我国基金经理持基激励效应研究

发布时间：2018-03-10 10:03

本文选题：双重委托代理　切入点：基金公司　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：自2006年大牛市来,我国证券投资基金业飞速发展,在我国基金业管理资产规模迅速膨胀,基金产品层出不穷,从业人员迅速增加的同时,基金公司高管和基金经理变更事件却屡屡发生。一份调查报告显示,2013年离职后有明确去向的90名基金经理中选择投奔私募的有69位,占比高达77%。种种迹象表明,基金经理高离职率的背后是整个基金行业激励机制的缺失,而激励机制缺失的根本原因则源于证券投资基金这种特殊的双重委托代理关系。在这种特殊的代理关系中,投资者期望资产增值最大化,基金公司期望管理规模最大化,而基金经理则期望个人效用最大化,由于三者的目标函数不一致,这就产生了委托代理问题。这种双重委托代理关系将导致三者之间的利益冲突更加明显。激励机制的缺失也引发了大家对基金行业的思考,越来越多的学者开始从公司治理的角度探讨针对基金管理人的新的激励措施,其中持基激励被认为是一种比较巧妙的办法。为研究这种新的激励措施在理论和现实中的效应,本文先对已有文献资料进行了系统梳理,为后续研究做准备。紧接着在前人研究的基础上,构建研究模型,在一定的参与约束和激励相容约束下对分别对模型中涉及到的持基比例、努力程度和风险偏好求最优解。模型研究得到的结论是持基激励确实可以提高基金经理的努力程度,对他们的风险选择也有正面影响。持基激励能提高他们的努力程度,促使他们努力收集信息,进行会选择较高风险的组合以获取更高的收益,但实际的风险由于精度的提高并没有明显增加；影响持基比例的因素主要有基金的规模、从业人员的经验、风险偏好以及市场的表现等。为对模型分析得到的结论进行验证,本文选取了从2010年即实施了持基激励的210只主动管理类股票型基金为样本,以半年度为区间,利用2010年初至2013年6月份基金公司半年报和年报披露出来的数据,分别对模型得到的结论进行验证。实证结果与理论分析相一致,持基比例和基金业绩之间的系数是正的,和投资组合的风险之间的系数也是正的,与基金日波动率之间的系数是负的,显示实际风险并没有增加。持基比例与基金经理的风险偏好之间的系数是正的,与基金规模之间的系数是负的,与无风险利率之间不显著。理论和实证都证实持基激励确实能一定程度上解决基金业存在的双重委托代理问题。
[Abstract]:Since the great bull market in 2006, the securities investment fund industry of our country has developed rapidly. At the same time, the management assets of the fund industry in our country have expanded rapidly, the fund products have emerged in endlessly, and the number of employees has been increasing rapidly. Fund executives and fund managers have changed a lot. 69 of the 90 fund managers who left their jobs in 2013, or 77 percent, chose to go to private equity, according to a survey report. The lack of incentive mechanism in the whole fund industry is behind the high turnover rate of fund managers, and the fundamental reason for the lack of incentive mechanism is the special double principal-agent relationship of securities investment funds. Investors expect to maximize the value of assets, fund companies expect to maximize the scale of management, and fund managers expect to maximize individual utility, because the objective functions of the three are not consistent. This kind of double principal-agent relationship will lead to more obvious conflicts of interest among them. The lack of incentive mechanism also leads to the thinking of the fund industry. More and more scholars begin to explore new incentives for fund managers from the perspective of corporate governance. In this paper, the existing literature is systematically combed in order to prepare for the follow-up study. Then, based on the previous studies, the research model is constructed. Under certain participation constraints and incentive compatible constraints, the optimal solution is obtained for the proportion of base holding, effort level and risk preference involved in the model, respectively. The conclusion of the model study is that the base-holding incentive can really improve the effort of fund managers. They also have a positive impact on their risk choices. Based-based incentives increase their efforts to gather information and make a combination of higher risk choices to generate higher returns. However, the actual risk has not been significantly increased due to the improvement of accuracy; the main factors that affect the proportion of the base are the size of the fund, the experience of the practitioners, risk preference and market performance, etc. In order to verify the conclusions of the model analysis, In this paper, 210 active management equity funds, which have been implemented from 2010 to 2010, are selected as samples. The half-year interval is used to make use of the data disclosed by the semi-annual reports and annual reports of the fund companies from early 2010 to June 2013. The empirical results are consistent with the theoretical analysis. The coefficients between the base ratio and the performance of the fund are positive, and the coefficients between the risk of the investment portfolio and the risk of the investment portfolio are positive. The coefficient with the daily volatility of the fund is negative, indicating that the actual risk does not increase. The coefficient between the base ratio and the risk preference of the fund manager is positive, and the coefficient between the ratio and the fund size is negative. The theoretical and empirical results show that the base-holding incentive can solve the dual principal-agent problem in the fund industry to some extent.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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