券商关联基金的投资与业绩：信息优势还是利益冲突？

发布时间：2018-04-22 09:35

本文选题：证券投资基金 + 利益冲突　；参考：《厦门大学》2014年硕士论文

【摘要】：截至2014年01月底,公募基金资产规模共计31238.14亿元,是资本市场主要的机构投资者。笔者发现：我国92家公募基金管理公司中,41家由券商控股(简称为券商关联基金或券商系基金)。不同于券商关联基金向相应券商的分仓收入倾斜的显而易见,券商关联基金对券商投资银行业务的“暗中支持”则更为隐蔽,由于券商与其关联基金间的利益冲突与合谋,券商具有利用其关联基金为其投行部门“招揽顾客”的动机,因此存在“利益冲突”；同时,券商关联基金可能从投行获取内部信息,从而具备“信息优势”。本文从利益冲突的视角审视券商关联基金的业绩和投资行为,研究“信息优势”和“利益冲突”的净效应。本文通过理论分析和实证研究相结合的研究方法,从“信息优势”和“利益冲突”这样崭新的角度研究了基金股东的券商背景对基金业绩和投资行为的影响。本文选用2008年至2013年的基金业绩和持股数据作为研究样本。首先实证比较了券商关联基金与非券商关联基金的各种风险收益指标。本文进一步研究了券商关联基金管理公司这一业绩偏差的可能原因。文章的最后对券商关联基金管理公司的投资行为进行分析和探讨,并提出相关监管和投资者保护的建议。本文的研究发现,券商关联基金经风险调整的业绩系统性的低于非券商关联基金。导致这一业绩差异的原因可能是券商关联基金过度持有了关联券商的客户股票,被持有的客户股票往往表现较差。另外,较高的佣金净值比也可能在一定程度上影响基金业绩。本文的主要意义和创新在于：首先,将金融集团内部的信息优势和利益冲突这一崭新视角引入到国内基金研究领域,不仅丰富了该领域的文献,也为市场参与者提供更加直观的信息。其次,本文定量的探究了这一业绩差异的可能原因,丰富了这一领域的实证经验。最后,本文视角独特,对基金管理公司治理、基金监管、投资者保护具有现实意义。
[Abstract]:At the end of January 2014, the fund had 3.123814 trillion yuan in assets and was the main institutional investor in the capital market. The author finds out that 41 of the 92 public fund management companies in China are controlled by securities firms. Unlike the apparent tilt of securities related funds to the respective securities firms' share income, the "secret support" of the securities firms' associated funds to the securities firms' investment banking business is even more subtle, because of the conflicts of interest and collusion between the securities companies and their associated funds. Brokerage firms have the motive of using their associated funds to "attract customers" for their investment banking departments, so there is a "conflict of interest"; meanwhile, the securities firms' associated funds may obtain internal information from investment banks, thus possessing "information advantages". This paper examines the performance and investment behavior of securities related funds from the perspective of conflict of interest, and studies the net effects of "information superiority" and "conflict of interest". Through the combination of theoretical analysis and empirical research, this paper studies the influence of stockholders' background on fund performance and investment behavior from the perspective of "information advantage" and "conflict of interest". This article selects the fund performance and the stock holding data from 2008 to 2013 as the research sample. Firstly, the paper compares the risk return index between the related fund and the non-securities related fund. This paper further studies the possible causes of this performance deviation. In the end, the paper analyzes and discusses the investment behavior of the fund management company, and puts forward some suggestions on supervision and investor protection. This paper finds that the risk-adjusted performance of securities related funds is systemic lower than that of non-brokerage associated funds. The reason for the difference may be that the brokerage association fund overowns the client stock of the related broker, and the client stock held by the broker tends to be poor. In addition, a higher net-to-commission ratio may also affect fund performance to some extent. The main significance and innovation of this paper are as follows: firstly, introducing the new perspective of information superiority and conflict of interest within financial groups into the research field of domestic funds not only enriches the literature in this field, It also provides more intuitive information for market participants. Secondly, this paper quantitatively explores the possible causes of this performance difference and enriches the empirical experience in this field. Finally, this paper has a unique angle of view, which has practical significance for fund management corporate governance, fund supervision and investor protection.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】