本文選題：基金家族　切入點(diǎn)：共同持股行為　出處：《復(fù)旦大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：隨著我國基金業(yè)的發(fā)展,基金公司數(shù)量和規(guī)模也得到迅速的擴(kuò)大,基金投資行為對(duì)證券市場(chǎng)的影響也越來越大。因此,對(duì)單只基金和基金家族的投資行為的研究也顯得越來越重要。鑒于我國證券市場(chǎng)中基金家族存在較為嚴(yán)重的共同持股行為,且近幾年國內(nèi)這方面的相關(guān)研究較為薄弱,因此本文研究了基金家族內(nèi)部共同持股行為對(duì)基金管理公司整體業(yè)績與風(fēng)險(xiǎn)的影響。 本文先分析了基金家族共同持股行為產(chǎn)生的原因,并采用Elton等(2007)構(gòu)建的指標(biāo)來度量家族內(nèi)兩只基金的共同持股程度。然后運(yùn)用面板數(shù)據(jù)模型對(duì)2007年第四季度至2012年第四季度的中國基金市場(chǎng)數(shù)據(jù)進(jìn)行了實(shí)證分析�？紤]到基金家族特征的不同以及由此帶來的影響,本文還根據(jù)“基金家族規(guī)模”和“基金公司年齡”這兩個(gè)指標(biāo)對(duì)樣本基金家族分別進(jìn)行分組實(shí)證檢驗(yàn),以觀察不同基金家族特征下,基金家族共同持股行為對(duì)基金公司整體業(yè)績和風(fēng)險(xiǎn)的影響。最后對(duì)基金管理公司的治理結(jié)構(gòu)和監(jiān)管提出一些建議。 通過實(shí)證研究,本文得到以下結(jié)論：1)基金家族內(nèi)部共同持股行為對(duì)基金公司業(yè)績呈“倒U型”的影響,且當(dāng)基金共同持股程度達(dá)到7.01時(shí),對(duì)基金公司整體業(yè)績最有利；2)大、中、小型基金家族以及新老基金家族共同持股行為都有助于提升基金公司整體超額收益率,且基金家族規(guī)模越小,基金公司年齡越小(即成立日期越晚),相關(guān)系數(shù)越大；3)基金家族內(nèi)部共同持股行為對(duì)基金公司整體風(fēng)險(xiǎn)的影響呈“倒U型”,即基金家族共同持股的行為會(huì)增加基金公司整體風(fēng)險(xiǎn),且當(dāng)基金家族共同持股程度達(dá)到5.6時(shí),基金公司整體風(fēng)險(xiǎn)達(dá)到最大值。4)中、小型基金家族共同持股程度與基金公司整體風(fēng)險(xiǎn)呈正相關(guān)關(guān)系,且基金家族規(guī)模越小,相關(guān)系數(shù)越大。但大型基金相關(guān)關(guān)系并不顯著。新基金共同持股程度與基金家族整體風(fēng)險(xiǎn)呈正相關(guān)關(guān)系。而老基金此關(guān)系不顯著,即老基金公司內(nèi)部共同持股程度提高的同時(shí),卻并不一定會(huì)增加公司整體風(fēng)險(xiǎn)。
[Abstract]:With the development of fund industry in China, the number and scale of fund companies have been expanded rapidly, and the influence of fund investment behavior on the securities market has become more and more serious. The research on the investment behavior of single fund and fund family is becoming more and more important. In view of the serious joint ownership behavior of fund family in China's securities market, and in recent years, the research on this aspect is relatively weak in China. Therefore, this paper studies the influence of co-ownership behavior on the overall performance and risk of fund management companies. This paper first analyzes the causes of the joint ownership behavior of the fund family. The index constructed by Elton et al. 2007) is used to measure the degree of joint ownership of the two funds in the family, and then the panel data model is used to analyze the Chinese fund market data from in the fourth quarter of 2007 to in the fourth quarter of 2012. Taking into account the differences in the characteristics of the Fund's family and the implications thereof, According to the two indexes of "family size of fund" and "age of fund company", the sample fund family is tested by group empirical test to observe the characteristics of different fund families. Finally, some suggestions on the governance structure and supervision of the fund management company are put forward. Through empirical research, this paper draws the following conclusions: (1) the co-ownership behavior within the fund family has a "inverted U" effect on the performance of the fund company, and when the degree of mutual ownership of the fund reaches 7.01, it is most favorable to the overall performance of the fund company. Both small and old mutual shareholdings help raise the overall excess returns of fund companies, and the smaller the fund family, the smaller the size of the fund family. The younger the fund company is (that is, the later the establishment date is, the bigger the correlation coefficient is, the greater the correlation coefficient is.) the influence of the co-ownership behavior within the fund family on the overall risk of the fund company is "inverted U", that is, the behavior of the mutual ownership of the fund family will increase the foundation. The overall risk of the company, When the mutual shareholding degree of the fund family reaches 5.6, the overall risk of the fund company reaches the maximum. 4) in the case of the mutual ownership degree of the small fund family and the overall risk of the fund company, there is a positive correlation, and the smaller the fund family size, the smaller the fund family size. The greater the correlation coefficient is, the less significant the correlation is. The degree of co-ownership of new funds is positively correlated with the overall risk of the fund family, but the relationship between the old fund and the old fund is not significant, that is, the degree of co-ownership within the old fund companies increases, while the degree of co-ownership increases. However, it does not necessarily increase the overall risk of the company.
【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】：2013
【分類號(hào)】：F832.39

【相似文獻(xiàn)】

相關(guān)期刊論文 前10條

1 劉永剛;“保險(xiǎn)系基金”將試點(diǎn)《保險(xiǎn)法》難擋混業(yè)經(jīng)營[J];中國經(jīng)濟(jì)周刊;2005年37期

2 王錚;基金公司賭命2005[J];經(jīng)濟(jì);2005年03期

3 彭化英;;基金公司上市路未卜[J];新財(cái)經(jīng);2007年07期

4 ;修改基金法規(guī)松綁產(chǎn)品創(chuàng)新 國泰、嘉實(shí)、大成三大基金公司老總建言——修改基金法規(guī) 松綁產(chǎn)品創(chuàng)新[J];深交所;2008年12期

5 蘇揚(yáng);;諾安基金公司總經(jīng)理奧成文:一切為了投資者[J];大眾理財(cái)顧問;2008年01期

6 ;尋找抗震基金需五看[J];中國工會(huì)財(cái)會(huì);2008年04期

7 侯U，

本文編號(hào)：1643013