我国基金家族明星基金效应研究

发布时间：2018-08-25 08:01

【摘要】：随着我国基金业的持续快速发展,市场规模不断扩大,基金业的发展呈现出家族化的一些特征。但由于我国基金业发展时间较短,国内对于基金业的研究还比较有限,缺乏对基金家族行为模式的分析。因此本文借助基金业在近几年的飞速发展,在基金家族的数量有了明显增加,基金家族间的竞争日益加强的情形下,对基金市场的运行规律和基金家族的行为模式进行更深入地探究。本文首先从理论上分析了基金家族采用集中优势资源打造明星基金策略以扩大基金家族规模的动机,然后从理论上分析了基金的资金净流入与基金当前的业绩正相关,而与基金业绩的标准差负相关,以及明星基金存在溢出效应的原因。当前的业绩表现出色的明星基金不仅能够为自身带来更多的资金流入,还存在溢出效应,为同一家族旗下的其他基金带来了更多的资金流入,这一现象使得打造明星基金的策略具有可行性。理论分析分为三个方面。一、从信息不对称理论的角度对基金家族采用集中优势资源打造明星基金策略以扩大基金家族规模的动机进行理论分析。基金投资者和基金管理者之间存在着比较严重的信息不对称,基金管理者比一般的基金投资者拥有更多关于基金产品的信息,两者之间是委托—代理关系。基金投资者希望尽可能多地获得业绩回报,而基金管理者希望尽可能地扩大基金家族的规模,基金投资者和基金管理者之间利益不一致导致道德风险的产生。基金管理者从自身利益出发,寻求基金家族规模的最大化,从而使得家族利益最大化,而采用集中优势资源打造明星基金的方式可以为基金家族带来更多的资金流入,实现家族规模的扩大二、从现代证券组合理论的角度分析了基金的资金净流入与基金当前的业绩以及业绩的标准差之间的关系。基金当前的业绩从一定程度上反映出基金管理人的投资管理能力。如果某只基金当前的业绩表现出色,从某种程度上说明基金管理人的投资管理能力也应该不错,那么由于基金管理人出色的投资管理,基金的预期收益也应该会比较高。因此如果某只基金当前的业绩表现出色,那么投资者有理由预期该基金未来的业绩表现同样出色,会对该基金展开申购,使得基金出现资金大量流入,说明基金当前的业绩表现与资金净流入正相关。基金业绩好,资金净流入就多；基金业绩差,资金净流入就少,甚至出现资金净流出(即资金净流入为负)。基金的风险可以用收益率方差或者标准差来度量,基金的标准差越大,说明基金的风险越高。大部分的投资者都是风险厌恶者(也有少部分投资者是风险中性或者风险偏好者),如果基金的风险偏高,或者出现基金所取得的投资收益不能补偿其所承担的风险的情况,那么投资者就会大量赎回该基金,导致基金出现资金净流出。因此基金业绩的标准差与资金净流入负相关。基金业绩的标准差越大,说明风险越高,资金流出就越多；基金业绩的标准差越小,说明基金的业绩越稳定,风险就越低,资金流出也就越少。三、从投资者心理角度使用晕轮效应相关理论分析基金家族中出现明星基金溢出效应的原因。一般的基金投资者对基金家族缺乏了解,而一个基金家族中出现明星基金对于特别关注基金业绩的一般投资者来说又是一种显著性刺激,会吸引投资者更多的注意,所以基金投资者对基金家族的认知和判断可能存在偏差。一个基金家族中出现明星基金,向投资者传达出明星基金管理者具有较强的投资管理能力的信号,投资者往往会从明星基金这个局部出发,将明星基金的光环扩大到整个基金家族,以偏概全,认为不仅是明星基金的管理者具有较强的投资管理能力,而且明星基金所在的整个基金家族都具有较强的投资管理能力,所以基金投资者会对明星基金家族旗下的所有基金都进行购买,而不单单只是申购明星基金。这样一来,基金投资者受到晕轮效应影响,就造成了明星基金的溢出效应。然后,文章进入实证部分。使用面板数据先对基金家族中的明星基金的溢出效应进行实证检验,然后对明星基金业绩下滑给基金家族资金流动带来的影响进行实证检验,考察明星基金在业绩下滑后是否会给基金家族带来明显的资金流出。如果存在明星基金的溢出效应,同时,明星基金在业绩下滑后不会给基金家族带来明显的资金流出,那么基金家族就存在短期内采用集中优势资源打造明星基金策略的动机,且不需要长期保持明星基金的明星业绩。经实证检验发现,明星基金不仅为自身带来更多的资金流入,而且确实存在溢出效应,为同一家族旗下的其他基金带来了更多的资金流入。但是假设明星基金出现是在t季度(下同),明星基金自身的资金流入更多的是发生在t季度,而明星家族基金的资金流入更多的是发生在t+1季度,这可能与不同信号传递的速度不同有关。另外,资金净流入比率与基金业绩的标准差之间呈现出负相关,与理论分析一致。而在t+1季度,t季度的明星基金自身没有出现明显的资金流出,而t季度的明星家族基金有显著的资金流入。在t+2季度,t季度的明星基金出现明显的资金流出,但资金流出比率远低于t季度的资金流入比率,而t季度的明星家族基金没有明显的资金流出迹象。综合来看,基金家族在短期内采用集中优势资源打造明星基金的策略具有可行性,而且明星基金的业绩并不需要长期维持在明星的水平。接着对明星基金家族的业绩和明星基金业绩之间的关系进行考察,如果在明星基金业绩上升的同时,明星基金家族的业绩却在下降,那么就存在基金家族就存在短期内采用集中优势资源打造明星基金的现象。定义影响力基金和影响力基金家族,实证结果表明,影响力基金家族整体的业绩与家族内影响力基金的业绩之间呈现出正相关关系,影响力基金业绩的提升也带动了其所在基金家族整体业绩的提高,但实证结果显示仍然有少部分的基金家族采用集中优势资源打造明星基金的策略使家族自身利益最大化。既然存在有少部分的基金家族采用集中优势资源打造明星基金的策略使家族自身利益最大化这样的现象,我们就有疑问具有什么样特征的基金家族更偏好采用这样的策略呢?于是使用Logit模型检验基金家族中出现明星基金的概率与基金家族的某些特征变量之间是否具有相关性,以找出更偏好采用打造明星基金策略的基金家族所具有的特征。实证结果显示,不管基金家族整体的业绩是好还是不好,家族旗下各基金之间业绩相差较大,家族旗下基金数量较多的基金家族内出现明星基金的概率更大。而具有这样特征的基金家族,如果再加上家族整体业绩不好,且在近来较长的时间内没有出现过明星基金,那么就更有可能会采用集中优势资源打造明星基金的策略,打造明星基金的动机将会更强。在实证部分的最后,对现实中明星基金的明星业绩的持续性进行统计分析,以考察明星基金能否在较长的一段时间内保持其优良业绩,对基金家族集中优势资源打造明星基金是否系短期行为进行验证。统计结果表明,绝大部分明星基金存在“一季游”现象,在统计范围内只当选过一次明星基金,明星基金很难在较长的一段时间内保持其优良业绩。这种现象从一方面反映出基金的业绩受很多方面因素的影响,明星基金很难长期保持在明星的行列中,从另一方面也反映出一些基金家族集中优势资源打造明星基金以吸引投资者眼球,为基金家族带来更多的资金流入的行为更多的时候系短期行为,没有能力长期保持明星基金的优良业绩。最后,对本文的研究进行总结,并给出相应的建议,包括有关基金管理费率的建议和政策建议。本文的主要创新之处包括：一、从投资者心理的角度,使用晕轮效应相关理论解释明星基金的溢出效应。二、对t季度的明星基金在t季度当季和t+1季度给基金家族的资金流动带来的影响进行考察,考察时间扩展至两个季度,而不只是局限于以往文献通常考察的t+1季度。三、对明星基金业绩的下滑是否会给自身和基金家族资金流动带来明显的资金流出进行实证检验,以考察基金家族是否存在短期内采用集中优势资源打造明星基金策略的动机,而且不需要长期保持明星基金的明星业绩。假设明星基金的出现是在t季度,考察时间为随后两个季度,即t+1季度和t+2季度。四、对明星基金家族整体业绩与明星基金业绩之间的关系进行实证检验,定义影响力基金和影响力基金家族,旨在考察一段时间内明星基金业绩与明星基金家族业绩之间的持续性关系。如果在明星基金业绩上升的同时,明星基金家族的业绩却在下降,那么就存在基金家族在短期内采用集中优势资源打造明星基金的现象。五、对明星基金重复当选的频率进行统计,以考察明星基金明星业绩的持续性,明星基金能否在较长的一段时间内保持其优良业绩,对基金家族集中优势资源打造明星基金是否系短期行为进行验证。
[Abstract]:With the sustained and rapid development of China's fund industry, the scale of the market continues to expand, the development of the fund industry presents some characteristics of familialization. However, due to the relatively short development time of the fund industry in China, the domestic research on the fund industry is still relatively limited, and the lack of analysis of the family behavior model of the fund. With the rapid development, the number of fund families has increased significantly, and the competition among fund families has strengthened day by day. This paper explores the operation law of fund market and the behavior pattern of fund families.
Firstly, this paper theoretically analyzes the motivation of fund families to adopt the strategy of concentrating superior resources to build star fund to enlarge the size of fund families, and then theoretically analyzes that the net inflow of funds is positively correlated with the current performance of the fund, but negatively correlated with the standard deviation of fund performance, and that star funds have spillover effects. Star funds with outstanding performance can not only bring more capital inflows to themselves, but also have spillover effect, which brings more capital inflows to other funds under the same family. This phenomenon makes the strategy of building Star Funds feasible. Theoretical analysis is divided into three aspects.
Firstly, from the perspective of information asymmetry theory, this paper analyzes the motivation of fund families to adopt the strategy of concentrating superior resources to build star fund to enlarge the size of fund families. Fund investors want to get as much return as possible, while fund managers want to expand the size of the fund family as possible. The inconsistency of interests between fund investors and fund managers leads to moral hazard. To maximize the size of the fund family, so as to maximize the interests of the family, and the use of centralized resources to create star fund can bring more capital inflow to the fund family, to achieve the expansion of the family size.
Secondly, from the perspective of modern portfolio theory, this paper analyzes the relationship between the net inflow of funds and the fund's current performance and the standard deviation of performance.
The fund's current performance reflects to a certain extent the fund manager's investment management ability. If a fund's current performance is good, to some extent, the fund manager's investment management ability should be good, then due to the fund manager's excellent investment management, the expected return of the fund should also be relatively high. Therefore, if a fund's current performance is good, investors have reason to expect that the fund's future performance will be equally good, and the fund will be launched to buy, resulting in a large inflow of funds, indicating that the fund's current performance is positively related to the net inflow of funds. Poor performance, less net capital inflow, or even net outflow of capital (i.e. negative net inflow).
The greater the standard deviation of the fund, the higher the risk of the fund. Most investors are risk averse (and a small number of investors are risk neutral or risk preference), if the risk of the fund is too high, or if the return of the fund can not be obtained. The greater the standard deviation of fund performance, the greater the risk, the more capital outflows; the smaller the standard deviation of fund performance, indicating the performance of the fund. The more stable, the lower the risk, the less capital outflow.
Third, from the perspective of investors'psychology, this paper uses the theory of halo effect to analyze the causes of star fund spillover effect in fund families. A star fund appears in a fund family, which conveys to investors that star fund managers have strong investment management capabilities. Investors often start from the star fund, star fund will be the part of the fund, star fund. The halo extends to the entire fund family to be more general. It is believed that not only the managers of the star fund have strong investment management ability, but also the entire fund family where the star fund is located has strong investment management ability, so the fund investors will buy all the funds under the star fund family, not only only. It's for star funds. As a result, investors are affected by the halo effect, which leads to the spillover effect of star funds.
Then, the paper goes into the empirical part. Using panel data, the paper makes an empirical test on the spillover effect of Star Funds in fund families, and then makes an empirical test on the impact of star funds'declining performance on fund family's fund flow, and examines whether star funds will bring obvious fund flow to fund families after their performance declines. If there is a spillover effect of star fund, and star fund will not bring obvious capital outflow to fund family after performance decline, then fund family will have the motivation to adopt the strategy of concentrating superior resources to build star fund in the short term, and do not need to maintain star fund performance for a long time. Star funds not only bring more capital inflows to themselves, but also do have a spillover effect, bringing more capital inflows to other funds under the same family. But assuming that Star funds appear in the T quarter (the same below), the inflows of Star funds themselves are more likely to occur in the t quarter, while Star Family Funds have more capital inflows. In addition, there is a negative correlation between the net inflow ratio and the standard deviation of fund performance, which is consistent with the theoretical analysis.
In the T + 1 quarter, the star fund itself did not appear obvious outflow, while the star family fund in the T quarter has significant inflow. in the T + 2 quarter, the star fund in the T quarter has obvious outflow, but the outflow rate is far lower than the fund inflow rate in the t quarter, while the star family fund in the T quarter is not obvious. Overall, it is feasible for the fund family to adopt a strategy of centralizing resources to build star funds in the short term, and the performance of star funds does not need to be maintained at the star level for a long time.
Then the relationship between the performance of the star fund family and the performance of the star fund is investigated. If the performance of the star fund family is declining while the performance of the star fund is rising, then there is a phenomenon that the fund family uses the concentrated advantage resources to build the star fund in the short term. The empirical results show that there is a positive correlation between the overall performance of the influential fund family and the performance of the influential fund family. The improvement of the performance of the influential fund also promotes the overall performance of the fund family. However, the empirical results show that there are still a small number of fund families using concentrated resources. The strategy of creating Star Funds maximizes the family's own interests.
Since there is a phenomenon that a small number of fund families use the strategy of centralized resources to create Star funds to maximize their own interests, we wonder what characteristics of fund families prefer to adopt such a strategy. So we use Logit model to test the probability and probability of Star Funds in fund families. The empirical results show that, regardless of whether the overall performance of the fund family is good or bad, the performance of the fund family varies greatly, and the fund family has a large number of funds. Star funds are more likely to appear in the family, and the fund families with such characteristics, if combined with the family's overall performance is not good, and there has not been a star fund for a long time in recent years, are more likely to use the strategy of centralized resources to create Star funds, star funds will be more motivated.
At the end of the empirical part, this paper makes a statistical analysis of the persistence of star performance of Star Funds in reality, examines whether star funds can maintain their good performance in a long period of time, and verifies whether it is a short-term behavior for fund families to concentrate their superior resources to build star funds. The phenomenon of "one-season tour" exists, in which only one star fund has been elected in the statistical range, it is difficult for the star fund to maintain its good performance for a long time. Some fund families concentrate their superior resources to create Star funds to attract investors'attention, and the behavior of bringing more capital inflows to fund families is more short-term behavior, and they are unable to maintain the good performance of Star Funds in the long run.
Finally, this paper summarizes the research and gives corresponding suggestions, including suggestions and policy recommendations on fund management fee rate.
The main innovations of this paper include:
First, from the perspective of investor psychology, we use halo effect theory to explain the spillover effect of star funds.
Secondly, this paper examines the impact of the Star Funds of the T quarter on the fund family's fund flow in the current quarter and the T + 1 quarter, and the study time is extended to two quarters, not just limited to the T + 1 quarter, which is usually examined in the previous literature.
Thirdly, this paper empirically examines whether the declining performance of star funds will bring obvious outflow of funds to the fund family and the fund family, so as to examine whether the fund family has the motivation to adopt the strategy of centralized resources to build star funds in the short term, and does not need to maintain the star performance of Star Funds for a long time. The emergence is in the T quarter, the inspection time for the next two quarters, that is, the t+1 quarter and the t+2 quarter.
Fourthly, this paper empirically examines the relationship between the overall performance of star fund families and the performance of star fund families, and defines the influence fund and the influence fund families, aiming at examining the persistent relationship between the performance of star fund families and the performance of star fund families over a period of time. The performance is declining, so there is a phenomenon that the fund families use concentrated resources to build star funds in the short term.
Fifthly, the frequency of star fund re-election is counted to investigate the sustainability of star fund performance, whether star fund can maintain its good performance in a long period of time, and whether it is a short-term behavior for fund families to concentrate superior resources to build star fund.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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