基金经理投资冒险行为的驱动与约束研究

发布时间：2018-01-22 19:26

  本文关键词： 冒险行为 补偿契约 投资者偏好 基金激励 基金治理　出处：《电子科技大学》2016年博士论文　论文类型：学位论文

【摘要】：证券投资基金作为我国金融市场重要的机构投资者,一直被政府的证券监管机构寄予厚望,希望通过机构投资者的超常规发展以达到降低证券市场波动、稳定市场的目的。然而从我国证券投资基金的管理实践来看,我国股票型证券投资基金自身却具有较高的风险水平,证券投资基金的超常规发展还没有达到证券监管机构稳定金融市场的良好预期。由于基金经理的投资行为本质上是为基金投资者提供的一种代理投资金融服务,基金经理具有的有限责任和委托代理双方风险收益不对称特征可能驱动基金经理在投资中倾向于选择高风险的资产,这种投资冒险行为不仅可能构成损害基金投资者利益的基金经理道德风险,还将推动金融资产价格对内在价值的系统性偏离,进而加剧整个金融市场的波动甚至进一步引发金融泡沫。对基金经理投资冒险行为的研究,有助于更好地发挥机构投资者稳定市场功能,完善我国证券投资基金的监管机制,引导和规范基金经理的投资行为。不同于一般的公司委托代理关系,证券投资基金的经理人努力水平和基金产出的风险水平都是基金经理可以选择和调整的内生变量,基金经理可能背离其作为机构投资者代理投资的“风险管理”初衷,在投资实践中实施一定的投资冒险行为来实现自身补偿最大化的目的。结合中国证券投资基金市场的特殊背景,本文综合运用金融经济学、行为金融学、资产定价和风险管理等理论,采用规范的金融市场计量经济分析方法,对我国基金经理的投资冒险行为进行研究。本文将基金经理选择的基金风险水平超越了基金所对应的业绩比较基准风险水平这种投资行为界定为基金经理投资冒险行为,分别研究了基金经理投资冒险行为的评价、基金经理投资冒险行为所面临的驱动因素和基金经理投资冒险行为的约束机制,并对如何防范与控制我国基金经理的投资冒险行为给出了相应对策建议。论文主要研究内容具体包含以下三个方面:(一)基金经理投资冒险行为的评价。本文通过考察基金经理投资冒险行为产生的结果,基于基金经理自身和基金投资者角度对基金经理投资冒险行为进行评价。基于中国证券投资基金市场2004-2012年36个季度的非平衡面板数据,实证结果显示,我国基金经理的投资冒险行为总体上有损基金投资者福利,其行为更多体现出基金经理具有一定的“道德风险”而并非“信息优势”。进一步,本文将基金经理的冒险途径分为风险资产占比调整、系统性风险调整和特质风险调整三种方式,发现不同途径下基金经理投资冒险行为对基金经理回报和投资者福利的影响则有所不同,基金经理通过调整特质风险的冒险行为降低了基金经理的回报但却有利于提升基金投资者的福利,而基金经理通过系统风险调整的冒险行为增加了基金经理的回报却对基金投资者福利造成了损害。(二)基金经理投资冒险行为的驱动。本文分别基于基金经理补偿契约和基金投资者风险偏好两种视角,研究了基金经理投资冒险行为发生的主要驱动因素。一方面,本文分别构建离散时间和连续时间下的基金经理最优风险选择模型,研究发现,在对称结构的基金经理补偿契约中,驱动基金经理投资冒险行为的主要因素是基金经理对自己所处形势的主观判断和基金经理自身的风险偏好。特别地,当基金经理认为自己所管理基金的收益超越业绩比较基准的可能性很小,自己在期末面临“损失”的可能性较大时,他们的投资冒险行为就会发生。而当经理人补偿契约从对称结构变为非对称结构时,如果基金经理具有递减的绝对风险厌恶(DARA)偏好,非对称补偿契约结构更可能导致基金经理投资冒险行为的发生。另一方面,通过构建基金投资者资金流理性预期模型并结合我国开放式基金的非平衡面板数据的实证分析,本文对我国基金投资者的风险态度研究后发现,我国基金投资者对以原始业绩波动率表征的基金总体风险并不在乎,甚至表现出一定的“风险追逐”偏好,投资者这种风险态度对我国基金经理的投资冒险行为构成一种隐性驱动。进一步的研究发现,这种驱动主要针对基金经理的“适度冒险”行为,当基金经理表现出“过度冒险”行为时,投资者资金流-业绩之间的凸性会逐渐减小,来自基金投资者的冒险驱动作用会有弱化的趋势。(三)基金经理投资冒险行为的约束。以“弱化基金经理道德风险行为驱动”为出发点,本文分别从基金投资者“用脚投票”市场约束和基金自购制度约束这两个方面考察了基金经理投资冒险行为的约束机制。基金投资者对基金经理投资冒险行为的约束主要从投资者资金流的结构特征考察,期望发现基金投资者对基金经理投资冒险行为“用脚投票”的市场机制发挥作用;而制度约束层面,则以基金自购为例,检验基金自购制度的引入与实践,是否真正有利于基金经理和基金投资者之间建立较好的风险分担机制。研究结论显示,我国基金投资者“用脚投票”方式实现对基金经理投资冒险行为的市场约束效果还有待进一步完善,而以基金自购为代表的制度性约束则体现出较好的约束效果。
[Abstract]:Securities investment fund is an important institutional investor in China's financial market, has been the government securities regulators have great expectations, hope that through the extraordinary development of institutional investors in order to reduce the fluctuation of stock market and stabilize the market. However, from the management practice of Chinese securities investment funds, securities investment fund of our own it has a high level of risk, expected super conventional development of securities investment fund has not yet reached the securities regulatory authorities to stabilize the financial market. Due to the nature of investment behavior of fund managers is provided for fund investors a proxy investment in financial services, the fund manager has limited liability and agency both risk and return asymmetry may driving in the investment fund managers tend to choose high risk assets, the risk investment behavior may not only damage The moral hazard of fund managers the interests of fund investors, will also promote the financial asset price system on the intrinsic value of the deviation, thus increasing the volatility of financial markets and even lead to financial bubbles. The research on fund managers' investment risk behavior, help to better exert the function to stabilize the market of institutional investors, improve the regulatory mechanism of China's securities investment the fund's investment behavior, guide and regulate the fund manager. The company is different from the general principal-agent relationship, the effort level of the securities investment fund managers and fund output levels of risk are fund managers can select and adjust the endogenous variables, fund managers may deviate from its institutional investors as a proxy for investment intention, "risk management" the implementation of certain investment in the practice of risk-taking behavior to achieve their own compensation maximization objective. Combined with China securities investment The special background of the fund market, this paper uses financial economics, behavioral finance, asset pricing and risk management theory, the financial market econometrics standard analysis methods, to study our fund manager's investment behavior risk. This paper will fund risk level of fund managers choose beyond the corresponding fund performance benchmark the level of risk investment behavior is defined as the investment fund manager of risk-taking behavior, evaluation respectively study the fund manager's investment risk behavior, driving factors and constraint mechanism of the fund manager investment risk behavior facing fund managers' investment risk behavior, and how to prevent and control our fund manager's investment risk behavior gives the corresponding countermeasures and suggestions. The main content of this thesis includes the following three aspects: (a) evaluation of the investment fund manager the risky behaviour. The effects of the investment fund manager of risky behavior results, fund managers and fund investors own perspective on the fund manager's investment behavior risk evaluation based on unbalanced panel data. China market securities investment fund 2004-2012 36 quarter based on the empirical results show that our fund manager's investment behavior of fund investors welfare loss risk in general. His behavior reflects more fund managers have a certain "moral hazard" and not "information superiority". Further, the adventure way fund managers into risk assets ratio adjustment, systemic risk adjustment and idiosyncratic risk adjustment in three ways, found that the influence of different ways of investment return of the fund manager risk-taking behavior of the fund manager investors and welfare is different, the fund manager's risk-taking behavior by adjusting the idiosyncratic risk reduces the fund manager's back But the report is conducive to enhancing the welfare of fund investors, fund managers through the system of risk adjusted risk behavior increased the fund manager's return to welfare fund investors caused damage. (two) driven fund managers to invest in risky behavior. Based on the fund manager compensation contract and fund investors' risk preference two perspectives respectively. The main driving factors of the investment fund manager of risky behavior. On the one hand, this paper constructs the fund manager optimal risk choice model, discrete time and continuous time study found that in the symmetrical structure of the fund manager compensation contract, the main driving factors of the investment fund manager of risk-taking fund managers on their own position the subjective judgment and the fund manager's risk appetite. In particular, when fund managers think that their fund management income beyond performance comparison The benchmark possibility is very small, they face the possibility of a larger "loss" in the end, they risk behavior will happen. When the executive compensation contract from the symmetric structure into asymmetric structure, if the fund manager has a decreasing absolute risk aversion (DARA) preferences, compensation contract is more likely to occur in asymmetric structure the fund manager investment venture. On the other hand, through the construction of fund investors capital flow rational expectation model and empirical unbalanced panel data of China's open-end fund analysis, this paper on China's fund investors' risk attitude research found that China's fund of fund investors do not care about the overall risk characterization in the original performance fluctuations rate, even showed a certain risk preference, the risk attitude of investors in our fund manager's investment behavior into a kind of adventure The recessive drive. Further study found that, mainly for fund managers "moderate risk-taking" driving this, when fund managers showed "excessive risk-taking" investors, capital flow - convexity between performance will decrease and the driving effect of fund investors from risk will be weakened. (three) fund manager investment in risky behavior constraints. To weaken the moral hazard behavior of fund manager to drive "as the starting point, this paper from the constraint mechanism of fund investors" vote by foot "market constraints and institutional constraints of the fund since the purchase of two of the investment fund manager of risky behavior. The influences of structure of fund investors on fund managers' investment risk behavior the main constraint from the investor capital flows, fund investors expect to find on fund managers' investment risk behavior" market mechanism to vote with their feet "play a role Use and institutional constraints; level, the fund since the purchase as an example, the inspection of funds from the purchase of the introduction and practice of the system, really help fund managers and fund investors to establish better risk sharing mechanism. The conclusion of the study shows that China's fund investors vote with their feet "to achieve the risk-taking behavior of the fund manager's investment the market discipline effect still needs to be further improved, and institutional constraints to the fund since the purchase reflects the constraint effect better.

【学位授予单位】：电子科技大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.51
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本文编号：1455556