【摘要】：隨著我國(guó)基金業(yè)的持續(xù)快速發(fā)展,市場(chǎng)規(guī)模不斷擴(kuò)大,基金業(yè)的發(fā)展呈現(xiàn)出家族化的一些特征。但由于我國(guó)基金業(yè)發(fā)展時(shí)間較短,國(guó)內(nèi)對(duì)于基金業(yè)的研究還比較有限,缺乏對(duì)基金家族行為模式的分析。因此本文借助基金業(yè)在近幾年的飛速發(fā)展,在基金家族的數(shù)量有了明顯增加,基金家族間的競(jìng)爭(zhēng)日益加強(qiáng)的情形下,對(duì)基金市場(chǎng)的運(yùn)行規(guī)律和基金家族的行為模式進(jìn)行更深入地探究。 本文首先從理論上分析了基金家族采用集中優(yōu)勢(shì)資源打造明星基金策略以擴(kuò)大基金家族規(guī)模的動(dòng)機(jī),然后從理論上分析了基金的資金凈流入與基金當(dāng)前的業(yè)績(jī)正相關(guān),而與基金業(yè)績(jī)的標(biāo)準(zhǔn)差負(fù)相關(guān),以及明星基金存在溢出效應(yīng)的原因。當(dāng)前的業(yè)績(jī)表現(xiàn)出色的明星基金不僅能夠?yàn)樽陨韼砀嗟馁Y金流入,還存在溢出效應(yīng),為同一家族旗下的其他基金帶來了更多的資金流入,這一現(xiàn)象使得打造明星基金的策略具有可行性。理論分析分為三個(gè)方面。 一、從信息不對(duì)稱理論的角度對(duì)基金家族采用集中優(yōu)勢(shì)資源打造明星基金策略以擴(kuò)大基金家族規(guī)模的動(dòng)機(jī)進(jìn)行理論分析�；鹜顿Y者和基金管理者之間存在著比較嚴(yán)重的信息不對(duì)稱,基金管理者比一般的基金投資者擁有更多關(guān)于基金產(chǎn)品的信息,兩者之間是委托—代理關(guān)系。基金投資者希望盡可能多地獲得業(yè)績(jī)回報(bào),而基金管理者希望盡可能地?cái)U(kuò)大基金家族的規(guī)模,基金投資者和基金管理者之間利益不一致導(dǎo)致道德風(fēng)險(xiǎn)的產(chǎn)生�；鸸芾碚邚淖陨砝娉霭l(fā),尋求基金家族規(guī)模的最大化,從而使得家族利益最大化,而采用集中優(yōu)勢(shì)資源打造明星基金的方式可以為基金家族帶來更多的資金流入,實(shí)現(xiàn)家族規(guī)模的擴(kuò)大 二、從現(xiàn)代證券組合理論的角度分析了基金的資金凈流入與基金當(dāng)前的業(yè)績(jī)以及業(yè)績(jī)的標(biāo)準(zhǔn)差之間的關(guān)系。 基金當(dāng)前的業(yè)績(jī)從一定程度上反映出基金管理人的投資管理能力。如果某只基金當(dāng)前的業(yè)績(jī)表現(xiàn)出色,從某種程度上說明基金管理人的投資管理能力也應(yīng)該不錯(cuò),那么由于基金管理人出色的投資管理,基金的預(yù)期收益也應(yīng)該會(huì)比較高。因此如果某只基金當(dāng)前的業(yè)績(jī)表現(xiàn)出色,那么投資者有理由預(yù)期該基金未來的業(yè)績(jī)表現(xiàn)同樣出色,會(huì)對(duì)該基金展開申購(gòu),使得基金出現(xiàn)資金大量流入,說明基金當(dāng)前的業(yè)績(jī)表現(xiàn)與資金凈流入正相關(guān)�；饦I(yè)績(jī)好,資金凈流入就多；基金業(yè)績(jī)差,資金凈流入就少,甚至出現(xiàn)資金凈流出(即資金凈流入為負(fù))。 基金的風(fēng)險(xiǎn)可以用收益率方差或者標(biāo)準(zhǔn)差來度量,基金的標(biāo)準(zhǔn)差越大,說明基金的風(fēng)險(xiǎn)越高。大部分的投資者都是風(fēng)險(xiǎn)厭惡者(也有少部分投資者是風(fēng)險(xiǎn)中性或者風(fēng)險(xiǎn)偏好者),如果基金的風(fēng)險(xiǎn)偏高,或者出現(xiàn)基金所取得的投資收益不能補(bǔ)償其所承擔(dān)的風(fēng)險(xiǎn)的情況,那么投資者就會(huì)大量贖回該基金,導(dǎo)致基金出現(xiàn)資金凈流出。因此基金業(yè)績(jī)的標(biāo)準(zhǔn)差與資金凈流入負(fù)相關(guān)。基金業(yè)績(jī)的標(biāo)準(zhǔn)差越大,說明風(fēng)險(xiǎn)越高,資金流出就越多；基金業(yè)績(jī)的標(biāo)準(zhǔn)差越小,說明基金的業(yè)績(jī)?cè)椒�(wěn)定,風(fēng)險(xiǎn)就越低,資金流出也就越少。 三、從投資者心理角度使用暈輪效應(yīng)相關(guān)理論分析基金家族中出現(xiàn)明星基金溢出效應(yīng)的原因。一般的基金投資者對(duì)基金家族缺乏了解,而一個(gè)基金家族中出現(xiàn)明星基金對(duì)于特別關(guān)注基金業(yè)績(jī)的一般投資者來說又是一種顯著性刺激,會(huì)吸引投資者更多的注意,所以基金投資者對(duì)基金家族的認(rèn)知和判斷可能存在偏差。一個(gè)基金家族中出現(xiàn)明星基金,向投資者傳達(dá)出明星基金管理者具有較強(qiáng)的投資管理能力的信號(hào),投資者往往會(huì)從明星基金這個(gè)局部出發(fā),將明星基金的光環(huán)擴(kuò)大到整個(gè)基金家族,以偏概全,認(rèn)為不僅是明星基金的管理者具有較強(qiáng)的投資管理能力,而且明星基金所在的整個(gè)基金家族都具有較強(qiáng)的投資管理能力,所以基金投資者會(huì)對(duì)明星基金家族旗下的所有基金都進(jìn)行購(gòu)買,而不單單只是申購(gòu)明星基金。這樣一來,基金投資者受到暈輪效應(yīng)影響,就造成了明星基金的溢出效應(yīng)。 然后,文章進(jìn)入實(shí)證部分。使用面板數(shù)據(jù)先對(duì)基金家族中的明星基金的溢出效應(yīng)進(jìn)行實(shí)證檢驗(yàn),然后對(duì)明星基金業(yè)績(jī)下滑給基金家族資金流動(dòng)帶來的影響進(jìn)行實(shí)證檢驗(yàn),考察明星基金在業(yè)績(jī)下滑后是否會(huì)給基金家族帶來明顯的資金流出。如果存在明星基金的溢出效應(yīng),同時(shí),明星基金在業(yè)績(jī)下滑后不會(huì)給基金家族帶來明顯的資金流出,那么基金家族就存在短期內(nèi)采用集中優(yōu)勢(shì)資源打造明星基金策略的動(dòng)機(jī),且不需要長(zhǎng)期保持明星基金的明星業(yè)績(jī)。經(jīng)實(shí)證檢驗(yàn)發(fā)現(xiàn),明星基金不僅為自身帶來更多的資金流入,而且確實(shí)存在溢出效應(yīng),為同一家族旗下的其他基金帶來了更多的資金流入。但是假設(shè)明星基金出現(xiàn)是在t季度(下同),明星基金自身的資金流入更多的是發(fā)生在t季度,而明星家族基金的資金流入更多的是發(fā)生在t+1季度,這可能與不同信號(hào)傳遞的速度不同有關(guān)。另外,資金凈流入比率與基金業(yè)績(jī)的標(biāo)準(zhǔn)差之間呈現(xiàn)出負(fù)相關(guān),與理論分析一致。 而在t+1季度,t季度的明星基金自身沒有出現(xiàn)明顯的資金流出,而t季度的明星家族基金有顯著的資金流入。在t+2季度,t季度的明星基金出現(xiàn)明顯的資金流出,但資金流出比率遠(yuǎn)低于t季度的資金流入比率,而t季度的明星家族基金沒有明顯的資金流出跡象。綜合來看,基金家族在短期內(nèi)采用集中優(yōu)勢(shì)資源打造明星基金的策略具有可行性,而且明星基金的業(yè)績(jī)并不需要長(zhǎng)期維持在明星的水平。 接著對(duì)明星基金家族的業(yè)績(jī)和明星基金業(yè)績(jī)之間的關(guān)系進(jìn)行考察,如果在明星基金業(yè)績(jī)上升的同時(shí),明星基金家族的業(yè)績(jī)卻在下降,那么就存在基金家族就存在短期內(nèi)采用集中優(yōu)勢(shì)資源打造明星基金的現(xiàn)象。定義影響力基金和影響力基金家族,實(shí)證結(jié)果表明,影響力基金家族整體的業(yè)績(jī)與家族內(nèi)影響力基金的業(yè)績(jī)之間呈現(xiàn)出正相關(guān)關(guān)系,影響力基金業(yè)績(jī)的提升也帶動(dòng)了其所在基金家族整體業(yè)績(jī)的提高,但實(shí)證結(jié)果顯示仍然有少部分的基金家族采用集中優(yōu)勢(shì)資源打造明星基金的策略使家族自身利益最大化。 既然存在有少部分的基金家族采用集中優(yōu)勢(shì)資源打造明星基金的策略使家族自身利益最大化這樣的現(xiàn)象,我們就有疑問具有什么樣特征的基金家族更偏好采用這樣的策略呢?于是使用Logit模型檢驗(yàn)基金家族中出現(xiàn)明星基金的概率與基金家族的某些特征變量之間是否具有相關(guān)性,以找出更偏好采用打造明星基金策略的基金家族所具有的特征。實(shí)證結(jié)果顯示,不管基金家族整體的業(yè)績(jī)是好還是不好,家族旗下各基金之間業(yè)績(jī)相差較大,家族旗下基金數(shù)量較多的基金家族內(nèi)出現(xiàn)明星基金的概率更大。而具有這樣特征的基金家族,如果再加上家族整體業(yè)績(jī)不好,且在近來較長(zhǎng)的時(shí)間內(nèi)沒有出現(xiàn)過明星基金,那么就更有可能會(huì)采用集中優(yōu)勢(shì)資源打造明星基金的策略,打造明星基金的動(dòng)機(jī)將會(huì)更強(qiáng)。 在實(shí)證部分的最后,對(duì)現(xiàn)實(shí)中明星基金的明星業(yè)績(jī)的持續(xù)性進(jìn)行統(tǒng)計(jì)分析,以考察明星基金能否在較長(zhǎng)的一段時(shí)間內(nèi)保持其優(yōu)良業(yè)績(jī),對(duì)基金家族集中優(yōu)勢(shì)資源打造明星基金是否系短期行為進(jìn)行驗(yàn)證。統(tǒng)計(jì)結(jié)果表明,絕大部分明星基金存在“一季游”現(xiàn)象,在統(tǒng)計(jì)范圍內(nèi)只當(dāng)選過一次明星基金,明星基金很難在較長(zhǎng)的一段時(shí)間內(nèi)保持其優(yōu)良業(yè)績(jī)。這種現(xiàn)象從一方面反映出基金的業(yè)績(jī)受很多方面因素的影響,明星基金很難長(zhǎng)期保持在明星的行列中,從另一方面也反映出一些基金家族集中優(yōu)勢(shì)資源打造明星基金以吸引投資者眼球,為基金家族帶來更多的資金流入的行為更多的時(shí)候系短期行為,沒有能力長(zhǎng)期保持明星基金的優(yōu)良業(yè)績(jī)。 最后,對(duì)本文的研究進(jìn)行總結(jié),并給出相應(yīng)的建議,包括有關(guān)基金管理費(fèi)率的建議和政策建議。 本文的主要?jiǎng)?chuàng)新之處包括： 一、從投資者心理的角度,使用暈輪效應(yīng)相關(guān)理論解釋明星基金的溢出效應(yīng)。 二、對(duì)t季度的明星基金在t季度當(dāng)季和t+1季度給基金家族的資金流動(dòng)帶來的影響進(jìn)行考察,考察時(shí)間擴(kuò)展至兩個(gè)季度,而不只是局限于以往文獻(xiàn)通�？疾斓膖+1季度。 三、對(duì)明星基金業(yè)績(jī)的下滑是否會(huì)給自身和基金家族資金流動(dòng)帶來明顯的資金流出進(jìn)行實(shí)證檢驗(yàn),以考察基金家族是否存在短期內(nèi)采用集中優(yōu)勢(shì)資源打造明星基金策略的動(dòng)機(jī),而且不需要長(zhǎng)期保持明星基金的明星業(yè)績(jī)。假設(shè)明星基金的出現(xiàn)是在t季度,考察時(shí)間為隨后兩個(gè)季度,即t+1季度和t+2季度。 四、對(duì)明星基金家族整體業(yè)績(jī)與明星基金業(yè)績(jī)之間的關(guān)系進(jìn)行實(shí)證檢驗(yàn),定義影響力基金和影響力基金家族,旨在考察一段時(shí)間內(nèi)明星基金業(yè)績(jī)與明星基金家族業(yè)績(jī)之間的持續(xù)性關(guān)系。如果在明星基金業(yè)績(jī)上升的同時(shí),明星基金家族的業(yè)績(jī)卻在下降,那么就存在基金家族在短期內(nèi)采用集中優(yōu)勢(shì)資源打造明星基金的現(xiàn)象。 五、對(duì)明星基金重復(fù)當(dāng)選的頻率進(jìn)行統(tǒng)計(jì),以考察明星基金明星業(yè)績(jī)的持續(xù)性,明星基金能否在較長(zhǎng)的一段時(shí)間內(nèi)保持其優(yōu)良業(yè)績(jī),對(duì)基金家族集中優(yōu)勢(shì)資源打造明星基金是否系短期行為進(jìn)行驗(yàn)證。
[Abstract]:With the sustained and rapid development of China's fund industry, the scale of the market continues to expand, the development of the fund industry presents some characteristics of familialization. However, due to the relatively short development time of the fund industry in China, the domestic research on the fund industry is still relatively limited, and the lack of analysis of the family behavior model of the fund. With the rapid development, the number of fund families has increased significantly, and the competition among fund families has strengthened day by day. This paper explores the operation law of fund market and the behavior pattern of fund families.
Firstly, this paper theoretically analyzes the motivation of fund families to adopt the strategy of concentrating superior resources to build star fund to enlarge the size of fund families, and then theoretically analyzes that the net inflow of funds is positively correlated with the current performance of the fund, but negatively correlated with the standard deviation of fund performance, and that star funds have spillover effects. Star funds with outstanding performance can not only bring more capital inflows to themselves, but also have spillover effect, which brings more capital inflows to other funds under the same family. This phenomenon makes the strategy of building Star Funds feasible. Theoretical analysis is divided into three aspects.
Firstly, from the perspective of information asymmetry theory, this paper analyzes the motivation of fund families to adopt the strategy of concentrating superior resources to build star fund to enlarge the size of fund families. Fund investors want to get as much return as possible, while fund managers want to expand the size of the fund family as possible. The inconsistency of interests between fund investors and fund managers leads to moral hazard. To maximize the size of the fund family, so as to maximize the interests of the family, and the use of centralized resources to create star fund can bring more capital inflow to the fund family, to achieve the expansion of the family size.
Secondly, from the perspective of modern portfolio theory, this paper analyzes the relationship between the net inflow of funds and the fund's current performance and the standard deviation of performance.
The fund's current performance reflects to a certain extent the fund manager's investment management ability. If a fund's current performance is good, to some extent, the fund manager's investment management ability should be good, then due to the fund manager's excellent investment management, the expected return of the fund should also be relatively high. Therefore, if a fund's current performance is good, investors have reason to expect that the fund's future performance will be equally good, and the fund will be launched to buy, resulting in a large inflow of funds, indicating that the fund's current performance is positively related to the net inflow of funds. Poor performance, less net capital inflow, or even net outflow of capital (i.e. negative net inflow).
The greater the standard deviation of the fund, the higher the risk of the fund. Most investors are risk averse (and a small number of investors are risk neutral or risk preference), if the risk of the fund is too high, or if the return of the fund can not be obtained. The greater the standard deviation of fund performance, the greater the risk, the more capital outflows; the smaller the standard deviation of fund performance, indicating the performance of the fund. The more stable, the lower the risk, the less capital outflow.
Third, from the perspective of investors'psychology, this paper uses the theory of halo effect to analyze the causes of star fund spillover effect in fund families. A star fund appears in a fund family, which conveys to investors that star fund managers have strong investment management capabilities. Investors often start from the star fund, star fund will be the part of the fund, star fund. The halo extends to the entire fund family to be more general. It is believed that not only the managers of the star fund have strong investment management ability, but also the entire fund family where the star fund is located has strong investment management ability, so the fund investors will buy all the funds under the star fund family, not only only. It's for star funds. As a result, investors are affected by the halo effect, which leads to the spillover effect of star funds.
Then, the paper goes into the empirical part. Using panel data, the paper makes an empirical test on the spillover effect of Star Funds in fund families, and then makes an empirical test on the impact of star funds'declining performance on fund family's fund flow, and examines whether star funds will bring obvious fund flow to fund families after their performance declines. If there is a spillover effect of star fund, and star fund will not bring obvious capital outflow to fund family after performance decline, then fund family will have the motivation to adopt the strategy of concentrating superior resources to build star fund in the short term, and do not need to maintain star fund performance for a long time. Star funds not only bring more capital inflows to themselves, but also do have a spillover effect, bringing more capital inflows to other funds under the same family. But assuming that Star funds appear in the T quarter (the same below), the inflows of Star funds themselves are more likely to occur in the t quarter, while Star Family Funds have more capital inflows. In addition, there is a negative correlation between the net inflow ratio and the standard deviation of fund performance, which is consistent with the theoretical analysis.
In the T + 1 quarter, the star fund itself did not appear obvious outflow, while the star family fund in the T quarter has significant inflow. in the T + 2 quarter, the star fund in the T quarter has obvious outflow, but the outflow rate is far lower than the fund inflow rate in the t quarter, while the star family fund in the T quarter is not obvious. Overall, it is feasible for the fund family to adopt a strategy of centralizing resources to build star funds in the short term, and the performance of star funds does not need to be maintained at the star level for a long time.
Then the relationship between the performance of the star fund family and the performance of the star fund is investigated. If the performance of the star fund family is declining while the performance of the star fund is rising, then there is a phenomenon that the fund family uses the concentrated advantage resources to build the star fund in the short term. The empirical results show that there is a positive correlation between the overall performance of the influential fund family and the performance of the influential fund family. The improvement of the performance of the influential fund also promotes the overall performance of the fund family. However, the empirical results show that there are still a small number of fund families using concentrated resources. The strategy of creating Star Funds maximizes the family's own interests.
Since there is a phenomenon that a small number of fund families use the strategy of centralized resources to create Star funds to maximize their own interests, we wonder what characteristics of fund families prefer to adopt such a strategy. So we use Logit model to test the probability and probability of Star Funds in fund families. The empirical results show that, regardless of whether the overall performance of the fund family is good or bad, the performance of the fund family varies greatly, and the fund family has a large number of funds. Star funds are more likely to appear in the family, and the fund families with such characteristics, if combined with the family's overall performance is not good, and there has not been a star fund for a long time in recent years, are more likely to use the strategy of centralized resources to create Star funds, star funds will be more motivated.
At the end of the empirical part, this paper makes a statistical analysis of the persistence of star performance of Star Funds in reality, examines whether star funds can maintain their good performance in a long period of time, and verifies whether it is a short-term behavior for fund families to concentrate their superior resources to build star funds. The phenomenon of "one-season tour" exists, in which only one star fund has been elected in the statistical range, it is difficult for the star fund to maintain its good performance for a long time. Some fund families concentrate their superior resources to create Star funds to attract investors'attention, and the behavior of bringing more capital inflows to fund families is more short-term behavior, and they are unable to maintain the good performance of Star Funds in the long run.
Finally, this paper summarizes the research and gives corresponding suggestions, including suggestions and policy recommendations on fund management fee rate.
The main innovations of this paper include:
First, from the perspective of investor psychology, we use halo effect theory to explain the spillover effect of star funds.
Secondly, this paper examines the impact of the Star Funds of the T quarter on the fund family's fund flow in the current quarter and the T + 1 quarter, and the study time is extended to two quarters, not just limited to the T + 1 quarter, which is usually examined in the previous literature.
Thirdly, this paper empirically examines whether the declining performance of star funds will bring obvious outflow of funds to the fund family and the fund family, so as to examine whether the fund family has the motivation to adopt the strategy of centralized resources to build star funds in the short term, and does not need to maintain the star performance of Star Funds for a long time. The emergence is in the T quarter, the inspection time for the next two quarters, that is, the t+1 quarter and the t+2 quarter.
Fourthly, this paper empirically examines the relationship between the overall performance of star fund families and the performance of star fund families, and defines the influence fund and the influence fund families, aiming at examining the persistent relationship between the performance of star fund families and the performance of star fund families over a period of time. The performance is declining, so there is a phenomenon that the fund families use concentrated resources to build star funds in the short term.
Fifthly, the frequency of star fund re-election is counted to investigate the sustainability of star fund performance, whether star fund can maintain its good performance in a long period of time, and whether it is a short-term behavior for fund families to concentrate superior resources to build star fund.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224

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