报酬激励与持基激励对基金管理人不当行为治理的研究

发布时间：2018-05-03 05:15

本文选题：基金治理 + 不当行为　；参考：《华南理工大学》2013年博士论文

【摘要】：近年来，中国金融市场上许多投资基金的业绩回报低于预期，行业黑幕不时被媒体曝光，基金经理的诚信遭受公众的质疑，导致整个投资基金行业陷入“委托—代理冲突”的漩涡，投资者对基金购买的热度趋冷，投资基金业的发展进入瓶颈期。这些状况引发人们思考，作为代表公众进行集合投资的证券投资基金，其目前的治理架构与制衡机制能否成为基金管理人为持有人创造价值的源泉？在学术领域，目前许多学者从完善基金内外部激励与约束机制的角度，在内容层面提出通过法律约束、业绩排名、声誉激励、基金管理公司治理、基金托管人监督等措施应对基金持有人与管理人之间的委托代理冲突问题，但是面对外部激励与约束机制失效，内部激励与约束机制缺位的现实环境，这些研究只停留在理论探讨和政策建议层面。在实践领域，2007年和2012年，以中国证监会为代表的基金管理层先后颁布：“关于基金从业人员投资证券投资基金有关事项”的通知和规定，鼓励基金管理人对员工购买基金做出制度安排，以期建立基金从业人员与基金份额持有人的利益绑定机制。理论上，管理者持基可以促进基金管理人与持有人之间形成共享利益、共担风险的机制，从而约束基金管理人的不当行为，提高基金治理水平，但现有的研究对中国契约型基金制度情境下，基金治理的规制变化及管理人持基激励实施效果未能进行系统性研究。针对中国契约型基金存在的治理难点，特别是对管理人不当行为理论研究上的不足，本文以基金管理人与持有人的委托代理关系为切入点，首先分析了基金管理人损害投资人利益的行为不仅包括违反法律的行为，还包括在基金日常管理和运作中难以观测到的各种不当行为，信息不对称和契约成本过高是基金管理人不合法和非合理行为产生的根源。随后，以完善证券投资基金的治理机制为目标，基于委托代理理论、博弈论和行为金融学的相关理论，运用描述性统计、比较研究、理论模型推导等方法，对基金管理人不当行为产生的原因及中国契约型基金治理的难点进行剖析，提出中国契约型开放式基金的治理应该从建立有效的内部激励机制寻求突破口：一是设计有效的基金管理人报酬激励机制；二是通过基金管理人持有其所管理的基金，实现代理人的目标与委托人的目标协调一致。最后，推导优化基金管理人报酬激励机制和反映基金管理人持基激励效用的理论模型，从基金管理人努力水平、投资组合风险选择、运营管理成本三个方面对基金管理人持基激励的有效性进行实证分析，并深入考察影响管理人持基因素，研究结果表明，基金管理人持基可改善投资基金的业绩，降低证券投资组合的风险，，是治理基金管理人不当行为的长效机制。本研究的贡献主要体现在两个方面：首先，在研究内容上，提出管理人持基激励是治理基金管理人不当行为的长效机制。治理基金管理人不当行为的内部激励机制不可能一蹴而就，在短期内，管理层可以放开对基金固定费率的管制，在特定的法律框架内让管理费报酬契约成为基金管理人和持有人之间市场行为选择的结果，使基金管理的报酬能够体现管理人的能力、信誉与基金规模效益；从长远来看，促进基金管理人持基激励规则的完善是监管部门和基金管理公司为谋求基金行业平稳发展的应尽职责。其次，在研究方法上，理论推导和实证研究管理人持基的效用。应用“莫里斯——霍姆斯特姆条件”的委托代理理论模型，论文推导和比较了管理人不持基和持基两种情况下的效用函数，基于理论模型的分析结果进行实证研究，论证了管理人持基比例越高，愿意付出的努力越多；管理人持基比例越大，投资就越发谨慎，所选择的最优投资组合风险越小。本文研究结论认为，持基激励能够有效治理基金管理人的不当行为。本文深化了对基金管理人内部激励机制的研究，同时为治理基金管理人不当行为的制度建设提供经验证据。
[Abstract]:In recent years, the performance returns of many investment funds in China's financial market are less than expected, and the industry black curtain has been exposed from time to time by the media. The credibility of the fund managers has been questioned by the public, resulting in the whole investment fund industry falling into the whirlpool of "entrustment - agent conflict", the heat of investors' purchase of funds is cold, and the development of investment fund industry has entered. Bottlenecks. These conditions arouse people's thinking, as a securities investment fund representing the public to invest in a collection. Can the current governance structure and balance mechanism be the source of value creation for the holder of the fund manager?
In the academic field, many scholars present the problem of principal agent conflict between fund holders and managers from the angle of improving the internal and external incentive and constraint mechanism of the fund, including legal constraints, performance ranking, reputation incentive, fund management company governance, fund custodian supervision and so on. The reality of incentive and restraint mechanisms and the absence of internal incentive and restraint mechanisms remain at the theoretical and policy level.
In the field of practice, in 2007 and 2012, the fund management layer, represented by the China Securities Regulatory Commission (CSRC), promulgated the notice and regulations of "the fund practitioners investing in securities investment funds", and encouraged the fund managers to make institutional arrangements for the employees to buy funds in order to establish the fund holders and fund share holders. In theory, the manager's holding base can promote the mechanism of sharing interests and sharing risks between managers and holders of fund managers, thus restricting the improper behavior of fund managers and improving the level of fund management. However, under the situation of contractual fund system in China, the regulation changes of fund management and management holders are held in the context of the contractual fund system of China. The implementation effect of basic incentive has not been systematically studied.
In view of the difficulties in the governance of the contractual fund in China, especially the inadequacy of the study of the manager's misconduct theory, this paper, taking the principal agent relationship between the fund manager and the holder as the breakthrough point, first analyzes the behavior of the fund manager to damage the investor's interests, including not only the act of violating the law, but also the daily management of the fund. Information asymmetry and high contractual cost are the root causes of improper and unreasonable behaviors of fund managers.
Then, in order to improve the governance mechanism of securities investment fund, based on the theory of principal-agent, game theory and behavioral finance, descriptive statistics, comparative study and theoretical model derivation are used to analyze the causes of the misconduct of the fund managers and the difficulties of the governance of the Chinese contractual fund. The governance of the contract open-end fund should seek a breakthrough from the establishment of an effective internal incentive mechanism: one is to design an effective fund manager reward incentive mechanism; the two is to realize the agreement between the target of the agent and the target of the principal through the fund manager holding the funds managed by the fund manager.
Finally, it derives the theoretical model of optimizing fund manager's reward incentive mechanism and reflecting the foundation incentive utility of fund manager. It analyses the effectiveness of fund manager's motivation based on three aspects of fund manager's effort level, portfolio risk selection and operation management cost. The research results show that the fund manager can improve the performance of the investment fund and reduce the risk of the portfolio. It is a long-term mechanism to govern the misconduct of the fund manager.
The contribution of this study is mainly reflected in two aspects: first, in the research content, it is proposed that the manager's base incentive is a long-term mechanism to govern the improper behavior of the fund manager. In a specific legal framework, management fee remuneration contract is the result of market behavior choice between the fund manager and the holder. The remuneration of the fund management can reflect the manager's ability, reputation and fund scale benefit. In the long run, the improvement of the foundation incentive rules of the fund manager is the supervision department and the fund management public. In order to seek the smooth development of the fund industry, the company should do its duty. Secondly, in the research method, the author deduces and empirically studies the utility of the manager's holding base. It applies the principal-agent theory model of "Maurice Holmes special condition". The paper derives and compares the utility functions of the manager's non holding base and the holding base, which is based on the theory of theory. On the basis of the empirical study of the analysis results of the model, the higher the proportion of the manager's holding base, the more effort is willing to pay; the greater the proportion of the manager's base, the more prudent the investment is, the smaller the risk of the optimal portfolio selection. The conclusion of this paper holds that the base incentive can effectively control the misconduct of the fund manager.
This paper deepens the research on the internal incentive mechanism of fund managers, and provides empirical evidence for the institutional improvement of fund managers' misconduct.

【学位授予单位】：华南理工大学
【学位级别】：博士
【学位授予年份】：2013
【分类号】：F272.92;F275;F832.51

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