我国基金家族效应的实证研究

发布时间：2018-03-18 04:14

本文选题：基金家族　切入点：投资者异质性　出处：《南京财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：从我国第一只开放式基金——华安创新证券投资基金成立至今,我国开放式基金市场历经12年的改革与发展已逐渐走向成熟。需要关注的是,证券投资基金中特有的委托代理机制以及基金管理公司作为基金市场上独立利益主体的存在,使得完善基金治理约束和基金家族管理体系成为证券投资基金市场健康稳定发展过程中始终难以忽视的问题。本文针对基金家族在进行基金管理过程中为了追求自身利益最大化这一目标,通过构建投资者基金需求模型和基金家族利润最大化模型,在此基础之上对我国开放式基金市场中基金家族效应对投资者异质性、家族成员基金的影响两个问题进行了深入研究。本文的结构如下：第一章为引言,主要介绍了本文的研究背景和研究意义,同时对相关问题的国内外研究现状进行了综述和评价。第二章介绍了我国基金市场概况,包括基金市场现状、证券投资基金的分类；基金家族的发展特征以及从基金家族偏好和资源配置行为两个方面对基金家族的特征进行了分析。第三章对基金家族成员基金的非独立性问题进行了理论分析。通过引入理论模型采取基金产品差异化的方法分析了基金家族应对投资者异质性问题的最优策略和基金家族为实现自身利益最大化在提高基金费率和扩大基金资产规模之间的选择。第四章利用我国开放式基金的年度数据通过线性回归和动态面板广义矩估计的方法对基金家族与投资者异质性之间的关系进行了实证研究。实证结果表明,我国基金市场上存在基金家族驱动异质性,基金家族效应发挥的作用大于基金个体之间差异对投资者行为产生的影响。第五章利用我国开放式基金的年度数据通过动态面板广义矩估计的方法从基金业绩和基金增殖的视角考察基金家族效应对其成员基金的影响。基金差异化程度低时,基金家族会通过调整资源配置而对成员基金的业绩表现产生有益影响来吸引投资者；基金差异化程度高时,基金家族会通过增发基金填补市场空缺来扩大家族基金规模。第六章是本文的结论,同时指出了本文的不足。
[Abstract]:Since the establishment of China's first open-end fund, Hua'an innovative Securities Investment Fund, China's open-end fund market has gradually matured after 12 years of reform and development. The special principal-agent mechanism in the securities investment fund and the existence of the fund management company as the independent interest subject in the fund market, It is difficult to ignore the improvement of fund governance constraints and fund family management system in the process of the healthy and stable development of the securities investment fund market. This paper aims at the fund family in the process of fund management in order to pursue. The goal of maximizing self-interest, On the basis of constructing the investor fund demand model and the fund family profit maximization model, the paper analyzes the heterogeneity of the fund family effect to the investors in the open-end fund market in China. The structure of this paper is as follows: the first chapter is the introduction, mainly introduces the research background and significance of this paper. The second chapter introduces the general situation of China's fund market, including the current situation of the fund market, the classification of securities investment funds; The development characteristics of the fund family and the characteristics of the fund family from the two aspects of the fund family preference and resource allocation behavior are analyzed. Chapter three makes a theoretical analysis of the non-independence of the fund family member fund. By introducing the theory model and adopting the method of fund product differentiation, this paper analyzes the optimal strategy of fund family to deal with the heterogeneity problem of investors and the fund family in order to maximize its own interests in order to increase the fund rate and expand the fund capital. Chapter 4th makes an empirical study on the relationship between the heterogeneity of the fund family and investors by using the method of linear regression and dynamic panel generalized moment estimation using the annual data of open-end funds in China. There are fund family driven heterogeneity in China's fund market. The influence of fund family effect is greater than that of individual fund on investor behavior. Chapter 5th uses the annual data of open-end fund in China to estimate the performance of the fund through the method of dynamic panel generalized moment estimation. From the perspective of fund multiplication, this paper examines the influence of fund family effect on its member funds. When the degree of fund differentiation is low, The fund family attracts investors by adjusting the allocation of resources and exerting a beneficial influence on the performance of the member funds. The fund family will expand the scale of the family fund by issuing additional funds to fill the gap in the market. Chapter 6th is the conclusion of this paper and points out the deficiency of this paper.
【学位授予单位】：南京财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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