基金管理公司自购行为效果的实证分析

发布时间：2018-05-21 18:22

本文选题：证券投资基金 + 基金自购　；参考：《中南大学》2012年硕士论文

【摘要】：证券投资基金已成为了我国证券市场上主要的参与者,证券投资基金的健康发展对我国证券市场的稳定具有重要的意义。基金管理公司作为基金市场的组织者,是连接基金投资者和基金经理的桥梁,基金管理公司的行为影响到基金投资者投资决策以及基金经理的投资行为。基金自购是近几年基金市场中最为关注的基金管理公司的行为之一,对基金自购行为进行分析,研究基金管理公司的行为对基金市场的影响,具有一定的现实意义。本文从我国证券投资基金的性质出发,应用了投资决策理论、委托代理理论,在信息不对称的条件下,构建了更符合实际情况的基金经理、基金管理公司、基金投资者三者间的基金双重委托代理模型,通过模型分析得出：基金自购能增加基金经理、基金管理公司的努力水平,从而提高基金的业绩,同时也能增加基金投资者的投资量；基金自购行为作用的发挥同时受到基金的特征、市场特征以及基金投资者的特征的影响。本文在模型分析及文献分析的基础上,采用了2006年到2010年的季度数据分别对基金自购量与基金业绩、基金流量的关系进行实证分析,并对模型分析的结论进行了验证。实证研究结果表明：基金自购行为不能为基金投资者带来显著性的超额收益,但可以吸进基金投资者更多的资金以及频繁对基金进行申购和赎回。这一结论可为基金投资者以及基金管理公司提供参考决策。
[Abstract]:The securities investment fund has become the main participant in the securities market of our country. The healthy development of the security investment fund is of great significance to the stability of the securities market of our country. As the organizer of fund market, fund management company is the bridge between fund investors and fund managers. The behavior of fund management companies affects the investment decisions of fund investors and the investment behavior of fund managers. Self-purchase of funds is one of the most concerned behaviors of fund management companies in the fund market in recent years. It is of certain practical significance to analyze the self-purchase behavior of funds and to study the influence of the behavior of fund management companies on the fund market. Based on the nature of China's securities investment funds, this paper applies the investment decision theory and the principal-agent theory, under the condition of asymmetric information, constructs a fund manager, fund management company, which is more in line with the actual situation. Through the analysis of the model, it is concluded that the self-purchase of funds can increase the efforts of fund managers and fund management companies, thus improving the performance of funds. At the same time, it can also increase the amount of investment of fund investors, and the function of self-purchase of funds is influenced by the characteristics of funds, market and investors. On the basis of model analysis and literature analysis, this paper uses the quarterly data from 2006 to 2010 to analyze the relationship between fund self-purchase amount and fund performance and fund flow, and verifies the conclusion of the model analysis. The empirical results show that the self-purchase behavior of funds can not bring significant excess returns to fund investors, but it can absorb more funds of fund investors and frequently purchase and redeem funds. This conclusion can provide reference for fund investors and fund management companies.
【学位授予单位】：中南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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