本文關(guān)鍵詞： 冒險(xiǎn)行為 補(bǔ)償契約 投資者偏好 基金激勵(lì) 基金治理　出處：《電子科技大學(xué)》2016年博士論文　論文類型：學(xué)位論文

【摘要】：證券投資基金作為我國金融市場(chǎng)重要的機(jī)構(gòu)投資者,一直被政府的證券監(jiān)管機(jī)構(gòu)寄予厚望,希望通過機(jī)構(gòu)投資者的超常規(guī)發(fā)展以達(dá)到降低證券市場(chǎng)波動(dòng)、穩(wěn)定市場(chǎng)的目的。然而從我國證券投資基金的管理實(shí)踐來看,我國股票型證券投資基金自身卻具有較高的風(fēng)險(xiǎn)水平,證券投資基金的超常規(guī)發(fā)展還沒有達(dá)到證券監(jiān)管機(jī)構(gòu)穩(wěn)定金融市場(chǎng)的良好預(yù)期。由于基金經(jīng)理的投資行為本質(zhì)上是為基金投資者提供的一種代理投資金融服務(wù),基金經(jīng)理具有的有限責(zé)任和委托代理雙方風(fēng)險(xiǎn)收益不對(duì)稱特征可能驅(qū)動(dòng)基金經(jīng)理在投資中傾向于選擇高風(fēng)險(xiǎn)的資產(chǎn),這種投資冒險(xiǎn)行為不僅可能構(gòu)成損害基金投資者利益的基金經(jīng)理道德風(fēng)險(xiǎn),還將推動(dòng)金融資產(chǎn)價(jià)格對(duì)內(nèi)在價(jià)值的系統(tǒng)性偏離,進(jìn)而加劇整個(gè)金融市場(chǎng)的波動(dòng)甚至進(jìn)一步引發(fā)金融泡沫。對(duì)基金經(jīng)理投資冒險(xiǎn)行為的研究,有助于更好地發(fā)揮機(jī)構(gòu)投資者穩(wěn)定市場(chǎng)功能,完善我國證券投資基金的監(jiān)管機(jī)制,引導(dǎo)和規(guī)范基金經(jīng)理的投資行為。不同于一般的公司委托代理關(guān)系,證券投資基金的經(jīng)理人努力水平和基金產(chǎn)出的風(fēng)險(xiǎn)水平都是基金經(jīng)理可以選擇和調(diào)整的內(nèi)生變量,基金經(jīng)理可能背離其作為機(jī)構(gòu)投資者代理投資的“風(fēng)險(xiǎn)管理”初衷,在投資實(shí)踐中實(shí)施一定的投資冒險(xiǎn)行為來實(shí)現(xiàn)自身補(bǔ)償最大化的目的。結(jié)合中國證券投資基金市場(chǎng)的特殊背景,本文綜合運(yùn)用金融經(jīng)濟(jì)學(xué)、行為金融學(xué)、資產(chǎn)定價(jià)和風(fēng)險(xiǎn)管理等理論,采用規(guī)范的金融市場(chǎng)計(jì)量經(jīng)濟(jì)分析方法,對(duì)我國基金經(jīng)理的投資冒險(xiǎn)行為進(jìn)行研究。本文將基金經(jīng)理選擇的基金風(fēng)險(xiǎn)水平超越了基金所對(duì)應(yīng)的業(yè)績比較基準(zhǔn)風(fēng)險(xiǎn)水平這種投資行為界定為基金經(jīng)理投資冒險(xiǎn)行為,分別研究了基金經(jīng)理投資冒險(xiǎn)行為的評(píng)價(jià)、基金經(jīng)理投資冒險(xiǎn)行為所面臨的驅(qū)動(dòng)因素和基金經(jīng)理投資冒險(xiǎn)行為的約束機(jī)制,并對(duì)如何防范與控制我國基金經(jīng)理的投資冒險(xiǎn)行為給出了相應(yīng)對(duì)策建議。論文主要研究內(nèi)容具體包含以下三個(gè)方面:(一)基金經(jīng)理投資冒險(xiǎn)行為的評(píng)價(jià)。本文通過考察基金經(jīng)理投資冒險(xiǎn)行為產(chǎn)生的結(jié)果,基于基金經(jīng)理自身和基金投資者角度對(duì)基金經(jīng)理投資冒險(xiǎn)行為進(jìn)行評(píng)價(jià)�；谥袊C券投資基金市場(chǎng)2004-2012年36個(gè)季度的非平衡面板數(shù)據(jù),實(shí)證結(jié)果顯示,我國基金經(jīng)理的投資冒險(xiǎn)行為總體上有損基金投資者福利,其行為更多體現(xiàn)出基金經(jīng)理具有一定的“道德風(fēng)險(xiǎn)”而并非“信息優(yōu)勢(shì)”。進(jìn)一步,本文將基金經(jīng)理的冒險(xiǎn)途徑分為風(fēng)險(xiǎn)資產(chǎn)占比調(diào)整、系統(tǒng)性風(fēng)險(xiǎn)調(diào)整和特質(zhì)風(fēng)險(xiǎn)調(diào)整三種方式,發(fā)現(xiàn)不同途徑下基金經(jīng)理投資冒險(xiǎn)行為對(duì)基金經(jīng)理回報(bào)和投資者福利的影響則有所不同,基金經(jīng)理通過調(diào)整特質(zhì)風(fēng)險(xiǎn)的冒險(xiǎn)行為降低了基金經(jīng)理的回報(bào)但卻有利于提升基金投資者的福利,而基金經(jīng)理通過系統(tǒng)風(fēng)險(xiǎn)調(diào)整的冒險(xiǎn)行為增加了基金經(jīng)理的回報(bào)卻對(duì)基金投資者福利造成了損害。(二)基金經(jīng)理投資冒險(xiǎn)行為的驅(qū)動(dòng)。本文分別基于基金經(jīng)理補(bǔ)償契約和基金投資者風(fēng)險(xiǎn)偏好兩種視角,研究了基金經(jīng)理投資冒險(xiǎn)行為發(fā)生的主要驅(qū)動(dòng)因素。一方面,本文分別構(gòu)建離散時(shí)間和連續(xù)時(shí)間下的基金經(jīng)理最優(yōu)風(fēng)險(xiǎn)選擇模型,研究發(fā)現(xiàn),在對(duì)稱結(jié)構(gòu)的基金經(jīng)理補(bǔ)償契約中,驅(qū)動(dòng)基金經(jīng)理投資冒險(xiǎn)行為的主要因素是基金經(jīng)理對(duì)自己所處形勢(shì)的主觀判斷和基金經(jīng)理自身的風(fēng)險(xiǎn)偏好。特別地,當(dāng)基金經(jīng)理認(rèn)為自己所管理基金的收益超越業(yè)績比較基準(zhǔn)的可能性很小,自己在期末面臨“損失”的可能性較大時(shí),他們的投資冒險(xiǎn)行為就會(huì)發(fā)生。而當(dāng)經(jīng)理人補(bǔ)償契約從對(duì)稱結(jié)構(gòu)變?yōu)榉菍?duì)稱結(jié)構(gòu)時(shí),如果基金經(jīng)理具有遞減的絕對(duì)風(fēng)險(xiǎn)厭惡(DARA)偏好,非對(duì)稱補(bǔ)償契約結(jié)構(gòu)更可能導(dǎo)致基金經(jīng)理投資冒險(xiǎn)行為的發(fā)生。另一方面,通過構(gòu)建基金投資者資金流理性預(yù)期模型并結(jié)合我國開放式基金的非平衡面板數(shù)據(jù)的實(shí)證分析,本文對(duì)我國基金投資者的風(fēng)險(xiǎn)態(tài)度研究后發(fā)現(xiàn),我國基金投資者對(duì)以原始業(yè)績波動(dòng)率表征的基金總體風(fēng)險(xiǎn)并不在乎,甚至表現(xiàn)出一定的“風(fēng)險(xiǎn)追逐”偏好,投資者這種風(fēng)險(xiǎn)態(tài)度對(duì)我國基金經(jīng)理的投資冒險(xiǎn)行為構(gòu)成一種隱性驅(qū)動(dòng)。進(jìn)一步的研究發(fā)現(xiàn),這種驅(qū)動(dòng)主要針對(duì)基金經(jīng)理的“適度冒險(xiǎn)”行為,當(dāng)基金經(jīng)理表現(xiàn)出“過度冒險(xiǎn)”行為時(shí),投資者資金流-業(yè)績之間的凸性會(huì)逐漸減小,來自基金投資者的冒險(xiǎn)驅(qū)動(dòng)作用會(huì)有弱化的趨勢(shì)。(三)基金經(jīng)理投資冒險(xiǎn)行為的約束。以“弱化基金經(jīng)理道德風(fēng)險(xiǎn)行為驅(qū)動(dòng)”為出發(fā)點(diǎn),本文分別從基金投資者“用腳投票”市場(chǎng)約束和基金自購制度約束這兩個(gè)方面考察了基金經(jīng)理投資冒險(xiǎn)行為的約束機(jī)制�；鹜顿Y者對(duì)基金經(jīng)理投資冒險(xiǎn)行為的約束主要從投資者資金流的結(jié)構(gòu)特征考察,期望發(fā)現(xiàn)基金投資者對(duì)基金經(jīng)理投資冒險(xiǎn)行為“用腳投票”的市場(chǎng)機(jī)制發(fā)揮作用;而制度約束層面,則以基金自購為例,檢驗(yàn)基金自購制度的引入與實(shí)踐,是否真正有利于基金經(jīng)理和基金投資者之間建立較好的風(fēng)險(xiǎn)分擔(dān)機(jī)制。研究結(jié)論顯示,我國基金投資者“用腳投票”方式實(shí)現(xiàn)對(duì)基金經(jīng)理投資冒險(xiǎn)行為的市場(chǎng)約束效果還有待進(jìn)一步完善,而以基金自購為代表的制度性約束則體現(xiàn)出較好的約束效果。
[Abstract]:Securities investment fund is an important institutional investor in China's financial market, has been the government securities regulators have great expectations, hope that through the extraordinary development of institutional investors in order to reduce the fluctuation of stock market and stabilize the market. However, from the management practice of Chinese securities investment funds, securities investment fund of our own it has a high level of risk, expected super conventional development of securities investment fund has not yet reached the securities regulatory authorities to stabilize the financial market. Due to the nature of investment behavior of fund managers is provided for fund investors a proxy investment in financial services, the fund manager has limited liability and agency both risk and return asymmetry may driving in the investment fund managers tend to choose high risk assets, the risk investment behavior may not only damage The moral hazard of fund managers the interests of fund investors, will also promote the financial asset price system on the intrinsic value of the deviation, thus increasing the volatility of financial markets and even lead to financial bubbles. The research on fund managers' investment risk behavior, help to better exert the function to stabilize the market of institutional investors, improve the regulatory mechanism of China's securities investment the fund's investment behavior, guide and regulate the fund manager. The company is different from the general principal-agent relationship, the effort level of the securities investment fund managers and fund output levels of risk are fund managers can select and adjust the endogenous variables, fund managers may deviate from its institutional investors as a proxy for investment intention, "risk management" the implementation of certain investment in the practice of risk-taking behavior to achieve their own compensation maximization objective. Combined with China securities investment The special background of the fund market, this paper uses financial economics, behavioral finance, asset pricing and risk management theory, the financial market econometrics standard analysis methods, to study our fund manager's investment behavior risk. This paper will fund risk level of fund managers choose beyond the corresponding fund performance benchmark the level of risk investment behavior is defined as the investment fund manager of risk-taking behavior, evaluation respectively study the fund manager's investment risk behavior, driving factors and constraint mechanism of the fund manager investment risk behavior facing fund managers' investment risk behavior, and how to prevent and control our fund manager's investment risk behavior gives the corresponding countermeasures and suggestions. The main content of this thesis includes the following three aspects: (a) evaluation of the investment fund manager the risky behaviour. The effects of the investment fund manager of risky behavior results, fund managers and fund investors own perspective on the fund manager's investment behavior risk evaluation based on unbalanced panel data. China market securities investment fund 2004-2012 36 quarter based on the empirical results show that our fund manager's investment behavior of fund investors welfare loss risk in general. His behavior reflects more fund managers have a certain "moral hazard" and not "information superiority". Further, the adventure way fund managers into risk assets ratio adjustment, systemic risk adjustment and idiosyncratic risk adjustment in three ways, found that the influence of different ways of investment return of the fund manager risk-taking behavior of the fund manager investors and welfare is different, the fund manager's risk-taking behavior by adjusting the idiosyncratic risk reduces the fund manager's back But the report is conducive to enhancing the welfare of fund investors, fund managers through the system of risk adjusted risk behavior increased the fund manager's return to welfare fund investors caused damage. (two) driven fund managers to invest in risky behavior. Based on the fund manager compensation contract and fund investors' risk preference two perspectives respectively. The main driving factors of the investment fund manager of risky behavior. On the one hand, this paper constructs the fund manager optimal risk choice model, discrete time and continuous time study found that in the symmetrical structure of the fund manager compensation contract, the main driving factors of the investment fund manager of risk-taking fund managers on their own position the subjective judgment and the fund manager's risk appetite. In particular, when fund managers think that their fund management income beyond performance comparison The benchmark possibility is very small, they face the possibility of a larger "loss" in the end, they risk behavior will happen. When the executive compensation contract from the symmetric structure into asymmetric structure, if the fund manager has a decreasing absolute risk aversion (DARA) preferences, compensation contract is more likely to occur in asymmetric structure the fund manager investment venture. On the other hand, through the construction of fund investors capital flow rational expectation model and empirical unbalanced panel data of China's open-end fund analysis, this paper on China's fund investors' risk attitude research found that China's fund of fund investors do not care about the overall risk characterization in the original performance fluctuations rate, even showed a certain risk preference, the risk attitude of investors in our fund manager's investment behavior into a kind of adventure The recessive drive. Further study found that, mainly for fund managers "moderate risk-taking" driving this, when fund managers showed "excessive risk-taking" investors, capital flow - convexity between performance will decrease and the driving effect of fund investors from risk will be weakened. (three) fund manager investment in risky behavior constraints. To weaken the moral hazard behavior of fund manager to drive "as the starting point, this paper from the constraint mechanism of fund investors" vote by foot "market constraints and institutional constraints of the fund since the purchase of two of the investment fund manager of risky behavior. The influences of structure of fund investors on fund managers' investment risk behavior the main constraint from the investor capital flows, fund investors expect to find on fund managers' investment risk behavior" market mechanism to vote with their feet "play a role Use and institutional constraints; level, the fund since the purchase as an example, the inspection of funds from the purchase of the introduction and practice of the system, really help fund managers and fund investors to establish better risk sharing mechanism. The conclusion of the study shows that China's fund investors vote with their feet "to achieve the risk-taking behavior of the fund manager's investment the market discipline effect still needs to be further improved, and institutional constraints to the fund since the purchase reflects the constraint effect better.

【學(xué)位授予單位】：電子科技大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類號(hào)】：F832.51
，

本文編號(hào)：1455556