我国证券投资基金最优管理费率的测定

发布时间：2017-12-31 09:19

本文关键词：我国证券投资基金最优管理费率的测定　出处：《天津财经大学》2012年硕士论文　论文类型：学位论文

【摘要】：证券投资基金业是我国金融体系中的重要组成部分,它在金融市场中的地位和作用逐年提高。近些年,我国证券投资基金数目不断上升,基金管理公司数量也快速增长,但是基金表现出的业绩却难以令投资人乐观。2011年基金年报显示,证券投资基金全年整体亏损5004亿元,这种状况虽与证券市场系统性风险有关,但同期基金管理公司288亿多的管理费收入却与经营业绩形成了鲜明的对照,完全将基金经营不善的问题归结为系统风险显然是不能被人所接受的。文章试图从基金管理公司管理费收入制度安排的角度来探讨这一问题。作为证券市场重要的机构投资者,基金管理公司具有典型的委托-代理关系的性质。这种委托-代理关系决定着,基金持有人与基金管理者可能客观存在利益的不一致,信息不完全与不对称使得委托人始终面临代理人的道德风险,在基金持有人单方面承担基金经营亏损损失的背景下,合理的制度安排就显得尤为重要。我国基金管理业现行的制度安排虽说总体上体现了激励相容模型的基本原则,但现行的固定管理费率和激励系数是否能真正达到使基金管理者与基金持有人的利益保持一致则是值得研究的。文章在分析和借鉴国内和国外学者们研究成果的基础上,通过对我国证券投资基金业发展历程和特点,基金管理费率演变及基金管理公司管理费收入现状的考察,从委托-代理理论中含有激励相容的委托代理模型出发,结合证券投资基金系统性风险较为突出的特点,构建了适宜基金管理公司的激励相容模型,并从形式上得到了最优激励系数,最优管理费率的理论解,同时论证了激励的有效性。然后,依据理论分析的结果,以2006-2011年我国基金管理公司的相关实际数据为样本,利用面板数据分析方法,建立了符合我国国情的证券投资基金激励相容面板模型,并给出了我国证券投资基金最优管理费率测定值。最后,结合实证分析结论,提出了有关我国证券投资基金管理费率调整的相关政策建议。
[Abstract]:The securities investment fund industry in China is an important part of the financial system, its position and role in the financial markets increased year by year. In recent years, China's securities investment funds increased the number of fund management companies also showed rapid growth, but the fund performance is difficult to make the fund investors optimistic.2011 annual report shows, securities the investment fund annual overall loss of 500 billion 400 million yuan, although this situation and the stock market systemic risk, but the same period of the fund management company more than 28 billion 800 million of the management fee income and business performance in stark contrast, the fund will be fully attributed to the problem of poor management system risk is obviously cannot be accepted. This article tries to discuss this a problem from the perspective of the fund management company management fee income system.
As an important institutional investors in the stock market, the nature of the fund management company is a typical principal-agent relationship. The principal-agent relationship determines that inconsistent fund holders and fund managers may exist interests, incomplete information and asymmetry makes the client facing the agent's moral risk, the fund holders unilaterally bear fund loss of business loss under the background of reasonable system arrangement is particularly important. The system of fund management industry in China's current overall arrangement although embodies the basic original incentive compatibility model, but the existing fixed management fee and whether the incentive coefficient can really achieve the fund managers and fund holders is consistent worthy of study.
Based on the analysis and reference of domestic and foreign scholars on the research results, through the development and characteristics of China's securities investment fund industry, the present situation of the management of fund management and inspection fee income rate evolution and fund management company, from the principal-agent theory with principal-agent model of incentive compatibility, with more risk the outstanding characteristics of the securities investment fund system, build a suitable fund management company incentive model, and from the form of the optimal incentive coefficient, optimal management fee theory solution, and demonstrates the effectiveness of the incentive. Then, according to the results of theoretical analysis, related to the actual data of China's fund management company 2006-2011 years as a sample, using panel data analysis method, established the securities investment fund in line with China's national conditions of the incentive compatibility panel model, and gives the securities investment fund in China In the end, combined with the conclusions of the empirical analysis, the relevant policy suggestions on the adjustment of the management rate of the securities investment fund in China are put forward.

【学位授予单位】：天津财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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