我国证券投资基金管理人持基效应研究

发布时间：2018-04-04 23:15

本文选题：证券投资基金　切入点：基金管理人　出处：《广西大学》2014年硕士论文

【摘要】：随着我国资本市场的发展,证券投资基金迅速发展成为市场上重要的机构投资者,对我国资本市场稳定健康发展有着重要的意义。然而在基金业快速发展的同时,基金治理问题也逐渐凸显,基金“老鼠仓”和利益输送等背信行为损害了投资者利益,导致一些投资者对基金投资失去了信心。这些问题的发生引发人们思考,如何才能缓解基金委托代理关系中的管理人与投资者之间的代理冲突,有效激励节约基金管理人,防止其不当行为的发生,从而保护投资者的权益?将基金管理人与持有人的利益捆绑是解决这些问题的关键。在公司治理理论中,对管理层进行股权激励是实现公司管理人与股东之间利益趋同,缓解两者之间委托代理冲突的重要机制。那么,对基金管理人实施持基激励是否能够实现基金管理人与持有人之间的利益一致,提高基金治理效率呢?这是本文研究的问题所在。 2012年我国证监会修订了《关于基金从业人员投资证券投资基金有关事项的规定》,鼓励基金管理公司对基金从业人员持有本公司或本人管理的基金份额事宜作出相关的制度安排,推动基金管理人持基激励机制的发展。本文以此为背景,从理论模型分析和实证检验两方面深入研究基金管理人持基效应。本文以委托代理模型为基础,构建了基金管理人与基金持有人的委托代理模型,比较分析了在基金管理人持基和不持基情况下,管理人行为决策的效用,从理论上考察了基金管理人持基效应。理论模型分析的结论是,基金管理人持基能够提高基金管理工作的努力水平,有效制约基金管人在决策中的冒险行为,降低基金投资组合的风险承担。对持基比例的影响因素在理论模型中也进行了理论分析论证。最后,在理论模型分析的基础上,本文以我国开放式基金作为研究对象,并将所有研究样本按基金投资风格分为股票型基金和非股票型基金两组样本,实证检验了我国基金管理人持基效应。研究结果表明,股票型基金管理人持基具有显著的正向效应,基金管理人持基能够提高基金业绩,并降低基金投资组合风险；但非股票型基金管理人持基未能够产生符合预期的积极效应,基金管理人持基比例不能显著影响基金业绩,且还会导致基金风险承担的增加。实证研究还发现基金规模、基金成立年限、市场指数变化率以及无风险收益显著影响基金管理人持基比例。
[Abstract]:With the development of China ' s capital market , the rapid development of the securities investment fund becomes an important institutional investor in the market , which is of great significance to the stable and healthy development of our capital market .

In 2012 , China Securities Regulatory Commission revised the provisions on the related matters of the Fund ' s investment securities investment fund , and encouraged the fund management company to make relevant institutional arrangements for the fund units held by the fund practitioners or the fund managers to promote the development of the foundation incentive mechanism of the fund manager . In this paper , the base effect of the fund manager from the theoretical model analysis and the empirical test are discussed in this paper .

Based on the principal - agent model , this paper constructs the principal - agent model of fund manager and fund - holder , and compares the utility of manager ' s behavior decision - making with fund manager ' s holding base and non - holding base . The conclusion is that fund manager ' s holding group can improve fund management ' s effort level , effectively restrict the risk - taking behavior of fund managers in decision - making and reduce the risk of fund investment portfolio .

Finally , based on the theoretical model analysis , this paper takes China ' s open - end fund as the research object , and divides all research samples into two groups of stock fund and non - stock fund according to the fund investment style . The results show that the fund manager has obvious positive effect , the fund manager can improve the fund ' s performance and reduce the risk of fund investment portfolio .
However , non - stock fund managers are not able to generate positive effects which are in line with the expected positive effects . Fund managers can ' t significantly influence fund performance and also lead to an increase in fund risk . The empirical study also finds that the size of the fund , the period of the fund ' s establishment , the rate of change of market index and the non - risk income significantly affect the base proportion of the fund manager .

【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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