中国开放式基金资金流动研究：基金营销、智钱效应与隐形交易

发布时间：2018-05-16 06:07

本文选题：资金流动 + 基金营销　；参考：《西南财经大学》2012年博士论文

【摘要】：2001年我国第一只开放式基金(华安创新)建立,自此开启了我国开放式基金市场飞速发展的新阶段。截止2010年底,我国共有基金管理公司61家,管理的基金规模达到2.3万亿元,基金品种超过700只,基金已成为我国个人资产配置中仅次于股票的最重要的金融投资工具。虽然基金市场的广度、深度和影响力都在快速提高,但是基金投资的业绩却差强人意。据基金公司年报统计,2010年我国61家基金公司为投资者创造了50亿元的财富,而基金公司的管理费用却高达302亿元；2011年64家基金管理公司整体亏损5004亿元,管理费用超过288亿元。投资者“雪上加霜”与基金公司的“旱涝保收”形成鲜明的对比,这个现象已经引起了学术界、实务界以及监管机构的高度关注。形成这一问题的根源在于我国开放式基金实施的是固定管理费率制度,在此制度背景下,基金公司与投资者的目标发生背离。基金管理公司的目标是扩大基金规模,获取高额的管理费用,而投资者的目标是获取更高的业绩增长,二者的利益诉求不同,目标函数错位,从而导致基金管理公司严重的道德风险问题。学术研究中,通常以基金的资金流动来衡量基金规模的变化,本文立足于我国资本市场的基本特征,分别从基金营销策略、基金经理对资金流动的反应等角度来研究我国基金资金流动的变化和影响。本文试图回答以下几个问题： (1)我国基金公司如何营销基金,市场营销如何影响基金的资金流动? (2)从我国基金投资的成本与收益角度考虑,投资基金是否物有所值? (3)资金流动如何影响基金的资产配置和未来业绩? (4)我国的基金经理是否具有高超的选股能力? 为了回答上面的问题,本文选取2005-2010年我国股票型、偏股型开放式基金复权净值数据进行实证分析,并手工搜集基金营销数据,采用多种计量经济研究方法得到稳健性的实证结果。本文具体章节的安排及主要发现如下：第一章是序论。分析了基金资金流动这一选题的背景及意义,在国内外现有研究的基础之上,提出本文的研究观点。介绍了论文的研究对象和研究思路,并给出了论文的研究框架、研究方法。第二章主要介绍了国内外研究中的相关文献,包括基金资金流动、基金产品营销、基金的智钱效应、隐形交易、基金薪酬激励、基金的业绩持续性等等,并对相关文献做出简要的评述。第三章主要讨论了基金营销与基金资金流动的关系。与市场营销影响产品销售的理论解释相一致,结果发现我国基金营销对基金资金净流入有显著影响,即基金营销机构、营销网点、专业营销人员的数量越多,基金资金净流入越多。平均来说,营销努力(营销机构、营销网点、营销人员)每增加10%,基金资金净流入增加1.1-1.6%,基金规模增加0.5%。进一步分析发现,上一年业绩越差的基金,下一年的营销力度越大。相对于上一年度盈利的基金,上一年亏损的基金在下一年度的新增加的营销机构、营销网点、营销人员平均多出14-60%。本文发现基金营销能显著提高基金规模,且业绩越差的基金,营销方面的努力越强,为我国基金存在的“低绩效,高费用”的现象提供了一种可能的解释。相对于发达国家,我国基金长期以来存在业绩与管理费用背离的现象,即基金的收费相对较高,但业绩相对较差。而基金赋予了投资者“用脚投票”的权利,投资者可以比较便捷地从业绩较差的基金中撤出。长期存在的这种“低绩效,高费用”似乎与市场有效性相违背,为何长期存在这种现象一直是学者讨论的问题(Chevalier和Ellison,1997)。本文的研究指出,基金营销方面的努力,使得基金资金流入增加,基金公司的规模得以保持,因此虽然基金业绩较差,在固定管理费率的制度下,仍然可以获取高额的管理费用,从而出现“低绩效,高费用”的现象。第四章研究了基金薪酬费率与基金业绩之间的关系。由于我国基金管理费率几乎不发生变化,本文构造基金薪酬与管理之比的薪酬费率指标,以此衡量基金经理的薪酬激励强度。结果发现,基金资金流动与基金薪酬率显著王相关,且资金流动每增加1%,薪酬率增加0.1%。此外,以薪酬率指标大小构建基金投资组合,采用Carhart (1997)四因子模型对组合收益风险调整,结果发现薪酬率越高的基金组合,风险调整后的业绩越高。面板数据分析结果证实我国投资基金薪酬费用率越高,基金未来的业绩越高。最后,以2008年作为牛熊市分界点,采用Fama-MacBeth (1973)横截面回归的结果显示,2005-2010年基金薪酬率的提高对基金管理人产生了过度冒险的激励,但2008-2010年熊市中,薪酬激励的增加有助于基金管理人控制风险,减少基金净值的波动率,说明我国基金管理人处理风险的能力较强。第五章研究资金流动与未来业绩关系的“智钱效应”。通过构造基金投资组合,并以Carhart四因子模型对组合业绩进行调整,本文发现资金流入的组合每年能获得5-9%的超额收益,而资金流出组合不能获得超额收益,证实我国基金市场存在“智钱效应”。考虑到资金流动的内生性问题,本文进一步通过面板数据工具变量方法,发现资金流动对基金业绩产生显著的正面影响,新资金每增加1%,未来业绩提高0.193%。大量的文献集中研究基金历史业绩与资金流动的关系,本文研究基金资金流动与未来业绩的联系,完整了“基金业绩-资金流动”的研究框架,也为检验我国资本市场的运作效率提供了经验证据。第六章研究基金投资“双十限制”下,资金流动与基金投资组合配置、未来业绩的关系。所谓基金的“双十限制”,源于证监会于2006年出台《关于证券投资基金投资资产支持证券有关事项的通知》,该通知明确规定基金投资单只股票比例不得超过10%,也不得超过单只股票市值的10%,简称“双十限制”。本文构建基金投资组合分散度指标(深度和广度),发现资金流动与广度、深度呈“倒U型”关系,基金经理先增加基金的广度,后增加基金的深度。投资组合分散度最高的基金比分散度最低的基金每年超额收益率高出6%。进一步的研究,面板数据分析结果也显示,投资组合的分散度与基金未来业绩呈“倒U型”关系,如果资金平缓流入,基金表现出“智钱效应”；资金流入过多,则表现出“规模效应” 第七章研究基金无法观察到的“隐形交易”与资金流动的关系。基金定期披露持仓结构,投资者无法获知其详细的投资策略,因此基金交易一直被视为一个黑匣子。本文从基金实际收益与披露的投资组合收益之间的缺口出发,通过巧妙的代理变量测算出基金隐形交易的频度和强度及其带来的业绩影响。本文发现隐形交易越多,基金的超额收益率越高,隐形交易最多的基金组合每年的超额收益率较之最低组合高出6%,横截面回归分析同样支持这一结论。考虑到资金流动对隐形交易的内生性影响,本文进一步采用面板数据工具变量法,对我国开放式基金的智钱效应加以研究,结果证实资金净流入越多,基金经理人的隐形交易行为越多,从而基金的业绩越高。资金流动通过直接影响基金经理人的隐形交易行为,从而间接地对基金未来业绩产生影响。论文的创新主要表现在以下几个方面： (1)借助于基金营销策略的研究,对我国基金出现的“低业绩,高费用”现象进行了解释。在现今国内外的有关基金的研究文献中,几乎没有学者从基金营销的角度研究资金流动。与国外基金营销最大的区别在于,我国基金的申购、赎回大部分来源于商业银行网点,因此基金营销机构的便利、信任和沟通交流成为基金营销的重点,而代销机构的专业化、公平性也成为基金监管机构未来监管的重点,本文首次从营销角度分析基金资金流动的影响,为未来理论研究和实证研究提供方向。 (2)次贷危机之后,针对金融行业高管薪酬对冒险行为的过度激励引起了学术界的讨论,而我国鲜有基金行业薪酬与风险的经验证据。本文的研究为我国金融安全、基金经理薪酬激励是否会引起冒险行为提供了实证结果,填补了国内该领域研究的空白。 (3)长期以来,我国学者对基金的动量效应以及市场有效性进行了深入的探讨。本文发现我国基金也存在智钱效应,而智钱效应的原因与基金经理的资产配置分散度、不可观察的交易密切相关。本文的研究完整了“资金流动-基金业绩”的研究框架,为未来从理论和实证的进一步研究提供了思路。并且结合行为金融学的角度,研究了资金流动对基金经理行为的影响,丰富了基金研究领域的文献。 (4)对于基金经理是否具有选股能力,本文借鉴国外经典文献做法,采用非参数自助法抽样检验,将基金经理的技术和运气区分开,对深入了解我国基金投资的现状提供了参考依据,也为投资者选择基金经理提供了方向。这样的研究突破了基金业绩服从正态分布的假设,具有一般特性,丰富了国内基金业绩评价研究的文献资料。
[Abstract]:In 2001 , China ' s first open - ended fund ( Hua ' an innovation ) was established . At the end of 2010 , there were 61 fund management companies in our country . As of the end of 2010 , there were 61 fund management companies in our country , and the fund variety exceeded 700 . The fund has become the most important financial investment tool next to the stock in our country ' s personal asset allocation .
In 2011 , 64 fund managers had a total loss of RMB 500 , 400 billion yuan , and the management cost exceeded RMB 288 billion . The root cause of this problem lies in the fact that China ' s open - end fund is implemented by fixed management rate system . In this system , fund company and investor ' s objective have deviated from . The aim of fund management company is to expand fund scale and obtain high administrative expenses , and the investor ' s goal is to obtain higher performance growth , and the objective function is wrong , which leads to serious moral hazard problem of fund management company .

In the academic research , the change of fund size is usually measured by the fund flow of the fund . This paper is based on the basic characteristics of the capital market in China , from the perspective of fund marketing strategy , fund manager ' s response to fund flow , etc . The paper tries to answer the following questions :

( 1 ) How do our fund companies marketing funds and marketing how to influence the fund flow ?

( 2 ) Whether the investment fund is worth the value from the point of view of the cost and the income of the fund investment in our country ?

( 3 ) How capital flows affect the fund ' s asset allocation and future performance ?

( 4 ) Whether the fund manager of our country has the ability to select stock ?

In order to answer the above questions , this paper makes an empirical analysis on the net worth data of China ' s stock - type and partial - share open - ended funds in 2005 - 2010 , and manually collects the fund marketing data , and adopts a variety of methods of measuring economic research to obtain the positive results . The arrangement and main findings of the specific sections of this paper are as follows :

The first chapter is the preface . The background and significance of this topic are analyzed . Based on the existing research at home and abroad , this paper puts forward the research viewpoint of this paper . The research object and the research thinking of the paper are introduced , and the research framework and the research method of the paper are given .

The second chapter mainly introduces relevant documents in domestic and foreign research , including fund flow , fund product marketing , fund ' s intellectual money effect , invisible trade , fund salary incentive , fund ' s performance persistence and so on , and makes a brief comment on the relevant literatures .

The third chapter mainly discusses the relationship between fund marketing and fund flow . The result shows that the fund marketing has a significant influence on the net inflow of fund capital , namely , the higher the fund marketing organization , marketing network and professional marketing personnel , the more the fund ' s net inflow is . On average , the higher the fund ' s net inflow , the greater the fund ' s net inflow .

In contrast to the developed countries , China ' s fund has long existed the phenomenon of deviating from the performance and management expenses , namely , the fund is relatively high , but the performance is relatively poor . The long - term " low performance , high cost " appears to be contrary to the market validity . The research in this paper points out that the fund marketing efforts have made the fund inflow increase and the size of the fund company is maintained . Therefore , even though the performance of the fund is poor , under the system of fixed management rate , high administrative expenses can still be obtained , thus the phenomenon of " low performance and high cost " appears .

In the fourth chapter , the relationship between fund salary rate and fund ' s performance is studied . As the fund management rate of our country is hardly changed , the salary rate index of fund manager is measured . The result shows that the higher the fund ' s fund flow and the fund ' s salary rate , the higher the fund ' s future performance .

Chapter five deals with the " intellectual money effect " of the relationship between capital flow and future performance . Through constructing the portfolio of fund investment and adjusting the combined performance with Carhart four factor model , this paper finds that the combination of capital inflow can get the excess return of 5 - 9 % each year , and the fund outflow combination can not get excess earnings .

In chapter 6 , the relationship between fund flow and fund investment portfolio allocation and future performance is discussed . The fund manager first increases the fund ' s breadth , and then increases the depth of the fund . The fund manager increases the fund ' s breadth and then increases the depth of the fund . The fund manager will increase the fund ' s breadth and then increase the depth of the fund . The fund manager will increase the fund ' s breadth and increase the fund depth . The fund manager will have the " inverted U " relationship with the fund ' s future performance .
If there are too much capital inflows , the " scale effect " is shown

Chapter 7 The relationship between the invisible trade and the fund flow that the fund cannot observe . The fund transaction is always regarded as a black box . The higher the fund ' s excess yield , the higher the excess yield of the fund portfolio is more than 6 % higher than that of the lowest combination . The result shows that the more the net inflow of the fund , the more the fund manager ' s invisible trading behavior , the higher the fund ' s performance . The more the fund flow affects the future performance of the fund indirectly through the direct influence of the fund manager ' s invisible trading behavior .

The innovation of the thesis is mainly in the following aspects :

( 1 ) By means of the research of fund marketing strategy , the phenomenon of " low performance and high cost " in China ' s fund has been explained . In the research literature of the funds at home and abroad , there is almost no scholar to study the fund flow from the angle of fund marketing .

( 2 ) After the sub - loan crisis , the excessive incentive for the executive compensation of the financial industry caused the discussion of the academic circle , and there is no empirical evidence of the salary and risk of the fund industry in our country . The research of this paper is the financial security of our country , whether the salary incentive of the fund manager can cause the risk - taking behavior , and fills up the blank of the research in this field .

( 3 ) For a long time , Chinese scholars have conducted an in - depth discussion on the momentum effect and market effectiveness of the fund . In this paper , we find that our fund also has the intelligence and money effect , and the reason of the intellectual money effect is closely related to the fund manager ' s assets collocation dispersion degree and the non - observable transaction .

( 4 ) Whether the fund manager has the ability to select stock , this paper draws lessons from the foreign classic literature practice , uses the non - parametric self - service method to sample the test , provides the reference basis for the deep understanding of the current situation of the fund investment and provides the direction for investors to select the fund manager . The research breaks through the assumption that the fund performance is subject to the normal distribution , has the general characteristics , and enriches the literature data of the research on the performance evaluation of the domestic fund .

【学位授予单位】：西南财经大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.5;F224

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