本文選題：雙重委托代理　切入點(diǎn)：基金公司　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：自2006年大牛市來(lái),我國(guó)證券投資基金業(yè)飛速發(fā)展,在我國(guó)基金業(yè)管理資產(chǎn)規(guī)模迅速膨脹,基金產(chǎn)品層出不窮,從業(yè)人員迅速增加的同時(shí),基金公司高管和基金經(jīng)理變更事件卻屢屢發(fā)生。一份調(diào)查報(bào)告顯示,2013年離職后有明確去向的90名基金經(jīng)理中選擇投奔私募的有69位,占比高達(dá)77%。種種跡象表明,基金經(jīng)理高離職率的背后是整個(gè)基金行業(yè)激勵(lì)機(jī)制的缺失,而激勵(lì)機(jī)制缺失的根本原因則源于證券投資基金這種特殊的雙重委托代理關(guān)系。在這種特殊的代理關(guān)系中,投資者期望資產(chǎn)增值最大化,基金公司期望管理規(guī)模最大化,而基金經(jīng)理則期望個(gè)人效用最大化,由于三者的目標(biāo)函數(shù)不一致,這就產(chǎn)生了委托代理問(wèn)題。這種雙重委托代理關(guān)系將導(dǎo)致三者之間的利益沖突更加明顯。激勵(lì)機(jī)制的缺失也引發(fā)了大家對(duì)基金行業(yè)的思考,越來(lái)越多的學(xué)者開(kāi)始從公司治理的角度探討針對(duì)基金管理人的新的激勵(lì)措施,其中持基激勵(lì)被認(rèn)為是一種比較巧妙的辦法。為研究這種新的激勵(lì)措施在理論和現(xiàn)實(shí)中的效應(yīng),本文先對(duì)已有文獻(xiàn)資料進(jìn)行了系統(tǒng)梳理,為后續(xù)研究做準(zhǔn)備。緊接著在前人研究的基礎(chǔ)上,構(gòu)建研究模型,在一定的參與約束和激勵(lì)相容約束下對(duì)分別對(duì)模型中涉及到的持基比例、努力程度和風(fēng)險(xiǎn)偏好求最優(yōu)解。模型研究得到的結(jié)論是持基激勵(lì)確實(shí)可以提高基金經(jīng)理的努力程度,對(duì)他們的風(fēng)險(xiǎn)選擇也有正面影響。持基激勵(lì)能提高他們的努力程度,促使他們努力收集信息,進(jìn)行會(huì)選擇較高風(fēng)險(xiǎn)的組合以獲取更高的收益,但實(shí)際的風(fēng)險(xiǎn)由于精度的提高并沒(méi)有明顯增加；影響持基比例的因素主要有基金的規(guī)模、從業(yè)人員的經(jīng)驗(yàn)、風(fēng)險(xiǎn)偏好以及市場(chǎng)的表現(xiàn)等。為對(duì)模型分析得到的結(jié)論進(jìn)行驗(yàn)證,本文選取了從2010年即實(shí)施了持基激勵(lì)的210只主動(dòng)管理類(lèi)股票型基金為樣本,以半年度為區(qū)間,利用2010年初至2013年6月份基金公司半年報(bào)和年報(bào)披露出來(lái)的數(shù)據(jù),分別對(duì)模型得到的結(jié)論進(jìn)行驗(yàn)證。實(shí)證結(jié)果與理論分析相一致,持基比例和基金業(yè)績(jī)之間的系數(shù)是正的,和投資組合的風(fēng)險(xiǎn)之間的系數(shù)也是正的,與基金日波動(dòng)率之間的系數(shù)是負(fù)的,顯示實(shí)際風(fēng)險(xiǎn)并沒(méi)有增加。持基比例與基金經(jīng)理的風(fēng)險(xiǎn)偏好之間的系數(shù)是正的,與基金規(guī)模之間的系數(shù)是負(fù)的,與無(wú)風(fēng)險(xiǎn)利率之間不顯著。理論和實(shí)證都證實(shí)持基激勵(lì)確實(shí)能一定程度上解決基金業(yè)存在的雙重委托代理問(wèn)題。
[Abstract]:Since the great bull market in 2006, the securities investment fund industry of our country has developed rapidly. At the same time, the management assets of the fund industry in our country have expanded rapidly, the fund products have emerged in endlessly, and the number of employees has been increasing rapidly. Fund executives and fund managers have changed a lot. 69 of the 90 fund managers who left their jobs in 2013, or 77 percent, chose to go to private equity, according to a survey report. The lack of incentive mechanism in the whole fund industry is behind the high turnover rate of fund managers, and the fundamental reason for the lack of incentive mechanism is the special double principal-agent relationship of securities investment funds. Investors expect to maximize the value of assets, fund companies expect to maximize the scale of management, and fund managers expect to maximize individual utility, because the objective functions of the three are not consistent. This kind of double principal-agent relationship will lead to more obvious conflicts of interest among them. The lack of incentive mechanism also leads to the thinking of the fund industry. More and more scholars begin to explore new incentives for fund managers from the perspective of corporate governance. In this paper, the existing literature is systematically combed in order to prepare for the follow-up study. Then, based on the previous studies, the research model is constructed. Under certain participation constraints and incentive compatible constraints, the optimal solution is obtained for the proportion of base holding, effort level and risk preference involved in the model, respectively. The conclusion of the model study is that the base-holding incentive can really improve the effort of fund managers. They also have a positive impact on their risk choices. Based-based incentives increase their efforts to gather information and make a combination of higher risk choices to generate higher returns. However, the actual risk has not been significantly increased due to the improvement of accuracy; the main factors that affect the proportion of the base are the size of the fund, the experience of the practitioners, risk preference and market performance, etc. In order to verify the conclusions of the model analysis, In this paper, 210 active management equity funds, which have been implemented from 2010 to 2010, are selected as samples. The half-year interval is used to make use of the data disclosed by the semi-annual reports and annual reports of the fund companies from early 2010 to June 2013. The empirical results are consistent with the theoretical analysis. The coefficients between the base ratio and the performance of the fund are positive, and the coefficients between the risk of the investment portfolio and the risk of the investment portfolio are positive. The coefficient with the daily volatility of the fund is negative, indicating that the actual risk does not increase. The coefficient between the base ratio and the risk preference of the fund manager is positive, and the coefficient between the ratio and the fund size is negative. The theoretical and empirical results show that the base-holding incentive can solve the dual principal-agent problem in the fund industry to some extent.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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