基金管理公司自购行为效应研究 - 基于基金业绩的视角

Research on the behavior effect of the fund management company from the perspective of the fund performance

摘要:(摘要内容经过系统自动伪原创处理以避免复制,下载原文正常,内容请直接查看目录。)

我国基金业起步于20世纪90年月,经由疾速的成长,现已与股票、债券和期货等配合组成了我国金融市场系统。20多年时光里,我国基金业阅历了由关闭式基金为开始,进而向开放式基金改变,并成长到今朝以开放式股票型基金为重要类型的成长过程。2001年,我国首只开放式基金华安立异基金的设立标记着我国开端了开放式基金时期,中国基金业从此开端由关闭式基金向开放式基金的逾越改变。开放式基金以其本身所具有的自在申赎和优越的活动性特点得以蓬勃成长,逐步代替关闭式基金,成了基金市场的主流。跟着我国基金市场各项司法律例的出台,基金市场涌现了史无前例的成长势头。据中国证券业协会统计,截止2013年岁尾,我国基金市场中的基金治理公司数目、基金只数、基金资产和份额等都获得了疾速进步。但是,在我国基金业疾速成长的同时,我国基金市场中的成绩也逐步凸显。例如:基金市场主体之间的拜托署理成绩、基金治理人的低效力的固定治理费率机制和频仍的基金申赎带来的基金市场动摇等。这些成绩的存在限制了我国基金市场成长进步的措施。基金自购行动是近几年我国基金市场中涌现的景象。基金自购分为自申购和自赎回,是指基金治理公司应用自有固定资金购置或赎回旗下治理的基金的行动。今朝,关于这一景象的剖析说明只是见诸于收集和各年夜证券报相干人士的简略剖析,鲜有对这一行动的实际和实证研讨。但是,基金治理公司是联接基金投资者和基金司理的桥梁。基金治理公司作为署理人和拜托人的两重身份使其在基金市场中饰演侧重要的脚色。基金治理公司的行动遭到基金市场的广泛存眷。是以,研讨基金治理公司自购行动后果,经由过程该行动与基金事迹之间关系的影响来提醒自购行动的真实目标,研讨其对基金市场的影响具有主要实际意义。文章共分为六个部门。详细内容为:第一部门为导论。本部门起首引见了本文的研讨配景、研讨目标和意义。然后提出本文写作所应用的文献研讨法、实际剖析法和实证剖析法和写作的思绪和文章的架构。最初是本文研讨的立异与进献。本文的重要立异和进献在于:起首提出了静态拜托署理关系的实际剖析办法,并联合静态的两重拜托署理实际对基金治理公司自购行动停止了剖析。其次,基金市场中基金治理公司自购行动开端逐步增长,而关于这一行动的研讨今朝比拟少,本文对基金治理公司自购行动停止了实际和实证剖析,提醒了这一行动景象的缘由和目标。关于指点投资者决议计划,增强监管者对基金市场的监视具有主要的价值。而且,文章丰硕了基金市场行动研讨文献。第二部门为文献综述。本部门重要从基金事迹评价目标文献和基金事迹影响身分研讨文献两个方面停止述评。基金事迹评价目标文献综述部门重要引见了均值-方差模子、Jensen指数模子、Treynor指数模子、Sharp指数模子、T-M模子和H-M模子的评价道理,并对其长处和缺乏和应用的情形停止了剖析评价。基金事迹影响身分研讨文献综述部门重要引见了今朝国际外学者所配合存眷的基金范围、基金费率、基金司理特点、基金投资作风、基金家族特点和基金流量等方面临基金事迹的影响研讨结论并停止了评述。第三部门为基金治理公司自购行动的实际剖析。本文基于信息纰谬称实际、两重拜托署理实际、旌旗灯号传递实际和羊群效应实际对基金治理公司自购行动停止了实际剖析。在基金市场中,基金投资者、基金治理公司和基金司理之间信息纰谬称招致基金投资者与基金治理公司、基金治理公司与基金司理两重拜托署理关系的存在,并招致“逆向选择”成绩和“品德风险”。基金投资者基于“旌旗灯号传递效应”和“羊群效应”偏向于跟随基金治理公司的行动。但是,基金治理公司作为“感性人”知晓其所处的市场位置和其行动会对基金市场发生主要影响。基金治理公司可以经由过程其行动阁下投资者的决议计划。是以,对基金治理公司自购行动研讨,提醒其行动目标和所传递的旌旗灯号质量可以赞助投资者做出感性决议计划和监管者制订公道监管政策。第四部门为研讨假定与研讨设计。起首,本部门基于实际剖析,提出了本文的四个研讨假定:(1)基金治理公司自申购量与当期基金事迹明显正相干;(2)基金治理公司自申购量与后一期基金事迹明显正相干;(3)基金治理公司自赎回量与当期基金事迹明显负相干;(4)基金治理公司自赎回行动与后一期基金事迹明显负相干。其次,本文拔取了基金治理公司自购量作为说明变量;以基金事迹作为被说明变量;拔取了基金范围、基金年纪、基金投资作风、基金治理公司旗下基金数目、基金流量和基金司理学历程度作为掌握变量。然后,依据研讨目标、假定和变量树立了两个模子。最初,本部门引见了变量数据的起源与样本的选择整顿。第五部门为实证研讨剖析。本文分离对基金治理公司自申购和自赎回行动停止了描写性统计剖析、相干性磨练、模子回归剖析和稳健性磨练。并对各类实证研讨成果停止了剖析,说明了研讨成果所包含的意义。经由过程实证研讨,本文发明基金治理公司自申购与当期基金事迹呈明显负相干关系,谢绝了假定1;基金治理公司自申购与后一期基金事迹正相干,异样谢绝假定2;基金治理公司自赎回与当期基金事迹正相干,谢绝假定3;基金治理公司自赎回与后一基金负相干,接收假定4。第六部门为本文的研讨结论、政策建议、缺乏和瞻望。本文研讨发明,基金治理公司自申购行动和自赎回行动的后果是纰谬称的。第一,基金治理公司自申购行动与当期基金事迹明显负相干而与后一期基金事迹非明显正相干,解释基金治理公司自购行动不具有基金事迹较好的旌旗灯号,基金治理公司自申购是为了扩展基金范围、防止基金被清盘等目标,而且这一目标是短时间的,不具有历久性。第二,基金治理公司自赎回行动与当期事迹正相干,而与后一期基金事迹明显负相干,解释基金治理公司自赎回行动代表基金事迹降低旌旗灯号。是以,基金治理公司自申购没有传递基金事迹好的真实旌旗灯号,而基金治理公司自赎回切实其实代表着基金事迹将来降低的真实信息。鉴于本文的研讨结论,作者提出了响应的政策建议。关于投资者来讲,应当感性对待基金治理公司行动,切勿自觉跟风。基金治理公司自申购行动可以误导投资者决议计划,投资者应谨严效仿投资;基金治理公司自赎回行动是基金事迹降低的表示,基金投资者可以作为风向标。关于监管者来讲,应当依据基金治理公司自购行动对基金市场的影响的利害来制订响应办法,防止该行动惹起的市场动摇,也充足施展该行动对市场的积极感化。最初提出了本文的研讨缺乏的地方和将来研讨的瞻望。起首,本文样本量较小,代表性能够缺乏是文章最年夜的缺点。其次,本文对自购行动的研讨是较浅易的,对自购行动目标只是简略的划分了两个对峙情形,而基金治理公司自购的目标能够是多方面的。是以,在将来研讨中,跟着自购行动案例的增长,赓续进步样本范围是完美该研讨的重点,另外,对基金治理公司自购行动的目标停止更深条理更细分的剖析研讨可以周全提醒该行动的影响。

Abstract:

China's fund industry started in twentieth Century 90 years, through the rapid growth, has been with the stock, bond and futures, such as the composition of China's financial market system. 20 years of time, China's fund industry has gone through the closed end fund for the start, and then to open the fund to change, and growth to the current open type of equity funds as an important type of growth process. In 2001, the establishment of China's first open-end fund Huaan Innovation Fund marked China began the period of open-end fund, the fund industry in China from beginning from the closed end fund to open-end fund beyond the change. Open end fund with its own freedom of claims and superior characteristics to flourish, and gradually replace the closed fund, has become the mainstream of the fund market. With the introduction of the judicial laws and regulations of the fund market, the fund market has emerged an unprecedented growth momentum. According to the China Securities Industry Association statistics, as of the end of 2013 years of age, the number of fund management companies in the fund market in China, the number of funds, the fund's assets and shares have gained rapid progress. However, the rapid growth of China's fund industry at the same time, the performance of the fund market in China has gradually become prominent. For example: between the subject of funds market entrust acting performance, fund governance the low effectiveness of controlling the fixed rate mechanism and frequent fund Shen redeem the fund market volatility. The existence of these problems limits the development of China's fund market measures. Fund since the purchase of action is in recent years, the emergence of the fund market in china. From the fund to buy into self purchase and redeem himself back, is refers to the fund management company applied its own fixed capital purchase or redemption of its action to the management of the fund. Currently, about the scene analysis that is documented in on the collection and the eve of the Securities Journal coherent sources of the simple analysis, few of the theoretical and empirical research. However, the fund management company is a bridge linking fund investors and fund managers. Fund management companies as the dual identity of agents and please people make it an important role in the fund market. Fund management companies have been widely concerned about the operation of the fund market. Is to study the effect of the fund management company since the purchase of action, through the relationship between the action and the fund's impact on the relationship between the story to remind the real goal of the purchase action, the impact on the fund market has a major practical significance. The article is divided into six departments. The first section is an introduction. The Department first introduced the research background, research objectives and significance of this article. Then put forward the literature research method, practical analysis and empirical analysis method and the structure of the article. The first is the research innovation and contribution. The important innovation and contribution lies in: first put forward the static please Acting Relationship between the practical analysis method, and combined static double please acting practice of fund management company since the purchase action to carry on the analysis. Secondly, the fund market, the fund management company since the beginning of the gradual growth of the purchase action, and the current study of this action is less, this article on the fund management company since the purchase of action to stop the actual and empirical analysis, to remind the reason and objectives of this action scene. With regard to the guidance of the investor decision, strengthen the supervision of the fund market has a major value. Moreover, the article has enriched the fund market action research literature. The second sector is a literature review. This section is an important part of the evaluation of the performance of the fund and the fund's impact on the identity of the two aspects of the literature review of the literature review. Fund performance evaluation target literature review Department of the mean variance model, Jensen index, Treynor index, Sharp index model, T-M model and H-M model of the evaluation of the truth, and its strengths and lack of the situation and application of the analysis of evaluation. Fund deeds affect identity research literature review Department of the current international scholars with the focus of the fund range, fund rates, fund managers characteristics, fund investment style, the characteristics of the fund family and fund flows and other aspects of the impact of the impact of research conclusions and comments. Third departments for the fund management company from the actual analysis of the purchase action. In this paper, based on the information PI paradox says real, double please actual acting, signal transfer actual herd effect and actual of fund management companies since the purchase action of theoretical analysis. In the fund market, fund investors, fund management company and the fund manager information PI paradox says lead to fund investors and fund management companies, fund management companies and fund our science and double entrust acting relation, and lead to "adverse selection" achievement and "moral risk". Fund investors based on the "signal transfer effect" and "herding" tend to follow the action of fund management company. However, the fund management company as a "sensible person" know the market position and its action will be the main impact on the fund market. A fund management company may adopt a resolution plan for its action by the investor. Is to fund governance

目录:

摘要4-8
Abstract8-12
1 导论16-25
    1.1 研究背景16-19
    1.2 研究意义和目的19-21
        1.2.1 研究意义19-20
        1.2.2 研究目的20-21
    1.3 研究方法和思路框架21-24
        1.3.1 研究方法21
        1.3.2 研究思路和结构框架21-24
    1.4 本文的创新与贡献24-25
2 文献综述25-37
    2.1 基金业绩评价指标研究文献综述25-29
        2.1.1 均值-方差模型25
        2.1.2 Jensen指数模型25-26
        2.1.3 Treynor指数模型26-27
        2.1.4 Sharp指数模型27
        2.1.5 T-M模型27-28
        2.1.6 H-M模型28-29
    2.2 基金业绩影响因素文献综述29-37
        2.2.1 基金规模对基金业绩的影响29-31
        2.2.2 基金费对基金业绩的影响31-32
        2.2.3 基金经理对基金业绩的影响32-33
        2.2.4 基金投资风格对基金业绩的影响33-34
        2.2.5 基金家族特征对基金业绩的影响34-35
        2.2.6 基金流量对基金业绩的影响35-37
3 基金管理公司自购行为理论分析37-42
    3.1 信息不对称理论37-38
    3.2 双重委托代理理论38-40
    3.3 信号传递理论40-41
    3.4 羊群效应理论41-42
4 研究假设与研究设计42-47
    4.1 研究假设42
    4.2 变量的选择与计量42-45
        4.2.1 被解释变量的选择与计量42-43
        4.2.2 解释变量的选择与计量43
        4.2.3 控制变量的选择与计量43-45
    4.3 模型设计45
    4.4 数据来源与样本选取45-47
5 实证研究分析47-59
    5.1 描述性统计47-52
        5.1.1 基金管理公司自申购描述性统计47-49
        5.1.2 基金管理公司自赎回描述性统计49-52
    5.2 相关性检验52-54
        5.2.1 基金管理公司自申购行为变量相关性检验52-53
        5.2.2 基金管理公司自赎回行为变量相关性检验53-54
    5.3 模型回归分析54-56
        5.3.1 基金管理公司自申购行为回归分析54-55
        5.3.2 基金管理公司自赎回行为回归分析55-56
    5.4 稳健性检验56-59
        5.4.1 基金管理公司自申购行为稳健性检验57-58
        5.4.2 基金管理公司自赎回行为稳健性检验58-59
6 研究结论、政策建议与不足59-63
    6.1 本文的研究结论59-60
    6.2 本文的政策建议60-62
    6.3 本文的不足与展望62-63
参考文献63-67
后记67-68
致谢68-69
在读期间科研成果目录69