基于基金治理视角的基金家族造星策略研究

发布时间：2018-01-10 08:16

本文关键词：基于基金治理视角的基金家族造星策略研究　出处：《华南理工大学》2012年博士论文　论文类型：学位论文

【摘要】：在我国证券市场的深入发展过程中，证券投资基金作为一种利益共享、风险共担的专业化集合投资的产物，其不仅能更好满足个人的投资需求，而且也有利于促进证券市场的持续发展。证券投资基金体现了典型的委托代理关系，委托代理问题表明，，如果没有健全的基金治理约束，基金管理人将会通过损害基金投资者权益为自己谋取私利，这将严重地阻碍我国证券投资基金市场乃至整个证券市场的健康持续发展。基金家族是在同一基金管理公司旗下的一组相互影响、相互作用和共同存在的一组在类型、规模、绩效方面存在一定的差异性和相关性的单只基金的集合；基金家族的普遍存在已成国内外基金行业的显著特征。在我国基金市场中，随着基金管理公司间竞争的日趋激烈，市场上出现了各种基金评级或排名，评级或排名靠前的基金被行业捧为明星。研究表明，基金家族旗下明星基金对家族资金流入会产生溢出效应，这会使家族资产管理规模扩张，从而可能诱使基金管理公司采用集中力量做强家族旗下一只或几只基金使其成为市场中的明星的造星策略，此种造星策略可使基金家族在基金发行、服务和促销推广等方面具有规模经济效应，同时，家族整体信誉在投资者决策方面亦发挥着重要作用。基于基金家族造星策略对证券投资基金市场影响的重要性以及我国证券投资基金市场存在着造星现象的事实，如何以系统的考察和科学的方法研究基金家族造星策略就显得非常迫切与必要。为此，本文试图在研究视角和研究方法上进行有益尝试，力争实现如下研究目标：通过研究，深刻揭示国内基金管理公司造星策略的基本动因；探求基金公司造星策略的基本路径与规律；实证判别基金家族追星策略的主体；最后，通过总结和改善我国基金治理的缺陷以约束基金管理公司造星策略对基金投资者权益的侵害。依此研究目标，本文提出如下研究思路：如果明星基金对基金家族及其旗下各基金能同时产生资金流入的溢出效应，在家族内就很可能出现家族偏好性策略；在激烈的市场竞争压力下，投资管理能力弱的基金家族则会更加主动地追逐造星策略；这样，明星家族并不能真实地反映基金家族的投资管理能力，从而有必要对家族造星策略的主体进行有效识别；鉴于出现基金家族造星现象的深层次原因在于基金治理的缺陷，为此，本文以投资者在基金家族造星现象背景下合法权益的保护为主线，研究和总结了我国基金治理的不足，并从基金内部和外部治理两个层面搭建了一个理论平台，为我国基金治理研究拓展出一个富有现实意义的探索路径与框架。概括全文，本文主要研究结论如下： 1）明星基金会对家族资金流入产生显著的非对称性影响。在家族层面，明星基金将为家族整体吸引新资金流入；同时，在各单只基金层面，明星基金不仅可为自身引入新资金流入而且还可为同家族其它非明星成员基金吸引新的资金流入；家族结构下明星基金的溢出效应揭示了基金家族造星策略的基本动因。 2）基金家族存在家族偏爱现象，即家族会采取通过转移旗下部分受托资产的绩效使家族中高家族价值基金获取超额绩效的造星策略为家族吸引更多的净资金流入，从而实现提升基金家族竞争力和整体绩效的目标，此基金家族偏爱性策略是基金家族造星策略的路径选择。 3）通过对基金家族出现明星绩效概率与相关家族特征之间关系的研究发现，旗下基金绩效标准差越高、基金数量越多和上年越没有明星基金的基金家族将越有可能产生明星基金；同时，结合投资组合绩效的对比结果发现，投资管理能力弱的基金家族会为了利用明星基金的溢出效应而主动追逐造星策略；在基金家族中，高标准差明星家族的绩效显著差于其它基金家族，简单追逐明星家族的投资策略无法为投资者带来超额投资回报，而造星事前概率低的基金家族即低标准差、小规模的明星家族的绩效要显著高于其它基金家族。该研究结论有助于实现真假明星基金家族的有效识别，进而使得基金监管当事人约束家族造星策略成为可能。 4）基金家族造星现象在本质上是我国基金治理存在缺失的结果，其不仅损害了部分基金持有人的利益，也会对证券市场正常秩序产生负面影响。研究发现，完善基金治理激励机制、优化和丰富现有基金治理组织形态、构建对基金管理人具有约束效力的治理结构和改善基金外部治理环境是改善我国基金治理的基本路径；通过基金治理效能的全面提升最终实现对基金管理公司造星策略的有效监控。目前，有关我国基金家族造星策略的研究具有一定的研究价值；综观既有研究，本文创新之处和贡献主要有： 1）在研究内容上，与国内大量孤立地研究个体基金的既有研究不同，本文在基金家族结构下从家族整体层面和单只基金两个层面研究了明星绩效对家族资金流动的影响，同时，本文探索性地考察了明星基金对家族竞争策略的影响；初步揭示了国内基金管理公司造星策略的主要动因和基本规律，并对投资者的追星投资策略提出了实证评价和理论指导。 2）在研究逻辑上，本文认为在家族造星的基本动因、家族造星的途径选择、真假明星家族的主体识别、家族造星的要源和家族造星行为的约束等几项研究主题内容之间存在着紧密的逻辑关系，此研究逻辑对深入、系统地研究基金家族造星策略具有开拓性的理论贡献和重要的实践意义。 3）在研究方法上，本文依据国内基金市场特点优化了相关解释变量，提升了模型的有效性；在运用Logit模型研究基金家族制造明星基金概率与相关家族特征之间关系的基础上采用基于家族特征构建的投资组合的绩效对比分析方法，这种扩展性的研究思路与方法使得模型分析结果更具可视性；同时，本文运用新制度经济学的原理和方法对我国基金治理模式进行分析研究，相关结论对我国基金市场中的造星现象现象具有较强的解释力和实际效用。 4）在理论与现实意义上，本文在基金家族造星现象背景下，以基金投资者合法权益的保护为主线，搭建了一个基金治理研究的理论平台，为我国证券投资基金治理研究拓展了一种富有现实意义的探索路径与框架。
[Abstract]:In the process of development of China's securities market, securities investment fund is a benefit sharing, risk sharing professional investment products, not only can better meet individual investment needs, but also conducive to promoting the sustainable development of the securities market. The securities investment fund reflects the typical principal-agent relationship, show that the principal the problem, if there is no fund governance sound, fund managers for their own personal gain will damage the interests of fund investors through, it will seriously hinder China's securities investment fund market and the stock market's healthy and sustained development.
The family is a group of mutual fund in the same fund management company, the scale of interaction in the type, and a set of common set, there are some differences between the performance and the single fund; fund family has significant characteristics has become the domestic and foreign fund industry in our country. The fund market competition, fund management companies with the increasingly fierce market, the emergence of a variety of fund rating or ranking, rating or ranking fund industry was touted as the star. The study shows that the fund family's star fund will have a spillover effect on family capital flow, this will make the family asset management scale expansion thus, the use of the fund management company may induce stronger focus on the family's one or a few funds to become the market's star star strategy, the star strategy can make the fund family at base The economic effects of gold issuance, service and promotion are of scale, and the overall reputation of the family also plays an important role in the decision-making of investors.
The importance of family star Strategy Fund of the securities investment fund market, China's securities investment fund market has a star phenomenon based on the fact that how to approach investigation and scientific research the family star strategy fund is very urgent and necessary. Therefore, this paper attempts to make a useful attempt in the research perspective and research methods, and strive to to achieve the following objectives: through research, reveal the basic motivation strategy Star Chinese fund management company; the basic path and law to explore the fund company's star strategy; empirical discriminant subject fund strategy finally, family Starchaser; through summarizing and improving the defects of China's fund governance to star policy constraint fund management companies to fund investors the damage. According to the above research target, this paper research ideas are as follows: if the star fund of fund family and The fund's at the same time can have a spillover effect of capital inflows in the family, it is very likely that the family preference strategy; under the pressure of market competition, investment management ability of the fund family will be more actively pursuing a star strategy; so, star family can not reflect the family fund investment management ability, so it is necessary to subject to the family star creation strategy for effective recognition; in view of the deep-seated reasons appear phenomenon is a star fund family fund governance defects, therefore, this paper takes the protection of investors in the fund family background star phenomenon under the legitimate rights and interests of the main line, to research and summarize the shortage of fund governance in China, and from the two aspects of fund internal and external governance to build a theoretical platform, develop a realistic research path and framework for research on the fund governance in China.
The main conclusions of this paper are as follows:
1) star fund has a significant effect on the non symmetry of family capital inflows. At the family level, the star fund will attract new funds into the whole family; at the same time, the single fund level, star fund can not only for its introduction of new capital inflows but also for the same family of other non star fund to attract new members the spillover effect of capital inflows; the structure of the family under the star fund reveals the basic motivation of family star strategy of the fund.
2) fund family family preference phenomenon, namely the family will take to obtain the excess performance through the transfer of assets owned by the part of the high performance family value fund family star making strategy for the family to attract more net capital inflows, thereby enhancing the competitiveness and the overall performance of the fund family, the fund family preference strategy is to select path of family star strategy of the fund.
3) through the research on the relationship between the performance of star fund family appear probability and related family characteristics found that the fund's performance standard deviation is higher, more and more fund last year no star fund family will be more likely to generate the star fund; at the same time, compared with the portfolio performance results, investment management capabilities weak fund family in order to use the star fund spillover effect and the active pursuit of a star strategy; in the fund family, the high standard deviation of star family performance was significantly lower than other fund families, simple chase star family investment strategy can bring excess returns for investors, and a star prior low probability of fund family low poor, small star family performance was significantly higher than that of other fund family. The conclusion of the study is helpful to realize the true star fund family effective recognition, And then make the fund supervision party strategy possible. Star family constraints
4) star fund family phenomenon result from lack of fund governance in China in essence, it not only damages the interests of fund holders, will have a negative impact on the normal order of the securities market. The study found that the improvement of fund governance incentive mechanism, optimize and enrich the current organizational form of fund management, construction of a binding the fund managers and fund governance structure to improve the external governance environment is the basic way to improve China's fund governance; through the comprehensive improvement of fund governance efficiency and eventually realize the star strategy fund management company's effective monitoring.
At present, the research about our country's fund family star strategy has certain research value; in the existing research, the main innovations and contributions are:
1) in the research content, different with the large number of isolation of individual fund existing research, this article in the fund family structure from the two aspects of family level and single fund were studied. The performance of the star family cash flow at the same time, this paper tries to study the influence of star fund family competition strategy; reveal the basic law and the main motivation strategy of domestic star fund management company, and an empirical evaluation and theoretical guidance of Starchaser investment strategy of investors.
2) in the study of logic, this paper argues that in the basic cause of family star, a star of the family way, to identify the main fake star family, a close logical relationship between family and family to a star of the source star behavior constraints and several research topics, the research logic of in-depth, systematic study of the family star Strategy Fund pioneering theoretical contributions and practical significance.
3) in the research method, based on the characteristics of domestic fund market to optimize the relevant explanatory variables, to enhance the effectiveness of the model; based on relationship between use of Logit model family manufacturing research fund star fund probability and related family characteristics on the analysis method of performance comparison between family characteristics construction portfolio based on the extended research the ideas and methods of making the results more visibility; at the same time, analysis of the governance mode of China's Fund for the principle and method of new institutional economics in this paper, the conclusion has strong explanatory power and practical utility of the phenomenon of star phenomenon in China fund market.
4) in the theoretical and practical significance, this paper in the background of fund family star phenomenon, in order to protect the legitimate rights and interests of fund investors as the main line, to build a theoretical platform for fund management research, develop a meaningful exploration path and framework for the study of securities investment fund governance in China.

【学位授予单位】：华南理工大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51

【引证文献】