基金管理费机制的委托代理分析

发布时间：2018-05-20 04:16

本文选题：基金管理费 + 委托代理理论　；参考：《首都经济贸易大学》2012年硕士论文

【摘要】：近年来，随着我国基金业的高速发展，在基金业的资产规模大幅扩大的同时，很多问题也一一暴露出来。其中一个较为突出的问题就是基金公司管理费采用基于基金规模的固定费率制这一收费模式遭到公众质疑。而质疑的最主要原因就在于无论基金业绩好坏，基金公司都能凭借基金的资产规模提取高额的管理费，实现旱涝保收。管理费应该如何收取这一基金治理中遇到的问题已成为基金行业发展的瓶颈，能否有效解决决定了基金业未来的发展。而本文正是针对这一问题，利用委托代理理论，对基金公司的最优管理费收取机制进行研究。本文首先对证券投资基金的相关理论进行了简要描述，随后对中、美基金管理费的实施现状进行了分析，并提出了我国基金管理费模式存在的不足。随后，本文通过建立单阶段和多阶段委托代理模型，对固定费率和业绩激励费两种基金管理费模式进行了研究。研究结果显示，在单阶段委托代理问题中，固定费率制无法激励基金管理人努力工作，而无论是采用绝对业绩激励费还是相对业绩激励费，都能对基金管理人提供足够的激励，通过求解模型，本文还给出了基金管理费契约中激励系数的具体表达式。而在多阶段委托代理问题中，，本文假设基金投资人可以分别采取主动调整投资额策略和被动持有策略，并证明了在两种情况下，出于对长期收益最大化的考虑，基金管理人在固定费率制下也会努力工作，这为固定费率制的长期存在提供了现实依据。
[Abstract]:In recent years, with the rapid development of the fund industry in China, many problems have been exposed while the assets of the fund industry have expanded significantly. One of the more prominent problems is that fund management fees based on the scale of the fixed rate system this fee model has been questioned by the public. The main reason for questioning is that fund companies can draw high management fees with the asset size of the fund no matter whether the fund performance is good or bad. How to charge the management fee has become the bottleneck of the fund industry development, and whether it can be solved effectively determines the future development of the fund industry. Aiming at this problem, this paper makes use of the principal-agent theory to study the optimal management fee collection mechanism of fund companies. This paper first briefly describes the relevant theories of securities investment funds, then analyzes the current situation of the implementation of fund management fees in China and the United States, and points out the shortcomings of the fund management fee model in China. Then, through the establishment of single-stage and multi-stage principal-agent models, this paper studies the fixed rate and performance incentive fee two kinds of fund management fee model. The results show that, in the single-stage principal-agent problem, the fixed rate system can not motivate the fund manager to work hard, but the absolute performance incentive fee or the relative performance incentive fee can provide sufficient incentive to the fund manager. By solving the model, this paper also gives the concrete expression of the incentive coefficient in the fund management fee contract. In the multi-stage principal-agent problem, this paper assumes that the fund investors can take active adjustment of investment strategy and passive holding strategy, and prove that in both cases, for the sake of maximizing long-term income, Fund managers also work hard under the fixed rate system, which provides a realistic basis for the long-term existence of the fixed rate system.
【学位授予单位】：首都经济贸易大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5

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