fund and the old fund is not significant, that is, the degree of co-ownership within the old fund companies increases, while the degree of co-ownership increases. However, it does not necessarily increase the overall risk of the company.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.39

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