本文關(guān)鍵詞：封閉式證券投資基金治理結(jié)構(gòu)對(duì)基金績(jī)效影響的研究　出處：《上海社會(huì)科學(xué)院》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：本文首先從理論上分析基金的委托-代理關(guān)系。由于信息的不對(duì)稱性,基金投資者和管理者之間存在廣泛的委托-代理問題——道德風(fēng)險(xiǎn)和逆向選擇�；鸷贤鞘虑昂贤�,是不完全契約,合同無法就基金相關(guān)事由進(jìn)行事前完全約定。不完全契約理論認(rèn)為,剩余索取權(quán)和剩余控制權(quán)統(tǒng)一于所有權(quán),根據(jù)剩余控制權(quán)的安排就能推出剩余索取權(quán)的安排。在證券投資基金中,對(duì)“剩余控制權(quán)”進(jìn)行分配的關(guān)鍵在于設(shè)計(jì)出與委托代理合同相匹配的治理結(jié)構(gòu),在主要利益相關(guān)者一一股東、董事和經(jīng)理之間分配剩余控制權(quán),同時(shí)分配相應(yīng)的剩余索取權(quán)。 我國(guó)的證券投資基金均為契約性基金。在股權(quán)結(jié)構(gòu)上,國(guó)內(nèi)不同基金中前十大持有人比例、機(jī)構(gòu)投資者持有比例差異很大。在董事會(huì)結(jié)構(gòu)上,多數(shù)基金管理公司董事會(huì)人數(shù)大于國(guó)外研究之董事會(huì)最佳人數(shù),獨(dú)立董事比例遠(yuǎn)小于國(guó)外基金公司獨(dú)立董事比例,國(guó)內(nèi)普遍存在管理公司總經(jīng)理兼任董事會(huì)成員的現(xiàn)象。在管理層激勵(lì)上,國(guó)內(nèi)不存在有效的激勵(lì)機(jī)制。 筆者使用夏普指數(shù)、基金的年度凈資產(chǎn)費(fèi)用率作為被解釋變量、前十大股東持股比例、機(jī)構(gòu)投資者持股比例、董事會(huì)人數(shù)、獨(dú)立董事比例、基金管理公司中總經(jīng)理兼職問題作為解釋變量、基金年底資產(chǎn)凈值和基金成立時(shí)間作為控制變量,選擇2007-2011年持續(xù)存在的封閉式基金的數(shù)據(jù),使用面板數(shù)據(jù)進(jìn)行實(shí)證檢驗(yàn)。最后論證了以下結(jié)論：基金年度凈資產(chǎn)費(fèi)用率隨基金前十大股東持有基金份額上升而降低；基金年度凈資產(chǎn)費(fèi)用率隨機(jī)構(gòu)投資者持有基金比例上升而下降；基金夏普指數(shù)隨基金獨(dú)立董事占董事會(huì)比例的上升而提高；基金管理公司總經(jīng)理在董事會(huì)中地位越高,基金夏普指數(shù)越低；基金管理公司董事會(huì)的人數(shù)與基金年度凈資產(chǎn)費(fèi)用呈現(xiàn)倒U型二次曲線關(guān)系,以基金的凈資產(chǎn)費(fèi)用率來考量,存在一個(gè)最優(yōu)的董事會(huì)規(guī)模,為8人。
[Abstract]:This paper first analyzes the fund's principal-agent relationship in theory. Because of information asymmetry, extensive principal-agent problems -- adverse selection and moral hazard between fund investors and fund managers. The contract is the contract in advance, is the incomplete contract, the contract can not be agreed beforehand completely fund related subject. That is not completely the contract theory, the residual rights of control are unified in the ownership, according to the residual control rights arrangement will be able to launch the arrangement of the residual claims. In the securities investment fund, the "residual control rights" distribution is key to governance structure design and agency contract, the main stakeholders in all shareholders right, the distribution of residual control between directors and managers, and distribution of the residual claim.
China's securities investment funds are contractual fund. In the equity structure, the top ten holders of different proportion of domestic funds, the proportion of institutional investors holding great differences. In the structure of the board of directors, the majority of the directors of fund management companies will more than the number of directors will be the best number of study abroad, the proportion of independent directors is far less than that of independent directors the proportion of foreign fund companies, domestic common general manager concurrently a member of the board of directors of the phenomenon. In management incentives, there is no domestic effective incentive mechanism.
I use the SHARP index, the net assets fund cost rate as explanatory variables, the proportion of top ten shareholders, the shareholding of institutional investors, the number of directors, the proportion of independent directors, the general manager of the fund management company part-time as explanatory variables, the fund net assets at the end of the year and the fund set up time as control variables, select closed the fund over the period of 2007-2011 data, an empirical test using panel data. Finally it proves the following conclusions: the net asset cost rate with the fund fund annual top ten shareholders hold fund shares rise and reduce costs; net assets fund annual rate with institutional investors hold the fund proportion decreased; with the SHARP index fund fund independent directors of board of directors and improve the proportion of the rise; general manager of the fund management company position in the board of directors is higher, more SHARP Index Fund The number of the board of directors of the fund management company and the annual net asset cost of the fund show an inverted U two degree curve relationship. Considering the fund's net asset cost ratio, there is an optimal board size of 8 people.

【學(xué)位授予單位】：上海社會(huì)科學(xué)院
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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