本文選題：基金經(jīng)理 + “奔私”��； 參考：《山東大學(xué)》2014年碩士論文

【摘要】：陽光私募基金是借助信托公司發(fā)行,經(jīng)過監(jiān)管機構(gòu)備案,資金實現(xiàn)第三方銀行托管,有定期業(yè)績報告的投資于股票市場的基金。由于借助信托公司平臺發(fā)行保證了私募認購者的資金安全,而且它比一般地下私募證券投資基金更為規(guī)范化和透明化,又有著公募證券投資基金并不具備的靈活性與高收益性,因此陽光私募基金在最近幾年得到了快速的發(fā)展,成為了民間金融一股不可忽視的投資力量。但學(xué)術(shù)領(lǐng)域這方面研究的欠缺,與現(xiàn)實中陽光私募的迅猛發(fā)展形成明顯反差,因此,關(guān)于陽光私募基金更深層次的研究已經(jīng)刻不容緩。 而另一方面,從2006年第一只“公募派”背景的陽光私募信托產(chǎn)品成立以來,近8年“奔私”的公募基金經(jīng)理已超過90位。明星基金經(jīng)理們?yōu)槭裁醇娂娹D(zhuǎn)戰(zhàn)私募?頂著業(yè)績的光環(huán)毅然轉(zhuǎn)投私募的那些基金經(jīng)理們,現(xiàn)狀如何呢?針對基金經(jīng)理“跳槽”這一現(xiàn)象,目前絕大多數(shù)研究局限于基金經(jīng)理在公募基金內(nèi)部“改換門庭”,幾乎沒有學(xué)者對公募基金經(jīng)理“奔私”現(xiàn)象進行實證分析。 綜上,本文擬以公募派陽光私募基金經(jīng)理為研究標的,從選股擇時能力的角度對基金經(jīng)理在其公募階段和陽光私募階段的業(yè)績表現(xiàn)展開實證對比,進一步完善目前學(xué)術(shù)界對基金經(jīng)理“奔私”這一現(xiàn)象的研究,具有一定的理論意義。而實證對比研究所得的結(jié)論,一方面希望對陽光私募的未來發(fā)展和公募基金的薪酬激勵改革給出一些啟示,另一方面也希望可以為基金經(jīng)理職業(yè)生涯規(guī)劃和有意投資于陽關(guān)私募的投資者提供參考,具有一定的實踐意義。 本文對基金經(jīng)理“奔私”現(xiàn)象進行了理論方面與實證方面的深入研究。理論方面,主要介紹了國外關(guān)于基金業(yè)績評價的經(jīng)典理論模型,并對公募與陽光私募的特點展開對比分析；實證方面,本文采用TM-Fama-French三因素模型考察了41位基金經(jīng)理管理的77只股票型公募基金和216只陽光私募基金的選股擇時能力,加之T檢驗來考察基金經(jīng)理在公募轉(zhuǎn)私募前后業(yè)績表現(xiàn)是否發(fā)生了顯著改變。 通過實證研究,本文得到以下幾個結(jié)論： 1.公募基金整體體現(xiàn)出了不顯著的正向選股能力和負向擇時能力；陽光私募基金擇時選股能力都不顯著為負。 2.基金經(jīng)理公轉(zhuǎn)私后,選股能力顯著退步了,擇時能力雖仍為負,但較公募階段有不顯著的進步。筆者認為,選股能力顯著退步是因為失去了公募基金投研平臺的支持；而擇時能力有不顯著提高,是由于“奔私”后沒有了一系列投資和倉位限制,基金經(jīng)理通過股票和國債、現(xiàn)金之間的轉(zhuǎn)換以規(guī)避系統(tǒng)風(fēng)險的意識和體驗有所增加。 3.沒有足夠的證據(jù)表明陽光私募的薪酬激勵機制能提升業(yè)績。 4.傳統(tǒng)的因子模型雖然能夠解釋公募基金業(yè)績,但是無法很好地解釋陽光私募基金業(yè)績。
[Abstract]:Sunshine Private funds are funds invested in the stock market through the issuance of trust companies, the filing by regulators, the realization of third party bank custody and regular performance reports. Because the issuance of trust company platform ensures the fund safety of private investors, and it is more standardized and transparent than the general underground private equity investment fund, it also has the flexibility and high profitability that the public offering securities investment fund does not have. Therefore, the Sunshine Private Fund has developed rapidly in recent years and has become an important investment force in private finance. However, the lack of academic research in this area is in contrast to the rapid development of sunshine private equity in reality. Therefore, the deeper research on sunshine private equity funds has become urgent. On the other hand, since the establishment of the first "public offering" background Sunshine Private Equity Trust in 2006, there have been more than 90 public fund managers in the past eight years. Why do star fund managers turn to private equity? Bear the halo of performance of those fund managers who resolutely turned to private equity, how is the status quo? In view of the phenomenon of "job-hopping" of fund managers, at present, most of the studies are confined to the "changing doors" of fund managers in the public offering fund, and few scholars have made an empirical analysis on the phenomenon of "running for private" in public fund managers. To sum up, this paper intends to compare the performance of the fund managers in the public offering stage and the sunshine private placement stage from the perspective of the timing ability of stock selection, taking the public offering fund managers as the research object, and comparing the performance of the fund managers in the public offering stage and the sunshine private equity stage. It is of certain theoretical significance to further improve the current academic research on fund managers'"running for private" phenomenon. On the one hand, I hope to give some enlightenment to the future development of Sunshine Private Equity and the reform of compensation incentive of public offering fund. On the other hand, it also hopes to provide reference for fund managers' career planning and investors who are interested in investing in Yangguan private equity. This paper makes a theoretical and empirical study on the phenomenon of fund managers running for personal gains. In theory, it mainly introduces the classical theoretical model of fund performance evaluation in foreign countries, and analyzes the characteristics of public offering and sunshine private placement. This paper investigates the timing ability of 77 public offering funds and 216 sunshine private equity funds, which are managed by 41 fund managers, using the TM-Fama-French three-factor model. In addition, T-test to investigate whether the performance of fund managers before and after public offering private placement has changed significantly. Through empirical research, this paper draws the following conclusions: 1. The public offering funds as a whole reflect the ability of both positive stock selection and negative timing, while the ability of sunshine private equity funds is not significantly negative. 2. Fund managers' ability to choose stocks has been significantly reduced, although the ability of timing is still negative, but there is no significant progress compared with the stage of public offering. The author believes that the significant decline in stock selection ability is due to the loss of the support of the public offering fund investment and research platform, but the lack of significant improvement in the timing ability is due to the absence of a series of investment and position restrictions after "going private", and fund managers pass through stocks and treasury bonds. Cash conversion to avoid systematic risk awareness and experience has increased. 3. There is not enough evidence that Sunshine's pay incentives can improve performance. 4. Although the traditional factor model can explain the performance of public offering fund, it can not explain the performance of sunshine private fund.
【學(xué)位授予單位】：山東大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.39

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