我国开放式基金规模及其收益关系研究

发布时间：2018-06-03 01:40

本文选题：开放式基金 + 基金规模　；参考：《复旦大学》2012年硕士论文

【摘要】：随着我国资本市场的发展,投资者的日益成熟,我国开放式基金的规模在不断攀升,截止2011年底我国开放式基金总净值为20693.45亿元,是成立初规模的175倍。基金公司总是在追求更大的规模,因为更大的规模意味着更多的收入,但是一些基金在规模达到一定程度后会选择暂停申购,不断扩大的基金规模是否会对收益造成影响值得我们深思。随着基金规模的扩大,基金会有更多的收入去购买数据,研究上市公司,聘用或培养投资人员,同时随着规模的增大,基金中某些费用将不会随着规模的增大而同比例增大,这就给基金带来了规模经济效应。然而,规模的增大也会带来诸多问题,比如在缺少足够多优质的投资标的的时候,规模的增大意味着基金经理将面临更多的流动性约束,使得基金不能更快地将现金转化为股票或者股票转化为现金,从而可能错过了抛售或购买股票的最佳时期。于此同时还要面临价格冲击效应,导致基金售出或者购买股票的成本加大,理论上会对基金的收益造成影响。同时,基金规模的增大也许会带来管理上的难度增大,同样也会影响基金的表现。本文将首先从直观上判断基金规模和其收益的关系,随后在加入多个控制变量并剔除一系列因素的情况下,对这种关系做实证研究,指出基金规模和基金收益呈现倒“U”型关系。随后对这种关系做出理论解释,从规模经济和流动性约束两个方面对其进行研究,并做出相应的实证分析。其中规模经济选取的是基金费用率这一指标,而流动性约束选取的是将基金分类后来研究。文章最终给出的解释结果是对于规模比较小的基金而言,流动性约束的影响可能并不是非常明显。在这一阶段.基金的规模经济效应起到了重要作用,随着规模增大,基金的费用率会降低,对基金的收益产生正的影响。但是当基金规模进一步增大时,由于规模收益递减,对基金收益的影响开始减弱,而流动性约束越来越凸显,最终导致基金收益的下滑。
[Abstract]:With the development of China's capital market and the maturity of investors, the scale of open-end funds in China is increasing. By the end of 2011, the total net value of open-end funds in China is 2.069345 trillion yuan, which is 175 times of the initial scale. Fund companies are always looking for a bigger scale, because a bigger size means more revenue, but some funds choose to suspend their purchases when they reach a certain level. Whether the increasing size of the fund will have an impact on earnings is worth our reflection. As the size of the fund expands, the foundation will have more revenue to buy data, study listed companies, hire or train investment personnel, and with the increase in size, certain expenses in the fund will not increase in the same proportion as the size of the fund. This brings economies of scale to the fund. However, an increase in size also poses a number of problems. For example, in the absence of enough quality investment targets, an increase in size means that fund managers will face more liquidity constraints. This prevents funds from turning cash into stocks or stocks more quickly, which may miss the best time to sell or buy stocks. At the same time, it also faces the price shock effect, which leads to the increase of the cost of the fund to sell or buy shares, which will affect the income of the fund theoretically. At the same time, the increase in the size of the fund may lead to more difficult management, but also affect the performance of the fund. In this paper, the relationship between the size of the fund and its income will be judged intuitively, and then the empirical research on this relationship is made under the condition of adding several control variables and removing a series of factors. The paper points out that the relationship between fund size and fund income is inverted "U" type. Then this paper makes a theoretical explanation of this relationship, studies it from two aspects of scale economy and liquidity constraint, and makes a corresponding empirical analysis. The scale economy selects the fund expense rate, while the liquidity constraint selects the fund classification later. The result is that for smaller funds, the effect of liquidity constraints may not be obvious. At this stage. The scale economy effect of the fund plays an important role. With the increase of the scale, the cost rate of the fund will decrease, which will have a positive impact on the income of the fund. However, when the size of the fund further increases, the impact on the return of the fund begins to weaken due to the decline of the return on the scale, and the liquidity constraint becomes more and more prominent, which eventually leads to the decline of the return of the fund.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

【参考文献】