本文選題：次貸危機 + 信托投資基金�。� 參考：《南京理工大學》2013年碩士論文

【摘要】：2007年美國爆發(fā)了次貸危機,并迅速影響美國金融、經濟的穩(wěn)定。美國的次貸危機導致全球的金融風暴。在我國,廣大投資者寄希望通過具有專家理財、分散風險功能的信托投資基金,來實現(xiàn)資本的保值增值。在此次金融風暴中,信托投資基金并未表現(xiàn)出自身優(yōu)勢,使得投資者資本金嚴重虧損,而基金公司仍然獲得了豐厚的利潤。廣大投資者對此紛紛表示不滿,對投資基金產生了強烈的質疑。在我國,基金管理公司收取年費的標準,是依照《基金法》規(guī)定,以管理基金的凈資產的1.5%收取。在這種缺乏風險激勵機制和投資損失風險賠償約束機制下,基金管理人收益報酬和風險責任是不對稱的,即報酬與風險不相關,這導致基金管理人自然缺乏盈利的動力。 為了解決上述問題,本文通過對基金經理的顯性激勵和隱性激勵的研究,實現(xiàn)投資者與基金公司的收益共享、風險共擔。 首先,是對基金經理顯性激勵的研究,從理論的角度系統(tǒng)地研究了線性激勵契約對基金經理行為的影響及其作用。假設基金經理具有獲得市場額外信息的能力,并且這種能力的付出需要花費成本,綜合考慮基金經理的“努力水平”與風險選擇的相互作用及關系。本文發(fā)現(xiàn)把基準投資組合寫進合同可以起到激勵的作用,并增加投資者對基金經理的了解。研究了對稱費用結構與激勵費用結構對基金經理風險選擇的影響,考慮基金經理具有相同的風險規(guī)避度,在對稱費用結構下,基金經理對投資組合風險的選擇,受到自身的偏好、投資者的偏好以及市場狀況的約束；在激勵費用結構下基金經理所選擇的最優(yōu)風險水平一定會高于對稱費用結構下經理人所選擇的最優(yōu)風險水平。 其次,是對基金經理隱性激勵的研究,主要是從基金是否獲得超額收益、基金經理是否具有選股能力與擇時能力方面展開的。本文用Treynor指數(shù)、Sharpe指數(shù)以及Jensen alpha指數(shù)來衡量基金是否能夠獲得超額收益,并用我國2006年至2010年的開放式基金進行實證,并得到了與實際相符的結論。用早前的比較經典的Treynor-Mazuy模型[33]與Henriksson-Merton模型[34]來度量基金經理是否具有選股能力與擇時能力,同樣應用我國開放式基金進行了實證。目前常常用來度量基金經理是否具有選股擇時能力的模型是Characteristic Selectivity (CS)模型,我們對其進行了簡單介紹,由于該模型具有不穩(wěn)定性,本文進一步利用K-means算法將CS進行改進,克服了原有CS模型的缺點,并利用我國2001年-2011年的開放式基金數(shù)據進行實證,得到了新的基金經理選股能力結果。
[Abstract]:In 2007, the subprime mortgage crisis broke out in the United States, and quickly affected the financial and economic stability of the United States. The subprime mortgage crisis in the United States led to the global financial turmoil. In our country, the majority of investors hope to realize the maintenance and appreciation of capital through the trust investment fund with the function of expert financing and risk dispersal. In the financial turmoil, trust investment funds did not show their own advantages, leaving investors with heavy capital losses, while fund companies still made substantial profits. The majority of investors have expressed dissatisfaction with this, investment funds have had strong doubts. In our country, the standard of annual fee collected by fund management company is to collect 1.5% of the net assets of fund according to the regulation of fund law. In this lack of risk incentive mechanism and investment loss risk compensation mechanism, the return reward and risk liability of fund manager are asymmetric, that is, the reward is not related to risk, which leads to the fund manager's lack of profit motive force. In order to solve the above problems, this paper studies the explicit incentive and implicit incentive of fund manager to realize the income sharing and risk sharing between investors and fund companies. First of all, the paper studies the influence of linear incentive contract on the behavior of fund manager and its effect from the perspective of theory. Assuming that the fund manager has the ability to obtain additional market information, and the cost of the ability to pay for this ability, consider the "level of effort" of the fund manager and risk selection of the interaction and relationship. This paper finds that the inclusion of the benchmark portfolio in the contract can serve as an incentive and increase the investor's understanding of the fund manager. This paper studies the influence of symmetric cost structure and incentive cost structure on risk selection of fund managers. Considering that fund managers have the same degree of risk aversion, under symmetric cost structure, fund managers choose the risk of investment portfolio. Under the incentive cost structure, the optimal risk level chosen by the fund manager will be higher than the optimal risk level chosen by the manager under the symmetrical cost structure. Secondly, the research on implicit incentive of fund manager is mainly from the aspects of whether the fund gets excess return, whether the fund manager has the ability of stock selection and timing. This paper uses Treynor index Sharpe index and Jensen alpha index to measure whether the fund can get excess return, and makes an empirical study with the open-end fund from 2006 to 2010 in China, and obtains the conclusion in accordance with the actual situation. This paper uses the classical Treynor-Mazuy model [33] and the Henriksson-Merton model [34] to measure the ability of stock selection and timing of fund managers. At present, Characteristic selectivity (CS) model, which is often used to measure whether the fund manager has the ability of stock timing, is simply introduced. Because the model is unstable, this paper further uses K-means algorithm to improve CS. It overcomes the shortcomings of the original CS model and makes use of the open-end fund data of our country from 2001 to 2011 to obtain the results of new fund managers' stock selection ability.
【學位授予單位】：南京理工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F272.92;F832.49

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本文編號：2095740