开放型信托投资基金经理的激励问题探究

发布时间：2018-07-04 10:16

本文选题：次贷危机 + 信托投资基金　；参考：《南京理工大学》2013年硕士论文

【摘要】：2007年美国爆发了次贷危机,并迅速影响美国金融、经济的稳定。美国的次贷危机导致全球的金融风暴。在我国,广大投资者寄希望通过具有专家理财、分散风险功能的信托投资基金,来实现资本的保值增值。在此次金融风暴中,信托投资基金并未表现出自身优势,使得投资者资本金严重亏损,而基金公司仍然获得了丰厚的利润。广大投资者对此纷纷表示不满,对投资基金产生了强烈的质疑。在我国,基金管理公司收取年费的标准,是依照《基金法》规定,以管理基金的净资产的1.5%收取。在这种缺乏风险激励机制和投资损失风险赔偿约束机制下,基金管理人收益报酬和风险责任是不对称的,即报酬与风险不相关,这导致基金管理人自然缺乏盈利的动力。为了解决上述问题,本文通过对基金经理的显性激励和隐性激励的研究,实现投资者与基金公司的收益共享、风险共担。首先,是对基金经理显性激励的研究,从理论的角度系统地研究了线性激励契约对基金经理行为的影响及其作用。假设基金经理具有获得市场额外信息的能力,并且这种能力的付出需要花费成本,综合考虑基金经理的“努力水平”与风险选择的相互作用及关系。本文发现把基准投资组合写进合同可以起到激励的作用,并增加投资者对基金经理的了解。研究了对称费用结构与激励费用结构对基金经理风险选择的影响,考虑基金经理具有相同的风险规避度,在对称费用结构下,基金经理对投资组合风险的选择,受到自身的偏好、投资者的偏好以及市场状况的约束；在激励费用结构下基金经理所选择的最优风险水平一定会高于对称费用结构下经理人所选择的最优风险水平。其次,是对基金经理隐性激励的研究,主要是从基金是否获得超额收益、基金经理是否具有选股能力与择时能力方面展开的。本文用Treynor指数、Sharpe指数以及Jensen alpha指数来衡量基金是否能够获得超额收益,并用我国2006年至2010年的开放式基金进行实证,并得到了与实际相符的结论。用早前的比较经典的Treynor-Mazuy模型[33]与Henriksson-Merton模型[34]来度量基金经理是否具有选股能力与择时能力,同样应用我国开放式基金进行了实证。目前常常用来度量基金经理是否具有选股择时能力的模型是Characteristic Selectivity (CS)模型,我们对其进行了简单介绍,由于该模型具有不稳定性,本文进一步利用K-means算法将CS进行改进,克服了原有CS模型的缺点,并利用我国2001年-2011年的开放式基金数据进行实证,得到了新的基金经理选股能力结果。
[Abstract]:In 2007, the subprime mortgage crisis broke out in the United States, and quickly affected the financial and economic stability of the United States. The subprime mortgage crisis in the United States led to the global financial turmoil. In our country, the majority of investors hope to realize the maintenance and appreciation of capital through the trust investment fund with the function of expert financing and risk dispersal. In the financial turmoil, trust investment funds did not show their own advantages, leaving investors with heavy capital losses, while fund companies still made substantial profits. The majority of investors have expressed dissatisfaction with this, investment funds have had strong doubts. In our country, the standard of annual fee collected by fund management company is to collect 1.5% of the net assets of fund according to the regulation of fund law. In this lack of risk incentive mechanism and investment loss risk compensation mechanism, the return reward and risk liability of fund manager are asymmetric, that is, the reward is not related to risk, which leads to the fund manager's lack of profit motive force. In order to solve the above problems, this paper studies the explicit incentive and implicit incentive of fund manager to realize the income sharing and risk sharing between investors and fund companies. First of all, the paper studies the influence of linear incentive contract on the behavior of fund manager and its effect from the perspective of theory. Assuming that the fund manager has the ability to obtain additional market information, and the cost of the ability to pay for this ability, consider the "level of effort" of the fund manager and risk selection of the interaction and relationship. This paper finds that the inclusion of the benchmark portfolio in the contract can serve as an incentive and increase the investor's understanding of the fund manager. This paper studies the influence of symmetric cost structure and incentive cost structure on risk selection of fund managers. Considering that fund managers have the same degree of risk aversion, under symmetric cost structure, fund managers choose the risk of investment portfolio. Under the incentive cost structure, the optimal risk level chosen by the fund manager will be higher than the optimal risk level chosen by the manager under the symmetrical cost structure. Secondly, the research on implicit incentive of fund manager is mainly from the aspects of whether the fund gets excess return, whether the fund manager has the ability of stock selection and timing. This paper uses Treynor index Sharpe index and Jensen alpha index to measure whether the fund can get excess return, and makes an empirical study with the open-end fund from 2006 to 2010 in China, and obtains the conclusion in accordance with the actual situation. This paper uses the classical Treynor-Mazuy model [33] and the Henriksson-Merton model [34] to measure the ability of stock selection and timing of fund managers. At present, Characteristic selectivity (CS) model, which is often used to measure whether the fund manager has the ability of stock timing, is simply introduced. Because the model is unstable, this paper further uses K-means algorithm to improve CS. It overcomes the shortcomings of the original CS model and makes use of the open-end fund data of our country from 2001 to 2011 to obtain the results of new fund managers' stock selection ability.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F272.92;F832.49

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