本文選題：資金流動 + 基金營銷　； 參考：《西南財經(jīng)大學(xué)》2012年博士論文

【摘要】：2001年我國第一只開放式基金(華安創(chuàng)新)建立,自此開啟了我國開放式基金市場飛速發(fā)展的新階段。截止2010年底,我國共有基金管理公司61家,管理的基金規(guī)模達(dá)到2.3萬億元,基金品種超過700只,基金已成為我國個人資產(chǎn)配置中僅次于股票的最重要的金融投資工具。雖然基金市場的廣度、深度和影響力都在快速提高,但是基金投資的業(yè)績卻差強(qiáng)人意。據(jù)基金公司年報統(tǒng)計,2010年我國61家基金公司為投資者創(chuàng)造了50億元的財富,而基金公司的管理費(fèi)用卻高達(dá)302億元；2011年64家基金管理公司整體虧損5004億元,管理費(fèi)用超過288億元。投資者“雪上加霜”與基金公司的“旱澇保收”形成鮮明的對比,這個現(xiàn)象已經(jīng)引起了學(xué)術(shù)界、實務(wù)界以及監(jiān)管機(jī)構(gòu)的高度關(guān)注。形成這一問題的根源在于我國開放式基金實施的是固定管理費(fèi)率制度,在此制度背景下,基金公司與投資者的目標(biāo)發(fā)生背離�；鸸芾砉镜哪繕�(biāo)是擴(kuò)大基金規(guī)模,獲取高額的管理費(fèi)用,而投資者的目標(biāo)是獲取更高的業(yè)績增長,二者的利益訴求不同,目標(biāo)函數(shù)錯位,從而導(dǎo)致基金管理公司嚴(yán)重的道德風(fēng)險問題。 學(xué)術(shù)研究中,通常以基金的資金流動來衡量基金規(guī)模的變化,本文立足于我國資本市場的基本特征,分別從基金營銷策略、基金經(jīng)理對資金流動的反應(yīng)等角度來研究我國基金資金流動的變化和影響。本文試圖回答以下幾個問題： (1)我國基金公司如何營銷基金,市場營銷如何影響基金的資金流動? (2)從我國基金投資的成本與收益角度考慮,投資基金是否物有所值? (3)資金流動如何影響基金的資產(chǎn)配置和未來業(yè)績? (4)我國的基金經(jīng)理是否具有高超的選股能力? 為了回答上面的問題,本文選取2005-2010年我國股票型、偏股型開放式基金復(fù)權(quán)凈值數(shù)據(jù)進(jìn)行實證分析,并手工搜集基金營銷數(shù)據(jù),采用多種計量經(jīng)濟(jì)研究方法得到穩(wěn)健性的實證結(jié)果。本文具體章節(jié)的安排及主要發(fā)現(xiàn)如下： 第一章是序論。分析了基金資金流動這一選題的背景及意義,在國內(nèi)外現(xiàn)有研究的基礎(chǔ)之上,提出本文的研究觀點。介紹了論文的研究對象和研究思路,并給出了論文的研究框架、研究方法。 第二章主要介紹了國內(nèi)外研究中的相關(guān)文獻(xiàn),包括基金資金流動、基金產(chǎn)品營銷、基金的智錢效應(yīng)、隱形交易、基金薪酬激勵、基金的業(yè)績持續(xù)性等等,并對相關(guān)文獻(xiàn)做出簡要的評述。 第三章主要討論了基金營銷與基金資金流動的關(guān)系。與市場營銷影響產(chǎn)品銷售的理論解釋相一致,結(jié)果發(fā)現(xiàn)我國基金營銷對基金資金凈流入有顯著影響,即基金營銷機(jī)構(gòu)、營銷網(wǎng)點、專業(yè)營銷人員的數(shù)量越多,基金資金凈流入越多。平均來說,營銷努力(營銷機(jī)構(gòu)、營銷網(wǎng)點、營銷人員)每增加10%,基金資金凈流入增加1.1-1.6%,基金規(guī)模增加0.5%。進(jìn)一步分析發(fā)現(xiàn),上一年業(yè)績越差的基金,下一年的營銷力度越大。相對于上一年度盈利的基金,上一年虧損的基金在下一年度的新增加的營銷機(jī)構(gòu)、營銷網(wǎng)點、營銷人員平均多出14-60%。 本文發(fā)現(xiàn)基金營銷能顯著提高基金規(guī)模,且業(yè)績越差的基金,營銷方面的努力越強(qiáng),為我國基金存在的“低績效,高費(fèi)用”的現(xiàn)象提供了一種可能的解釋。相對于發(fā)達(dá)國家,我國基金長期以來存在業(yè)績與管理費(fèi)用背離的現(xiàn)象,即基金的收費(fèi)相對較高,但業(yè)績相對較差。而基金賦予了投資者“用腳投票”的權(quán)利,投資者可以比較便捷地從業(yè)績較差的基金中撤出。長期存在的這種“低績效,高費(fèi)用”似乎與市場有效性相違背,為何長期存在這種現(xiàn)象一直是學(xué)者討論的問題(Chevalier和Ellison,1997)。本文的研究指出,基金營銷方面的努力,使得基金資金流入增加,基金公司的規(guī)模得以保持,因此雖然基金業(yè)績較差,在固定管理費(fèi)率的制度下,仍然可以獲取高額的管理費(fèi)用,從而出現(xiàn)“低績效,高費(fèi)用”的現(xiàn)象。 第四章研究了基金薪酬費(fèi)率與基金業(yè)績之間的關(guān)系。由于我國基金管理費(fèi)率幾乎不發(fā)生變化,本文構(gòu)造基金薪酬與管理之比的薪酬費(fèi)率指標(biāo),以此衡量基金經(jīng)理的薪酬激勵強(qiáng)度。結(jié)果發(fā)現(xiàn),基金資金流動與基金薪酬率顯著王相關(guān),且資金流動每增加1%,薪酬率增加0.1%。此外,以薪酬率指標(biāo)大小構(gòu)建基金投資組合,采用Carhart (1997)四因子模型對組合收益風(fēng)險調(diào)整,結(jié)果發(fā)現(xiàn)薪酬率越高的基金組合,風(fēng)險調(diào)整后的業(yè)績越高。面板數(shù)據(jù)分析結(jié)果證實我國投資基金薪酬費(fèi)用率越高,基金未來的業(yè)績越高。最后,以2008年作為牛熊市分界點,采用Fama-MacBeth (1973)橫截面回歸的結(jié)果顯示,2005-2010年基金薪酬率的提高對基金管理人產(chǎn)生了過度冒險的激勵,但2008-2010年熊市中,薪酬激勵的增加有助于基金管理人控制風(fēng)險,減少基金凈值的波動率,說明我國基金管理人處理風(fēng)險的能力較強(qiáng)。 第五章研究資金流動與未來業(yè)績關(guān)系的“智錢效應(yīng)”。通過構(gòu)造基金投資組合,并以Carhart四因子模型對組合業(yè)績進(jìn)行調(diào)整,本文發(fā)現(xiàn)資金流入的組合每年能獲得5-9%的超額收益,而資金流出組合不能獲得超額收益,證實我國基金市場存在“智錢效應(yīng)”�？紤]到資金流動的內(nèi)生性問題,本文進(jìn)一步通過面板數(shù)據(jù)工具變量方法,發(fā)現(xiàn)資金流動對基金業(yè)績產(chǎn)生顯著的正面影響,新資金每增加1%,未來業(yè)績提高0.193%。大量的文獻(xiàn)集中研究基金歷史業(yè)績與資金流動的關(guān)系,本文研究基金資金流動與未來業(yè)績的聯(lián)系,完整了“基金業(yè)績-資金流動”的研究框架,也為檢驗我國資本市場的運(yùn)作效率提供了經(jīng)驗證據(jù)。 第六章研究基金投資“雙十限制”下,資金流動與基金投資組合配置、未來業(yè)績的關(guān)系。所謂基金的“雙十限制”,源于證監(jiān)會于2006年出臺《關(guān)于證券投資基金投資資產(chǎn)支持證券有關(guān)事項的通知》,該通知明確規(guī)定基金投資單只股票比例不得超過10%,也不得超過單只股票市值的10%,簡稱“雙十限制”。本文構(gòu)建基金投資組合分散度指標(biāo)(深度和廣度),發(fā)現(xiàn)資金流動與廣度、深度呈“倒U型”關(guān)系,基金經(jīng)理先增加基金的廣度,后增加基金的深度。投資組合分散度最高的基金比分散度最低的基金每年超額收益率高出6%。進(jìn)一步的研究,面板數(shù)據(jù)分析結(jié)果也顯示,投資組合的分散度與基金未來業(yè)績呈“倒U型”關(guān)系,如果資金平緩流入,基金表現(xiàn)出“智錢效應(yīng)”；資金流入過多,則表現(xiàn)出“規(guī)模效應(yīng)” 第七章研究基金無法觀察到的“隱形交易”與資金流動的關(guān)系�；鸲ㄆ谂冻謧}結(jié)構(gòu),投資者無法獲知其詳細(xì)的投資策略,因此基金交易一直被視為一個黑匣子。本文從基金實際收益與披露的投資組合收益之間的缺口出發(fā),通過巧妙的代理變量測算出基金隱形交易的頻度和強(qiáng)度及其帶來的業(yè)績影響。本文發(fā)現(xiàn)隱形交易越多,基金的超額收益率越高,隱形交易最多的基金組合每年的超額收益率較之最低組合高出6%,橫截面回歸分析同樣支持這一結(jié)論�？紤]到資金流動對隱形交易的內(nèi)生性影響,本文進(jìn)一步采用面板數(shù)據(jù)工具變量法,對我國開放式基金的智錢效應(yīng)加以研究,結(jié)果證實資金凈流入越多,基金經(jīng)理人的隱形交易行為越多,從而基金的業(yè)績越高。資金流動通過直接影響基金經(jīng)理人的隱形交易行為,從而間接地對基金未來業(yè)績產(chǎn)生影響。 論文的創(chuàng)新主要表現(xiàn)在以下幾個方面： (1)借助于基金營銷策略的研究,對我國基金出現(xiàn)的“低業(yè)績,高費(fèi)用”現(xiàn)象進(jìn)行了解釋。在現(xiàn)今國內(nèi)外的有關(guān)基金的研究文獻(xiàn)中,幾乎沒有學(xué)者從基金營銷的角度研究資金流動。與國外基金營銷最大的區(qū)別在于,我國基金的申購、贖回大部分來源于商業(yè)銀行網(wǎng)點,因此基金營銷機(jī)構(gòu)的便利、信任和溝通交流成為基金營銷的重點,而代銷機(jī)構(gòu)的專業(yè)化、公平性也成為基金監(jiān)管機(jī)構(gòu)未來監(jiān)管的重點,本文首次從營銷角度分析基金資金流動的影響,為未來理論研究和實證研究提供方向。 (2)次貸危機(jī)之后,針對金融行業(yè)高管薪酬對冒險行為的過度激勵引起了學(xué)術(shù)界的討論,而我國鮮有基金行業(yè)薪酬與風(fēng)險的經(jīng)驗證據(jù)。本文的研究為我國金融安全、基金經(jīng)理薪酬激勵是否會引起冒險行為提供了實證結(jié)果,填補(bǔ)了國內(nèi)該領(lǐng)域研究的空白。 (3)長期以來,我國學(xué)者對基金的動量效應(yīng)以及市場有效性進(jìn)行了深入的探討。本文發(fā)現(xiàn)我國基金也存在智錢效應(yīng),而智錢效應(yīng)的原因與基金經(jīng)理的資產(chǎn)配置分散度、不可觀察的交易密切相關(guān)。本文的研究完整了“資金流動-基金業(yè)績”的研究框架,為未來從理論和實證的進(jìn)一步研究提供了思路。并且結(jié)合行為金融學(xué)的角度,研究了資金流動對基金經(jīng)理行為的影響,豐富了基金研究領(lǐng)域的文獻(xiàn)。 (4)對于基金經(jīng)理是否具有選股能力,本文借鑒國外經(jīng)典文獻(xiàn)做法,采用非參數(shù)自助法抽樣檢驗,將基金經(jīng)理的技術(shù)和運(yùn)氣區(qū)分開,對深入了解我國基金投資的現(xiàn)狀提供了參考依據(jù),也為投資者選擇基金經(jīng)理提供了方向。這樣的研究突破了基金業(yè)績服從正態(tài)分布的假設(shè),具有一般特性,豐富了國內(nèi)基金業(yè)績評價研究的文獻(xiàn)資料。
[Abstract]:In 2001 , China ' s first open - ended fund ( Hua ' an innovation ) was established . At the end of 2010 , there were 61 fund management companies in our country . As of the end of 2010 , there were 61 fund management companies in our country , and the fund variety exceeded 700 . The fund has become the most important financial investment tool next to the stock in our country ' s personal asset allocation .
In 2011 , 64 fund managers had a total loss of RMB 500 , 400 billion yuan , and the management cost exceeded RMB 288 billion . The root cause of this problem lies in the fact that China ' s open - end fund is implemented by fixed management rate system . In this system , fund company and investor ' s objective have deviated from . The aim of fund management company is to expand fund scale and obtain high administrative expenses , and the investor ' s goal is to obtain higher performance growth , and the objective function is wrong , which leads to serious moral hazard problem of fund management company .

In the academic research , the change of fund size is usually measured by the fund flow of the fund . This paper is based on the basic characteristics of the capital market in China , from the perspective of fund marketing strategy , fund manager ' s response to fund flow , etc . The paper tries to answer the following questions :

( 1 ) How do our fund companies marketing funds and marketing how to influence the fund flow ?

( 2 ) Whether the investment fund is worth the value from the point of view of the cost and the income of the fund investment in our country ?

( 3 ) How capital flows affect the fund ' s asset allocation and future performance ?

( 4 ) Whether the fund manager of our country has the ability to select stock ?

In order to answer the above questions , this paper makes an empirical analysis on the net worth data of China ' s stock - type and partial - share open - ended funds in 2005 - 2010 , and manually collects the fund marketing data , and adopts a variety of methods of measuring economic research to obtain the positive results . The arrangement and main findings of the specific sections of this paper are as follows :

The first chapter is the preface . The background and significance of this topic are analyzed . Based on the existing research at home and abroad , this paper puts forward the research viewpoint of this paper . The research object and the research thinking of the paper are introduced , and the research framework and the research method of the paper are given .

The second chapter mainly introduces relevant documents in domestic and foreign research , including fund flow , fund product marketing , fund ' s intellectual money effect , invisible trade , fund salary incentive , fund ' s performance persistence and so on , and makes a brief comment on the relevant literatures .

The third chapter mainly discusses the relationship between fund marketing and fund flow . The result shows that the fund marketing has a significant influence on the net inflow of fund capital , namely , the higher the fund marketing organization , marketing network and professional marketing personnel , the more the fund ' s net inflow is . On average , the higher the fund ' s net inflow , the greater the fund ' s net inflow .

In contrast to the developed countries , China ' s fund has long existed the phenomenon of deviating from the performance and management expenses , namely , the fund is relatively high , but the performance is relatively poor . The long - term " low performance , high cost " appears to be contrary to the market validity . The research in this paper points out that the fund marketing efforts have made the fund inflow increase and the size of the fund company is maintained . Therefore , even though the performance of the fund is poor , under the system of fixed management rate , high administrative expenses can still be obtained , thus the phenomenon of " low performance and high cost " appears .

In the fourth chapter , the relationship between fund salary rate and fund ' s performance is studied . As the fund management rate of our country is hardly changed , the salary rate index of fund manager is measured . The result shows that the higher the fund ' s fund flow and the fund ' s salary rate , the higher the fund ' s future performance .

Chapter five deals with the " intellectual money effect " of the relationship between capital flow and future performance . Through constructing the portfolio of fund investment and adjusting the combined performance with Carhart four factor model , this paper finds that the combination of capital inflow can get the excess return of 5 - 9 % each year , and the fund outflow combination can not get excess earnings .

In chapter 6 , the relationship between fund flow and fund investment portfolio allocation and future performance is discussed . The fund manager first increases the fund ' s breadth , and then increases the depth of the fund . The fund manager increases the fund ' s breadth and then increases the depth of the fund . The fund manager will increase the fund ' s breadth and then increase the depth of the fund . The fund manager will increase the fund ' s breadth and increase the fund depth . The fund manager will have the " inverted U " relationship with the fund ' s future performance .
If there are too much capital inflows , the " scale effect " is shown

Chapter 7 The relationship between the invisible trade and the fund flow that the fund cannot observe . The fund transaction is always regarded as a black box . The higher the fund ' s excess yield , the higher the excess yield of the fund portfolio is more than 6 % higher than that of the lowest combination . The result shows that the more the net inflow of the fund , the more the fund manager ' s invisible trading behavior , the higher the fund ' s performance . The more the fund flow affects the future performance of the fund indirectly through the direct influence of the fund manager ' s invisible trading behavior .

The innovation of the thesis is mainly in the following aspects :

( 1 ) By means of the research of fund marketing strategy , the phenomenon of " low performance and high cost " in China ' s fund has been explained . In the research literature of the funds at home and abroad , there is almost no scholar to study the fund flow from the angle of fund marketing .

( 2 ) After the sub - loan crisis , the excessive incentive for the executive compensation of the financial industry caused the discussion of the academic circle , and there is no empirical evidence of the salary and risk of the fund industry in our country . The research of this paper is the financial security of our country , whether the salary incentive of the fund manager can cause the risk - taking behavior , and fills up the blank of the research in this field .

( 3 ) For a long time , Chinese scholars have conducted an in - depth discussion on the momentum effect and market effectiveness of the fund . In this paper , we find that our fund also has the intelligence and money effect , and the reason of the intellectual money effect is closely related to the fund manager ' s assets collocation dispersion degree and the non - observable transaction .

( 4 ) Whether the fund manager has the ability to select stock , this paper draws lessons from the foreign classic literature practice , uses the non - parametric self - service method to sample the test , provides the reference basis for the deep understanding of the current situation of the fund investment and provides the direction for investors to select the fund manager . The research breaks through the assumption that the fund performance is subject to the normal distribution , has the general characteristics , and enriches the literature data of the research on the performance evaluation of the domestic fund .

【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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4 本報記者 余U，

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