本文選題：基金家族　切入點(diǎn)：投資者異質(zhì)性　出處：《南京財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：從我國(guó)第一只開放式基金——華安創(chuàng)新證券投資基金成立至今,我國(guó)開放式基金市場(chǎng)歷經(jīng)12年的改革與發(fā)展已逐漸走向成熟。需要關(guān)注的是,證券投資基金中特有的委托代理機(jī)制以及基金管理公司作為基金市場(chǎng)上獨(dú)立利益主體的存在,使得完善基金治理約束和基金家族管理體系成為證券投資基金市場(chǎng)健康穩(wěn)定發(fā)展過(guò)程中始終難以忽視的問(wèn)題。本文針對(duì)基金家族在進(jìn)行基金管理過(guò)程中為了追求自身利益最大化這一目標(biāo),通過(guò)構(gòu)建投資者基金需求模型和基金家族利潤(rùn)最大化模型,在此基礎(chǔ)之上對(duì)我國(guó)開放式基金市場(chǎng)中基金家族效應(yīng)對(duì)投資者異質(zhì)性、家族成員基金的影響兩個(gè)問(wèn)題進(jìn)行了深入研究。本文的結(jié)構(gòu)如下：第一章為引言,主要介紹了本文的研究背景和研究意義,同時(shí)對(duì)相關(guān)問(wèn)題的國(guó)內(nèi)外研究現(xiàn)狀進(jìn)行了綜述和評(píng)價(jià)。第二章介紹了我國(guó)基金市場(chǎng)概況,包括基金市場(chǎng)現(xiàn)狀、證券投資基金的分類；基金家族的發(fā)展特征以及從基金家族偏好和資源配置行為兩個(gè)方面對(duì)基金家族的特征進(jìn)行了分析。第三章對(duì)基金家族成員基金的非獨(dú)立性問(wèn)題進(jìn)行了理論分析。通過(guò)引入理論模型采取基金產(chǎn)品差異化的方法分析了基金家族應(yīng)對(duì)投資者異質(zhì)性問(wèn)題的最優(yōu)策略和基金家族為實(shí)現(xiàn)自身利益最大化在提高基金費(fèi)率和擴(kuò)大基金資產(chǎn)規(guī)模之間的選擇。第四章利用我國(guó)開放式基金的年度數(shù)據(jù)通過(guò)線性回歸和動(dòng)態(tài)面板廣義矩估計(jì)的方法對(duì)基金家族與投資者異質(zhì)性之間的關(guān)系進(jìn)行了實(shí)證研究。實(shí)證結(jié)果表明,我國(guó)基金市場(chǎng)上存在基金家族驅(qū)動(dòng)異質(zhì)性,基金家族效應(yīng)發(fā)揮的作用大于基金個(gè)體之間差異對(duì)投資者行為產(chǎn)生的影響。第五章利用我國(guó)開放式基金的年度數(shù)據(jù)通過(guò)動(dòng)態(tài)面板廣義矩估計(jì)的方法從基金業(yè)績(jī)和基金增殖的視角考察基金家族效應(yīng)對(duì)其成員基金的影響�；鸩町惢潭鹊蜁r(shí),基金家族會(huì)通過(guò)調(diào)整資源配置而對(duì)成員基金的業(yè)績(jī)表現(xiàn)產(chǎn)生有益影響來(lái)吸引投資者；基金差異化程度高時(shí),基金家族會(huì)通過(guò)增發(fā)基金填補(bǔ)市場(chǎng)空缺來(lái)擴(kuò)大家族基金規(guī)模。第六章是本文的結(jié)論,同時(shí)指出了本文的不足。
[Abstract]:Since the establishment of China's first open-end fund, Hua'an innovative Securities Investment Fund, China's open-end fund market has gradually matured after 12 years of reform and development. The special principal-agent mechanism in the securities investment fund and the existence of the fund management company as the independent interest subject in the fund market, It is difficult to ignore the improvement of fund governance constraints and fund family management system in the process of the healthy and stable development of the securities investment fund market. This paper aims at the fund family in the process of fund management in order to pursue. The goal of maximizing self-interest, On the basis of constructing the investor fund demand model and the fund family profit maximization model, the paper analyzes the heterogeneity of the fund family effect to the investors in the open-end fund market in China. The structure of this paper is as follows: the first chapter is the introduction, mainly introduces the research background and significance of this paper. The second chapter introduces the general situation of China's fund market, including the current situation of the fund market, the classification of securities investment funds; The development characteristics of the fund family and the characteristics of the fund family from the two aspects of the fund family preference and resource allocation behavior are analyzed. Chapter three makes a theoretical analysis of the non-independence of the fund family member fund. By introducing the theory model and adopting the method of fund product differentiation, this paper analyzes the optimal strategy of fund family to deal with the heterogeneity problem of investors and the fund family in order to maximize its own interests in order to increase the fund rate and expand the fund capital. Chapter 4th makes an empirical study on the relationship between the heterogeneity of the fund family and investors by using the method of linear regression and dynamic panel generalized moment estimation using the annual data of open-end funds in China. There are fund family driven heterogeneity in China's fund market. The influence of fund family effect is greater than that of individual fund on investor behavior. Chapter 5th uses the annual data of open-end fund in China to estimate the performance of the fund through the method of dynamic panel generalized moment estimation. From the perspective of fund multiplication, this paper examines the influence of fund family effect on its member funds. When the degree of fund differentiation is low, The fund family attracts investors by adjusting the allocation of resources and exerting a beneficial influence on the performance of the member funds. The fund family will expand the scale of the family fund by issuing additional funds to fill the gap in the market. Chapter 6th is the conclusion of this paper and points out the deficiency of this paper.
【學(xué)位授予單位】：南京財(cái)經(jīng)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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