本文選題：開放式基金 + 基金規(guī)模　； 參考：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：隨著我國資本市場的發(fā)展,投資者的日益成熟,我國開放式基金的規(guī)模在不斷攀升,截止2011年底我國開放式基金總凈值為20693.45億元,是成立初規(guī)模的175倍�；鸸究偸窃谧非蟾蟮囊�(guī)模,因為更大的規(guī)模意味著更多的收入,但是一些基金在規(guī)模達(dá)到一定程度后會選擇暫停申購,不斷擴(kuò)大的基金規(guī)模是否會對收益造成影響值得我們深思。隨著基金規(guī)模的擴(kuò)大,基金會有更多的收入去購買數(shù)據(jù),研究上市公司,聘用或培養(yǎng)投資人員,同時隨著規(guī)模的增大,基金中某些費用將不會隨著規(guī)模的增大而同比例增大,這就給基金帶來了規(guī)模經(jīng)濟(jì)效應(yīng)。然而,規(guī)模的增大也會帶來諸多問題,比如在缺少足夠多優(yōu)質(zhì)的投資標(biāo)的的時候,規(guī)模的增大意味著基金經(jīng)理將面臨更多的流動性約束,使得基金不能更快地將現(xiàn)金轉(zhuǎn)化為股票或者股票轉(zhuǎn)化為現(xiàn)金,從而可能錯過了拋售或購買股票的最佳時期。于此同時還要面臨價格沖擊效應(yīng),導(dǎo)致基金售出或者購買股票的成本加大,理論上會對基金的收益造成影響。同時,基金規(guī)模的增大也許會帶來管理上的難度增大,同樣也會影響基金的表現(xiàn)。本文將首先從直觀上判斷基金規(guī)模和其收益的關(guān)系,隨后在加入多個控制變量并剔除一系列因素的情況下,對這種關(guān)系做實證研究,指出基金規(guī)模和基金收益呈現(xiàn)倒“U”型關(guān)系。隨后對這種關(guān)系做出理論解釋,從規(guī)模經(jīng)濟(jì)和流動性約束兩個方面對其進(jìn)行研究,并做出相應(yīng)的實證分析。其中規(guī)模經(jīng)濟(jì)選取的是基金費用率這一指標(biāo),而流動性約束選取的是將基金分類后來研究。文章最終給出的解釋結(jié)果是對于規(guī)模比較小的基金而言,流動性約束的影響可能并不是非常明顯。在這一階段.基金的規(guī)模經(jīng)濟(jì)效應(yīng)起到了重要作用,隨著規(guī)模增大,基金的費用率會降低,對基金的收益產(chǎn)生正的影響。但是當(dāng)基金規(guī)模進(jìn)一步增大時,由于規(guī)模收益遞減,對基金收益的影響開始減弱,而流動性約束越來越凸顯,最終導(dǎo)致基金收益的下滑。
[Abstract]:With the development of China's capital market and the maturity of investors, the scale of open-end funds in China is increasing. By the end of 2011, the total net value of open-end funds in China is 2.069345 trillion yuan, which is 175 times of the initial scale. Fund companies are always looking for a bigger scale, because a bigger size means more revenue, but some funds choose to suspend their purchases when they reach a certain level. Whether the increasing size of the fund will have an impact on earnings is worth our reflection. As the size of the fund expands, the foundation will have more revenue to buy data, study listed companies, hire or train investment personnel, and with the increase in size, certain expenses in the fund will not increase in the same proportion as the size of the fund. This brings economies of scale to the fund. However, an increase in size also poses a number of problems. For example, in the absence of enough quality investment targets, an increase in size means that fund managers will face more liquidity constraints. This prevents funds from turning cash into stocks or stocks more quickly, which may miss the best time to sell or buy stocks. At the same time, it also faces the price shock effect, which leads to the increase of the cost of the fund to sell or buy shares, which will affect the income of the fund theoretically. At the same time, the increase in the size of the fund may lead to more difficult management, but also affect the performance of the fund. In this paper, the relationship between the size of the fund and its income will be judged intuitively, and then the empirical research on this relationship is made under the condition of adding several control variables and removing a series of factors. The paper points out that the relationship between fund size and fund income is inverted "U" type. Then this paper makes a theoretical explanation of this relationship, studies it from two aspects of scale economy and liquidity constraint, and makes a corresponding empirical analysis. The scale economy selects the fund expense rate, while the liquidity constraint selects the fund classification later. The result is that for smaller funds, the effect of liquidity constraints may not be obvious. At this stage. The scale economy effect of the fund plays an important role. With the increase of the scale, the cost rate of the fund will decrease, which will have a positive impact on the income of the fund. However, when the size of the fund further increases, the impact on the return of the fund begins to weaken due to the decline of the return on the scale, and the liquidity constraint becomes more and more prominent, which eventually leads to the decline of the return of the fund.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.5;F224

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