本文關(guān)鍵詞： 冒險行為 補償契約 投資者偏好 基金激勵 基金治理　出處：《電子科技大學》2016年博士論文　論文類型：學位論文

【摘要】：證券投資基金作為我國金融市場重要的機構(gòu)投資者,一直被政府的證券監(jiān)管機構(gòu)寄予厚望,希望通過機構(gòu)投資者的超常規(guī)發(fā)展以達到降低證券市場波動、穩(wěn)定市場的目的。然而從我國證券投資基金的管理實踐來看,我國股票型證券投資基金自身卻具有較高的風險水平,證券投資基金的超常規(guī)發(fā)展還沒有達到證券監(jiān)管機構(gòu)穩(wěn)定金融市場的良好預期。由于基金經(jīng)理的投資行為本質(zhì)上是為基金投資者提供的一種代理投資金融服務,基金經(jīng)理具有的有限責任和委托代理雙方風險收益不對稱特征可能驅(qū)動基金經(jīng)理在投資中傾向于選擇高風險的資產(chǎn),這種投資冒險行為不僅可能構(gòu)成損害基金投資者利益的基金經(jīng)理道德風險,還將推動金融資產(chǎn)價格對內(nèi)在價值的系統(tǒng)性偏離,進而加劇整個金融市場的波動甚至進一步引發(fā)金融泡沫。對基金經(jīng)理投資冒險行為的研究,有助于更好地發(fā)揮機構(gòu)投資者穩(wěn)定市場功能,完善我國證券投資基金的監(jiān)管機制,引導和規(guī)范基金經(jīng)理的投資行為。不同于一般的公司委托代理關(guān)系,證券投資基金的經(jīng)理人努力水平和基金產(chǎn)出的風險水平都是基金經(jīng)理可以選擇和調(diào)整的內(nèi)生變量,基金經(jīng)理可能背離其作為機構(gòu)投資者代理投資的“風險管理”初衷,在投資實踐中實施一定的投資冒險行為來實現(xiàn)自身補償最大化的目的。結(jié)合中國證券投資基金市場的特殊背景,本文綜合運用金融經(jīng)濟學、行為金融學、資產(chǎn)定價和風險管理等理論,采用規(guī)范的金融市場計量經(jīng)濟分析方法,對我國基金經(jīng)理的投資冒險行為進行研究。本文將基金經(jīng)理選擇的基金風險水平超越了基金所對應的業(yè)績比較基準風險水平這種投資行為界定為基金經(jīng)理投資冒險行為,分別研究了基金經(jīng)理投資冒險行為的評價、基金經(jīng)理投資冒險行為所面臨的驅(qū)動因素和基金經(jīng)理投資冒險行為的約束機制,并對如何防范與控制我國基金經(jīng)理的投資冒險行為給出了相應對策建議。論文主要研究內(nèi)容具體包含以下三個方面:(一)基金經(jīng)理投資冒險行為的評價。本文通過考察基金經(jīng)理投資冒險行為產(chǎn)生的結(jié)果,基于基金經(jīng)理自身和基金投資者角度對基金經(jīng)理投資冒險行為進行評價�；谥袊C券投資基金市場2004-2012年36個季度的非平衡面板數(shù)據(jù),實證結(jié)果顯示,我國基金經(jīng)理的投資冒險行為總體上有損基金投資者福利,其行為更多體現(xiàn)出基金經(jīng)理具有一定的“道德風險”而并非“信息優(yōu)勢”。進一步,本文將基金經(jīng)理的冒險途徑分為風險資產(chǎn)占比調(diào)整、系統(tǒng)性風險調(diào)整和特質(zhì)風險調(diào)整三種方式,發(fā)現(xiàn)不同途徑下基金經(jīng)理投資冒險行為對基金經(jīng)理回報和投資者福利的影響則有所不同,基金經(jīng)理通過調(diào)整特質(zhì)風險的冒險行為降低了基金經(jīng)理的回報但卻有利于提升基金投資者的福利,而基金經(jīng)理通過系統(tǒng)風險調(diào)整的冒險行為增加了基金經(jīng)理的回報卻對基金投資者福利造成了損害。(二)基金經(jīng)理投資冒險行為的驅(qū)動。本文分別基于基金經(jīng)理補償契約和基金投資者風險偏好兩種視角,研究了基金經(jīng)理投資冒險行為發(fā)生的主要驅(qū)動因素。一方面,本文分別構(gòu)建離散時間和連續(xù)時間下的基金經(jīng)理最優(yōu)風險選擇模型,研究發(fā)現(xiàn),在對稱結(jié)構(gòu)的基金經(jīng)理補償契約中,驅(qū)動基金經(jīng)理投資冒險行為的主要因素是基金經(jīng)理對自己所處形勢的主觀判斷和基金經(jīng)理自身的風險偏好。特別地,當基金經(jīng)理認為自己所管理基金的收益超越業(yè)績比較基準的可能性很小,自己在期末面臨“損失”的可能性較大時,他們的投資冒險行為就會發(fā)生。而當經(jīng)理人補償契約從對稱結(jié)構(gòu)變?yōu)榉菍ΨQ結(jié)構(gòu)時,如果基金經(jīng)理具有遞減的絕對風險厭惡(DARA)偏好,非對稱補償契約結(jié)構(gòu)更可能導致基金經(jīng)理投資冒險行為的發(fā)生。另一方面,通過構(gòu)建基金投資者資金流理性預期模型并結(jié)合我國開放式基金的非平衡面板數(shù)據(jù)的實證分析,本文對我國基金投資者的風險態(tài)度研究后發(fā)現(xiàn),我國基金投資者對以原始業(yè)績波動率表征的基金總體風險并不在乎,甚至表現(xiàn)出一定的“風險追逐”偏好,投資者這種風險態(tài)度對我國基金經(jīng)理的投資冒險行為構(gòu)成一種隱性驅(qū)動。進一步的研究發(fā)現(xiàn),這種驅(qū)動主要針對基金經(jīng)理的“適度冒險”行為,當基金經(jīng)理表現(xiàn)出“過度冒險”行為時,投資者資金流-業(yè)績之間的凸性會逐漸減小,來自基金投資者的冒險驅(qū)動作用會有弱化的趨勢。(三)基金經(jīng)理投資冒險行為的約束。以“弱化基金經(jīng)理道德風險行為驅(qū)動”為出發(fā)點,本文分別從基金投資者“用腳投票”市場約束和基金自購制度約束這兩個方面考察了基金經(jīng)理投資冒險行為的約束機制�；鹜顿Y者對基金經(jīng)理投資冒險行為的約束主要從投資者資金流的結(jié)構(gòu)特征考察,期望發(fā)現(xiàn)基金投資者對基金經(jīng)理投資冒險行為“用腳投票”的市場機制發(fā)揮作用;而制度約束層面,則以基金自購為例,檢驗基金自購制度的引入與實踐,是否真正有利于基金經(jīng)理和基金投資者之間建立較好的風險分擔機制。研究結(jié)論顯示,我國基金投資者“用腳投票”方式實現(xiàn)對基金經(jīng)理投資冒險行為的市場約束效果還有待進一步完善,而以基金自購為代表的制度性約束則體現(xiàn)出較好的約束效果。
[Abstract]:Securities investment fund is an important institutional investor in China's financial market, has been the government securities regulators have great expectations, hope that through the extraordinary development of institutional investors in order to reduce the fluctuation of stock market and stabilize the market. However, from the management practice of Chinese securities investment funds, securities investment fund of our own it has a high level of risk, expected super conventional development of securities investment fund has not yet reached the securities regulatory authorities to stabilize the financial market. Due to the nature of investment behavior of fund managers is provided for fund investors a proxy investment in financial services, the fund manager has limited liability and agency both risk and return asymmetry may driving in the investment fund managers tend to choose high risk assets, the risk investment behavior may not only damage The moral hazard of fund managers the interests of fund investors, will also promote the financial asset price system on the intrinsic value of the deviation, thus increasing the volatility of financial markets and even lead to financial bubbles. The research on fund managers' investment risk behavior, help to better exert the function to stabilize the market of institutional investors, improve the regulatory mechanism of China's securities investment the fund's investment behavior, guide and regulate the fund manager. The company is different from the general principal-agent relationship, the effort level of the securities investment fund managers and fund output levels of risk are fund managers can select and adjust the endogenous variables, fund managers may deviate from its institutional investors as a proxy for investment intention, "risk management" the implementation of certain investment in the practice of risk-taking behavior to achieve their own compensation maximization objective. Combined with China securities investment The special background of the fund market, this paper uses financial economics, behavioral finance, asset pricing and risk management theory, the financial market econometrics standard analysis methods, to study our fund manager's investment behavior risk. This paper will fund risk level of fund managers choose beyond the corresponding fund performance benchmark the level of risk investment behavior is defined as the investment fund manager of risk-taking behavior, evaluation respectively study the fund manager's investment risk behavior, driving factors and constraint mechanism of the fund manager investment risk behavior facing fund managers' investment risk behavior, and how to prevent and control our fund manager's investment risk behavior gives the corresponding countermeasures and suggestions. The main content of this thesis includes the following three aspects: (a) evaluation of the investment fund manager the risky behaviour. The effects of the investment fund manager of risky behavior results, fund managers and fund investors own perspective on the fund manager's investment behavior risk evaluation based on unbalanced panel data. China market securities investment fund 2004-2012 36 quarter based on the empirical results show that our fund manager's investment behavior of fund investors welfare loss risk in general. His behavior reflects more fund managers have a certain "moral hazard" and not "information superiority". Further, the adventure way fund managers into risk assets ratio adjustment, systemic risk adjustment and idiosyncratic risk adjustment in three ways, found that the influence of different ways of investment return of the fund manager risk-taking behavior of the fund manager investors and welfare is different, the fund manager's risk-taking behavior by adjusting the idiosyncratic risk reduces the fund manager's back But the report is conducive to enhancing the welfare of fund investors, fund managers through the system of risk adjusted risk behavior increased the fund manager's return to welfare fund investors caused damage. (two) driven fund managers to invest in risky behavior. Based on the fund manager compensation contract and fund investors' risk preference two perspectives respectively. The main driving factors of the investment fund manager of risky behavior. On the one hand, this paper constructs the fund manager optimal risk choice model, discrete time and continuous time study found that in the symmetrical structure of the fund manager compensation contract, the main driving factors of the investment fund manager of risk-taking fund managers on their own position the subjective judgment and the fund manager's risk appetite. In particular, when fund managers think that their fund management income beyond performance comparison The benchmark possibility is very small, they face the possibility of a larger "loss" in the end, they risk behavior will happen. When the executive compensation contract from the symmetric structure into asymmetric structure, if the fund manager has a decreasing absolute risk aversion (DARA) preferences, compensation contract is more likely to occur in asymmetric structure the fund manager investment venture. On the other hand, through the construction of fund investors capital flow rational expectation model and empirical unbalanced panel data of China's open-end fund analysis, this paper on China's fund investors' risk attitude research found that China's fund of fund investors do not care about the overall risk characterization in the original performance fluctuations rate, even showed a certain risk preference, the risk attitude of investors in our fund manager's investment behavior into a kind of adventure The recessive drive. Further study found that, mainly for fund managers "moderate risk-taking" driving this, when fund managers showed "excessive risk-taking" investors, capital flow - convexity between performance will decrease and the driving effect of fund investors from risk will be weakened. (three) fund manager investment in risky behavior constraints. To weaken the moral hazard behavior of fund manager to drive "as the starting point, this paper from the constraint mechanism of fund investors" vote by foot "market constraints and institutional constraints of the fund since the purchase of two of the investment fund manager of risky behavior. The influences of structure of fund investors on fund managers' investment risk behavior the main constraint from the investor capital flows, fund investors expect to find on fund managers' investment risk behavior" market mechanism to vote with their feet "play a role Use and institutional constraints; level, the fund since the purchase as an example, the inspection of funds from the purchase of the introduction and practice of the system, really help fund managers and fund investors to establish better risk sharing mechanism. The conclusion of the study shows that China's fund investors vote with their feet "to achieve the risk-taking behavior of the fund manager's investment the market discipline effect still needs to be further improved, and institutional constraints to the fund since the purchase reflects the constraint effect better.

【學位授予單位】：電子科技大學
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F832.51
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本文編號：1455556