本文選題：證券投資基金 + 利益沖突�。� 參考：《廈門大學(xué)》2014年碩士論文

【摘要】：截至2014年01月底,公募基金資產(chǎn)規(guī)模共計(jì)31238.14億元,是資本市場(chǎng)主要的機(jī)構(gòu)投資者。筆者發(fā)現(xiàn)：我國(guó)92家公募基金管理公司中,41家由券商控股(簡(jiǎn)稱為券商關(guān)聯(lián)基金或券商系基金)。不同于券商關(guān)聯(lián)基金向相應(yīng)券商的分倉(cāng)收入傾斜的顯而易見,券商關(guān)聯(lián)基金對(duì)券商投資銀行業(yè)務(wù)的“暗中支持”則更為隱蔽,由于券商與其關(guān)聯(lián)基金間的利益沖突與合謀,券商具有利用其關(guān)聯(lián)基金為其投行部門“招攬顧客”的動(dòng)機(jī),因此存在“利益沖突”；同時(shí),券商關(guān)聯(lián)基金可能從投行獲取內(nèi)部信息,從而具備“信息優(yōu)勢(shì)”。本文從利益沖突的視角審視券商關(guān)聯(lián)基金的業(yè)績(jī)和投資行為,研究“信息優(yōu)勢(shì)”和“利益沖突”的凈效應(yīng)。 本文通過(guò)理論分析和實(shí)證研究相結(jié)合的研究方法,從“信息優(yōu)勢(shì)”和“利益沖突”這樣嶄新的角度研究了基金股東的券商背景對(duì)基金業(yè)績(jī)和投資行為的影響。本文選用2008年至2013年的基金業(yè)績(jī)和持股數(shù)據(jù)作為研究樣本。首先實(shí)證比較了券商關(guān)聯(lián)基金與非券商關(guān)聯(lián)基金的各種風(fēng)險(xiǎn)收益指標(biāo)。本文進(jìn)一步研究了券商關(guān)聯(lián)基金管理公司這一業(yè)績(jī)偏差的可能原因。文章的最后對(duì)券商關(guān)聯(lián)基金管理公司的投資行為進(jìn)行分析和探討,并提出相關(guān)監(jiān)管和投資者保護(hù)的建議。 本文的研究發(fā)現(xiàn),券商關(guān)聯(lián)基金經(jīng)風(fēng)險(xiǎn)調(diào)整的業(yè)績(jī)系統(tǒng)性的低于非券商關(guān)聯(lián)基金。導(dǎo)致這一業(yè)績(jī)差異的原因可能是券商關(guān)聯(lián)基金過(guò)度持有了關(guān)聯(lián)券商的客戶股票,被持有的客戶股票往往表現(xiàn)較差。另外,較高的傭金凈值比也可能在一定程度上影響基金業(yè)績(jī)。 本文的主要意義和創(chuàng)新在于：首先,將金融集團(tuán)內(nèi)部的信息優(yōu)勢(shì)和利益沖突這一嶄新視角引入到國(guó)內(nèi)基金研究領(lǐng)域,不僅豐富了該領(lǐng)域的文獻(xiàn),也為市場(chǎng)參與者提供更加直觀的信息。其次,本文定量的探究了這一業(yè)績(jī)差異的可能原因,豐富了這一領(lǐng)域的實(shí)證經(jīng)驗(yàn)。最后,本文視角獨(dú)特,對(duì)基金管理公司治理、基金監(jiān)管、投資者保護(hù)具有現(xiàn)實(shí)意義。
[Abstract]:At the end of January 2014, the fund had 3.123814 trillion yuan in assets and was the main institutional investor in the capital market. The author finds out that 41 of the 92 public fund management companies in China are controlled by securities firms. Unlike the apparent tilt of securities related funds to the respective securities firms' share income, the "secret support" of the securities firms' associated funds to the securities firms' investment banking business is even more subtle, because of the conflicts of interest and collusion between the securities companies and their associated funds. Brokerage firms have the motive of using their associated funds to "attract customers" for their investment banking departments, so there is a "conflict of interest"; meanwhile, the securities firms' associated funds may obtain internal information from investment banks, thus possessing "information advantages". This paper examines the performance and investment behavior of securities related funds from the perspective of conflict of interest, and studies the net effects of "information superiority" and "conflict of interest". Through the combination of theoretical analysis and empirical research, this paper studies the influence of stockholders' background on fund performance and investment behavior from the perspective of "information advantage" and "conflict of interest". This article selects the fund performance and the stock holding data from 2008 to 2013 as the research sample. Firstly, the paper compares the risk return index between the related fund and the non-securities related fund. This paper further studies the possible causes of this performance deviation. In the end, the paper analyzes and discusses the investment behavior of the fund management company, and puts forward some suggestions on supervision and investor protection. This paper finds that the risk-adjusted performance of securities related funds is systemic lower than that of non-brokerage associated funds. The reason for the difference may be that the brokerage association fund overowns the client stock of the related broker, and the client stock held by the broker tends to be poor. In addition, a higher net-to-commission ratio may also affect fund performance to some extent. The main significance and innovation of this paper are as follows: firstly, introducing the new perspective of information superiority and conflict of interest within financial groups into the research field of domestic funds not only enriches the literature in this field, It also provides more intuitive information for market participants. Secondly, this paper quantitatively explores the possible causes of this performance difference and enriches the empirical experience in this field. Finally, this paper has a unique angle of view, which has practical significance for fund management corporate governance, fund supervision and investor protection.
【學(xué)位授予單位】：廈門大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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