本文關(guān)鍵詞：基于基金治理視角的基金家族造星策略研究　出處：《華南理工大學(xué)》2012年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 基金家族 明星現(xiàn)象 家族造星策略 基金治理

【摘要】：在我國(guó)證券市場(chǎng)的深入發(fā)展過(guò)程中，證券投資基金作為一種利益共享、風(fēng)險(xiǎn)共擔(dān)的專業(yè)化集合投資的產(chǎn)物，其不僅能更好滿足個(gè)人的投資需求，而且也有利于促進(jìn)證券市場(chǎng)的持續(xù)發(fā)展。證券投資基金體現(xiàn)了典型的委托代理關(guān)系，委托代理問(wèn)題表明，，如果沒(méi)有健全的基金治理約束，基金管理人將會(huì)通過(guò)損害基金投資者權(quán)益為自己謀取私利，這將嚴(yán)重地阻礙我國(guó)證券投資基金市場(chǎng)乃至整個(gè)證券市場(chǎng)的健康持續(xù)發(fā)展。 基金家族是在同一基金管理公司旗下的一組相互影響、相互作用和共同存在的一組在類型、規(guī)模、績(jī)效方面存在一定的差異性和相關(guān)性的單只基金的集合；基金家族的普遍存在已成國(guó)內(nèi)外基金行業(yè)的顯著特征。在我國(guó)基金市場(chǎng)中，隨著基金管理公司間競(jìng)爭(zhēng)的日趨激烈，市場(chǎng)上出現(xiàn)了各種基金評(píng)級(jí)或排名，評(píng)級(jí)或排名靠前的基金被行業(yè)捧為明星。研究表明，基金家族旗下明星基金對(duì)家族資金流入會(huì)產(chǎn)生溢出效應(yīng)，這會(huì)使家族資產(chǎn)管理規(guī)模擴(kuò)張，從而可能誘使基金管理公司采用集中力量做強(qiáng)家族旗下一只或幾只基金使其成為市場(chǎng)中的明星的造星策略，此種造星策略可使基金家族在基金發(fā)行、服務(wù)和促銷推廣等方面具有規(guī)模經(jīng)濟(jì)效應(yīng)，同時(shí)，家族整體信譽(yù)在投資者決策方面亦發(fā)揮著重要作用。 基于基金家族造星策略對(duì)證券投資基金市場(chǎng)影響的重要性以及我國(guó)證券投資基金市場(chǎng)存在著造星現(xiàn)象的事實(shí)，如何以系統(tǒng)的考察和科學(xué)的方法研究基金家族造星策略就顯得非常迫切與必要。為此，本文試圖在研究視角和研究方法上進(jìn)行有益嘗試，力爭(zhēng)實(shí)現(xiàn)如下研究目標(biāo)：通過(guò)研究，深刻揭示國(guó)內(nèi)基金管理公司造星策略的基本動(dòng)因；探求基金公司造星策略的基本路徑與規(guī)律；實(shí)證判別基金家族追星策略的主體；最后，通過(guò)總結(jié)和改善我國(guó)基金治理的缺陷以約束基金管理公司造星策略對(duì)基金投資者權(quán)益的侵害。依此研究目標(biāo)，本文提出如下研究思路：如果明星基金對(duì)基金家族及其旗下各基金能同時(shí)產(chǎn)生資金流入的溢出效應(yīng)，在家族內(nèi)就很可能出現(xiàn)家族偏好性策略；在激烈的市場(chǎng)競(jìng)爭(zhēng)壓力下，投資管理能力弱的基金家族則會(huì)更加主動(dòng)地追逐造星策略；這樣，明星家族并不能真實(shí)地反映基金家族的投資管理能力，從而有必要對(duì)家族造星策略的主體進(jìn)行有效識(shí)別；鑒于出現(xiàn)基金家族造星現(xiàn)象的深層次原因在于基金治理的缺陷，為此，本文以投資者在基金家族造星現(xiàn)象背景下合法權(quán)益的保護(hù)為主線，研究和總結(jié)了我國(guó)基金治理的不足，并從基金內(nèi)部和外部治理兩個(gè)層面搭建了一個(gè)理論平臺(tái)，為我國(guó)基金治理研究拓展出一個(gè)富有現(xiàn)實(shí)意義的探索路徑與框架。 概括全文，本文主要研究結(jié)論如下： 1）明星基金會(huì)對(duì)家族資金流入產(chǎn)生顯著的非對(duì)稱性影響。在家族層面，明星基金將為家族整體吸引新資金流入；同時(shí)，在各單只基金層面，明星基金不僅可為自身引入新資金流入而且還可為同家族其它非明星成員基金吸引新的資金流入；家族結(jié)構(gòu)下明星基金的溢出效應(yīng)揭示了基金家族造星策略的基本動(dòng)因。 2）基金家族存在家族偏愛(ài)現(xiàn)象，即家族會(huì)采取通過(guò)轉(zhuǎn)移旗下部分受托資產(chǎn)的績(jī)效使家族中高家族價(jià)值基金獲取超額績(jī)效的造星策略為家族吸引更多的凈資金流入，從而實(shí)現(xiàn)提升基金家族競(jìng)爭(zhēng)力和整體績(jī)效的目標(biāo)，此基金家族偏愛(ài)性策略是基金家族造星策略的路徑選擇。 3）通過(guò)對(duì)基金家族出現(xiàn)明星績(jī)效概率與相關(guān)家族特征之間關(guān)系的研究發(fā)現(xiàn)，旗下基金績(jī)效標(biāo)準(zhǔn)差越高、基金數(shù)量越多和上年越?jīng)]有明星基金的基金家族將越有可能產(chǎn)生明星基金；同時(shí)，結(jié)合投資組合績(jī)效的對(duì)比結(jié)果發(fā)現(xiàn)，投資管理能力弱的基金家族會(huì)為了利用明星基金的溢出效應(yīng)而主動(dòng)追逐造星策略；在基金家族中，高標(biāo)準(zhǔn)差明星家族的績(jī)效顯著差于其它基金家族，簡(jiǎn)單追逐明星家族的投資策略無(wú)法為投資者帶來(lái)超額投資回報(bào)，而造星事前概率低的基金家族即低標(biāo)準(zhǔn)差、小規(guī)模的明星家族的績(jī)效要顯著高于其它基金家族。該研究結(jié)論有助于實(shí)現(xiàn)真假明星基金家族的有效識(shí)別，進(jìn)而使得基金監(jiān)管當(dāng)事人約束家族造星策略成為可能。 4）基金家族造星現(xiàn)象在本質(zhì)上是我國(guó)基金治理存在缺失的結(jié)果，其不僅損害了部分基金持有人的利益，也會(huì)對(duì)證券市場(chǎng)正常秩序產(chǎn)生負(fù)面影響。研究發(fā)現(xiàn)，完善基金治理激勵(lì)機(jī)制、優(yōu)化和豐富現(xiàn)有基金治理組織形態(tài)、構(gòu)建對(duì)基金管理人具有約束效力的治理結(jié)構(gòu)和改善基金外部治理環(huán)境是改善我國(guó)基金治理的基本路徑；通過(guò)基金治理效能的全面提升最終實(shí)現(xiàn)對(duì)基金管理公司造星策略的有效監(jiān)控。 目前，有關(guān)我國(guó)基金家族造星策略的研究具有一定的研究?jī)r(jià)值；綜觀既有研究，本文創(chuàng)新之處和貢獻(xiàn)主要有： 1）在研究?jī)?nèi)容上，與國(guó)內(nèi)大量孤立地研究個(gè)體基金的既有研究不同，本文在基金家族結(jié)構(gòu)下從家族整體層面和單只基金兩個(gè)層面研究了明星績(jī)效對(duì)家族資金流動(dòng)的影響，同時(shí)，本文探索性地考察了明星基金對(duì)家族競(jìng)爭(zhēng)策略的影響；初步揭示了國(guó)內(nèi)基金管理公司造星策略的主要?jiǎng)右蚝突疽?guī)律，并對(duì)投資者的追星投資策略提出了實(shí)證評(píng)價(jià)和理論指導(dǎo)。 2）在研究邏輯上，本文認(rèn)為在家族造星的基本動(dòng)因、家族造星的途徑選擇、真假明星家族的主體識(shí)別、家族造星的要源和家族造星行為的約束等幾項(xiàng)研究主題內(nèi)容之間存在著緊密的邏輯關(guān)系，此研究邏輯對(duì)深入、系統(tǒng)地研究基金家族造星策略具有開(kāi)拓性的理論貢獻(xiàn)和重要的實(shí)踐意義。 3）在研究方法上，本文依據(jù)國(guó)內(nèi)基金市場(chǎng)特點(diǎn)優(yōu)化了相關(guān)解釋變量，提升了模型的有效性；在運(yùn)用Logit模型研究基金家族制造明星基金概率與相關(guān)家族特征之間關(guān)系的基礎(chǔ)上采用基于家族特征構(gòu)建的投資組合的績(jī)效對(duì)比分析方法，這種擴(kuò)展性的研究思路與方法使得模型分析結(jié)果更具可視性；同時(shí)，本文運(yùn)用新制度經(jīng)濟(jì)學(xué)的原理和方法對(duì)我國(guó)基金治理模式進(jìn)行分析研究，相關(guān)結(jié)論對(duì)我國(guó)基金市場(chǎng)中的造星現(xiàn)象現(xiàn)象具有較強(qiáng)的解釋力和實(shí)際效用。 4）在理論與現(xiàn)實(shí)意義上，本文在基金家族造星現(xiàn)象背景下，以基金投資者合法權(quán)益的保護(hù)為主線，搭建了一個(gè)基金治理研究的理論平臺(tái)，為我國(guó)證券投資基金治理研究拓展了一種富有現(xiàn)實(shí)意義的探索路徑與框架。
[Abstract]:In the process of development of China's securities market, securities investment fund is a benefit sharing, risk sharing professional investment products, not only can better meet individual investment needs, but also conducive to promoting the sustainable development of the securities market. The securities investment fund reflects the typical principal-agent relationship, show that the principal the problem, if there is no fund governance sound, fund managers for their own personal gain will damage the interests of fund investors through, it will seriously hinder China's securities investment fund market and the stock market's healthy and sustained development.
The family is a group of mutual fund in the same fund management company, the scale of interaction in the type, and a set of common set, there are some differences between the performance and the single fund; fund family has significant characteristics has become the domestic and foreign fund industry in our country. The fund market competition, fund management companies with the increasingly fierce market, the emergence of a variety of fund rating or ranking, rating or ranking fund industry was touted as the star. The study shows that the fund family's star fund will have a spillover effect on family capital flow, this will make the family asset management scale expansion thus, the use of the fund management company may induce stronger focus on the family's one or a few funds to become the market's star star strategy, the star strategy can make the fund family at base The economic effects of gold issuance, service and promotion are of scale, and the overall reputation of the family also plays an important role in the decision-making of investors.
The importance of family star Strategy Fund of the securities investment fund market, China's securities investment fund market has a star phenomenon based on the fact that how to approach investigation and scientific research the family star strategy fund is very urgent and necessary. Therefore, this paper attempts to make a useful attempt in the research perspective and research methods, and strive to to achieve the following objectives: through research, reveal the basic motivation strategy Star Chinese fund management company; the basic path and law to explore the fund company's star strategy; empirical discriminant subject fund strategy finally, family Starchaser; through summarizing and improving the defects of China's fund governance to star policy constraint fund management companies to fund investors the damage. According to the above research target, this paper research ideas are as follows: if the star fund of fund family and The fund's at the same time can have a spillover effect of capital inflows in the family, it is very likely that the family preference strategy; under the pressure of market competition, investment management ability of the fund family will be more actively pursuing a star strategy; so, star family can not reflect the family fund investment management ability, so it is necessary to subject to the family star creation strategy for effective recognition; in view of the deep-seated reasons appear phenomenon is a star fund family fund governance defects, therefore, this paper takes the protection of investors in the fund family background star phenomenon under the legitimate rights and interests of the main line, to research and summarize the shortage of fund governance in China, and from the two aspects of fund internal and external governance to build a theoretical platform, develop a realistic research path and framework for research on the fund governance in China.
The main conclusions of this paper are as follows:
1) star fund has a significant effect on the non symmetry of family capital inflows. At the family level, the star fund will attract new funds into the whole family; at the same time, the single fund level, star fund can not only for its introduction of new capital inflows but also for the same family of other non star fund to attract new members the spillover effect of capital inflows; the structure of the family under the star fund reveals the basic motivation of family star strategy of the fund.
2) fund family family preference phenomenon, namely the family will take to obtain the excess performance through the transfer of assets owned by the part of the high performance family value fund family star making strategy for the family to attract more net capital inflows, thereby enhancing the competitiveness and the overall performance of the fund family, the fund family preference strategy is to select path of family star strategy of the fund.
3) through the research on the relationship between the performance of star fund family appear probability and related family characteristics found that the fund's performance standard deviation is higher, more and more fund last year no star fund family will be more likely to generate the star fund; at the same time, compared with the portfolio performance results, investment management capabilities weak fund family in order to use the star fund spillover effect and the active pursuit of a star strategy; in the fund family, the high standard deviation of star family performance was significantly lower than other fund families, simple chase star family investment strategy can bring excess returns for investors, and a star prior low probability of fund family low poor, small star family performance was significantly higher than that of other fund family. The conclusion of the study is helpful to realize the true star fund family effective recognition, And then make the fund supervision party strategy possible. Star family constraints
4) star fund family phenomenon result from lack of fund governance in China in essence, it not only damages the interests of fund holders, will have a negative impact on the normal order of the securities market. The study found that the improvement of fund governance incentive mechanism, optimize and enrich the current organizational form of fund management, construction of a binding the fund managers and fund governance structure to improve the external governance environment is the basic way to improve China's fund governance; through the comprehensive improvement of fund governance efficiency and eventually realize the star strategy fund management company's effective monitoring.
At present, the research about our country's fund family star strategy has certain research value; in the existing research, the main innovations and contributions are:
1) in the research content, different with the large number of isolation of individual fund existing research, this article in the fund family structure from the two aspects of family level and single fund were studied. The performance of the star family cash flow at the same time, this paper tries to study the influence of star fund family competition strategy; reveal the basic law and the main motivation strategy of domestic star fund management company, and an empirical evaluation and theoretical guidance of Starchaser investment strategy of investors.
2) in the study of logic, this paper argues that in the basic cause of family star, a star of the family way, to identify the main fake star family, a close logical relationship between family and family to a star of the source star behavior constraints and several research topics, the research logic of in-depth, systematic study of the family star Strategy Fund pioneering theoretical contributions and practical significance.
3) in the research method, based on the characteristics of domestic fund market to optimize the relevant explanatory variables, to enhance the effectiveness of the model; based on relationship between use of Logit model family manufacturing research fund star fund probability and related family characteristics on the analysis method of performance comparison between family characteristics construction portfolio based on the extended research the ideas and methods of making the results more visibility; at the same time, analysis of the governance mode of China's Fund for the principle and method of new institutional economics in this paper, the conclusion has strong explanatory power and practical utility of the phenomenon of star phenomenon in China fund market.
4) in the theoretical and practical significance, this paper in the background of fund family star phenomenon, in order to protect the legitimate rights and interests of fund investors as the main line, to build a theoretical platform for fund management research, develop a meaningful exploration path and framework for the study of securities investment fund governance in China.

【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51

【引證文獻(xiàn)】

相關(guān)博士學(xué)位論文 前1條

1 劉廣;基于PCM方法的我國(guó)開(kāi)放式基金投資能力及資產(chǎn)配置研究[D];華南理工大學(xué);2013年

相關(guān)碩士學(xué)位論文 前1條

1 蔡磊;開(kāi)放式基金資金流入影響因素的研究[D];西南財(cái)經(jīng)大學(xué);2013年

本文編號(hào)：1404514