中国开放式基金规模对其业绩的影响研究

发布时间：2018-05-13 09:09

本文选题：开放式基金 + 基金规模　；参考：《对外经济贸易大学》2014年硕士论文

【摘要】：随着我国资本市场的发展，投资者的日益成熟，我国开放式基金的规模逐年攀升，基金管理公司发行的基金数量也逐年快速增长。截至2014年上半年，我国境内共有基金管理公司93家，管理的开放式基金规模达到36118.22亿元，创业历史新高；境内共有1714只公募基金，其中1587只为开放式基金，占据主导地位。基金公司出于自身利益最大化的考虑，总是追求更大的规模，由于基金公司收取固定费率的管理费，因此更大的规模就意味着更多的收入，但是一只基金的规模越大对投资者来说是否是好事呢？规模大是否能给投资者带来更多收益呢？一些基金在达到一定规模之后会暂停申购，基金规模越大是否对基金业绩有不利影响，这值得我们深思。一般认为，大型基金公司会拥有更多的资源，能购买更多数据，雇佣更多专业人员，同时基金管理中一些固定成本的部分不会随着规模的扩大而同比例扩大，这会给基金带来规模效应。不过，规模的扩大也会带来诸多问题，比如从流动性约束的角度看，随着基金规模的变大，基金经理将不再只是市场价格的接受者，很大程度上可能会成为价格的引导者，其交易行为会对市场价格形成冲击，导致交易摩擦成本加大，会对基金的收益造成影响。从基金公司管理能力和基金经理的个人能力角度看，，在基金规模扩大的情况下，基金公司的管理能力却是有限的，因此在不断扩大的规模与不足的管理能力之间将存在缺口，当基金规模迅速扩大后，会使得基金公司的管理灵活性下降，管理能力不足，同时基金规模的扩大需要更多的基金经理共同管理基金，群体决策不经济也会对基金的收益造成影响。另外，对于规模较大的资产组合，即使是投资风格较为激进的基金经理，也会被迫转变投资风格，由激进转为稳健。而更为稳健的投资风格就意味着相对较低的风险，从而获得相对较低的收益水平。本文通过理论分析和实证检验的方法对我国开放式基金规模对其业绩的影响作了多角度的阐述，构建了计量模型检验了理论假设，主要从基金投资风格转变和基金流动性变化的角度解释基金规模对基金业绩的影响，模型运行结果发现，在控制了基金股票换手率、现金流流入等影响因素后基金规模对基金业绩依然有显著的程度较大的负面影响。
[Abstract]:With the development of China's capital market and the maturity of investors, the scale of open-end funds in China is rising year by year, and the number of funds issued by fund management companies is also increasing rapidly year by year. Up to the first half of 2014, there are 93 mutual fund management companies in our country, and the scale of open-end funds managed reaches 3.611822 trillion yuan, which is a new high in the history of starting a business. There are 1714 public funds in China, of which 1587 are open-end funds, which occupy the leading position. For the sake of maximization of their own interests, the fund companies always pursue a larger scale. Because the fund companies charge a fixed rate of management fees, a larger scale means more revenue. But is the size of a fund good for investors? Will the scale bring investors more money? Some funds will be suspended after a certain size, the larger the fund size will have a negative impact on fund performance, which is worth our thinking. It is generally believed that large fund companies will have more resources to buy more data, hire more professionals, and that the fixed cost portion of fund management will not expand in proportion to the size of the fund. This would have a scale effect on the fund. However, the expansion of scale also brings many problems, such as from the point of view of liquidity constraints, as the size of the fund becomes larger, fund managers will no longer be the recipients of market prices, but will probably become the price guides to a large extent. Its trading behavior will impact on the market price, leading to the increase of transaction friction costs, which will have an impact on the return of the fund. From the perspective of the management ability of the fund company and the personal ability of the fund manager, the management ability of the fund company is limited in the case of the fund scale expansion, so there will be a gap between the growing scale and the insufficient management ability. When the size of the fund expands rapidly, the management flexibility of the fund company will be reduced, and the management ability will be insufficient. At the same time, the expansion of the fund size will require more fund managers to jointly manage the fund. Uneconomical group decision-making will also have an impact on the return of the fund. In addition, for larger portfolios, even the more aggressive managers will be forced to shift from aggressive to robust. A more robust investment style means a relatively low risk and thus a relatively low level of return. Through theoretical analysis and empirical test, this paper expounds the impact of the scale of open-end funds on the performance of China's open-end funds from various angles, and constructs an econometric model to test the theoretical assumptions. This paper mainly explains the influence of fund size on fund performance from the angle of fund investment style change and fund liquidity change. The result of the model shows that the turnover rate of fund stock is controlled. Fund size still has a significant negative impact on fund performance after factors such as cash flow inflow.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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