股票型开放式基金管理报酬激励约束机制
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摘要
我国开放式基金自2001年9月成立以来,始终按照基金净值固定比例提取管理报酬。2008年股市大跌,基金投资者亏损巨大,但是基金管理者的管理报酬总额不降反增,引发了基金持有者的强烈不满,基金管理报酬的问题受到基金业界和学术界的广泛关注。“旱涝保收”的基金管理报酬模式实质上反映了我国基金管理报酬激励约束机制有效性不足。
本文对我国现行报酬模式的激励现状进行了描述,发现基金管理报酬主要随基金规模大小而变,与基金收益关系不明确,随后从经济学和管理学的激励理论出发,分析了不同管理报酬模式下基金管理者可能采取的各种不同行为;本文还以2006年以前上市的股票型开放式基金为例,对我国基金管理报酬激励约束现状进行实证研究,结果发现基金管理者所获得的报酬与其所管理的基金业绩不存在统计上的相关性,进一步证实了现行管理报酬模式所导致的基金管理者激励约束不足问题。
对此,本文运用委托代理分析框架,设计了一种混合管理报酬模式,通过将基金管理报酬与基金业绩联动起来,实现了基金管理者与基金持有者利益的捆绑。并通过与现行管理报酬模式进行比较研究,在理论上证明了相同管理报酬成本下,混合管理报酬模式下基金管理者将会付出比现行报酬模式下更大的努力水平。不同于传统提取业绩报酬的方式,本文区分了基金业绩的来源,仅仅针对基金业绩中与基金管理者努力水平相关的那部分业绩进行奖惩,以保证基金管理报酬的获取与基金管理者的付出的一致。
The open-end funds in China have been charged management compensation by the fixed proportion of NAV since the foundation in Sept. 2001. Although fund investors suffering serious losses from the stock market crash in 2008, the total amount of management compensation charged by fund managers increases instead of decrease, which makes fund holders strongly dissatisfied. Then, the management compensation arouses wide attention of the people from fund industry and academia. The management compensation contract which is“ensure stable yields despite drought or excessive rain”essentially reflects the lack of effectiveness of the funds management compensation incentive and restraint mechanism in China.
This paper describes the current situation of the compensation incentive, and finds that management compensation vary with the size of the fund while its relationship with fund performance is uncertain. Then, based on the incentive theory of economic and management, the paper analyses probable behaviors that fund managers may adopt in different compensation contracts. It conducts an empirical study on the current fund management compensation incentive and restraint mechanism in China by taking equity open-end funds issued before 2006 as sample, and the results show that the fund management compensation are statistically irrelevant to the fund performance, which further confirms the problem of incentive and restraint for fund manager that caused by current compensation contract.
This paper designs a new mixed management compensation contract based on principal-agent analysis framework, which combines the interests of managers and holders by enhancing an interactive development between fund management compensation and fund performance. Making comparative study of the new mixed management compensation contract and current contract, it theoretically proves that the new mixed management compensation contract can make fund managers work harder than the fixed one under the same management compensation Meanwhile, it classifies the sources of fund performance and award and punishment will be adopted to managers only on the performance section linked to fund managers’effort level, in order to keep management compensation consistent with managers’efforts.
本文对我国现行报酬模式的激励现状进行了描述,发现基金管理报酬主要随基金规模大小而变,与基金收益关系不明确,随后从经济学和管理学的激励理论出发,分析了不同管理报酬模式下基金管理者可能采取的各种不同行为;本文还以2006年以前上市的股票型开放式基金为例,对我国基金管理报酬激励约束现状进行实证研究,结果发现基金管理者所获得的报酬与其所管理的基金业绩不存在统计上的相关性,进一步证实了现行管理报酬模式所导致的基金管理者激励约束不足问题。
对此,本文运用委托代理分析框架,设计了一种混合管理报酬模式,通过将基金管理报酬与基金业绩联动起来,实现了基金管理者与基金持有者利益的捆绑。并通过与现行管理报酬模式进行比较研究,在理论上证明了相同管理报酬成本下,混合管理报酬模式下基金管理者将会付出比现行报酬模式下更大的努力水平。不同于传统提取业绩报酬的方式,本文区分了基金业绩的来源,仅仅针对基金业绩中与基金管理者努力水平相关的那部分业绩进行奖惩,以保证基金管理报酬的获取与基金管理者的付出的一致。
The open-end funds in China have been charged management compensation by the fixed proportion of NAV since the foundation in Sept. 2001. Although fund investors suffering serious losses from the stock market crash in 2008, the total amount of management compensation charged by fund managers increases instead of decrease, which makes fund holders strongly dissatisfied. Then, the management compensation arouses wide attention of the people from fund industry and academia. The management compensation contract which is“ensure stable yields despite drought or excessive rain”essentially reflects the lack of effectiveness of the funds management compensation incentive and restraint mechanism in China.
This paper describes the current situation of the compensation incentive, and finds that management compensation vary with the size of the fund while its relationship with fund performance is uncertain. Then, based on the incentive theory of economic and management, the paper analyses probable behaviors that fund managers may adopt in different compensation contracts. It conducts an empirical study on the current fund management compensation incentive and restraint mechanism in China by taking equity open-end funds issued before 2006 as sample, and the results show that the fund management compensation are statistically irrelevant to the fund performance, which further confirms the problem of incentive and restraint for fund manager that caused by current compensation contract.
This paper designs a new mixed management compensation contract based on principal-agent analysis framework, which combines the interests of managers and holders by enhancing an interactive development between fund management compensation and fund performance. Making comparative study of the new mixed management compensation contract and current contract, it theoretically proves that the new mixed management compensation contract can make fund managers work harder than the fixed one under the same management compensation Meanwhile, it classifies the sources of fund performance and award and punishment will be adopted to managers only on the performance section linked to fund managers’effort level, in order to keep management compensation consistent with managers’efforts.
引文
[1] Treynor J L. How to rate mutual fund performance. Harvard Business Review, 1965, 43: 63-75
[2] Sharp W F. Mutual fund performance. The Journal of Business, 1966, 39(1): 119-138
[3] Jensen M C. The performance of mutual funds in the period 1945-1964. The Journal of Finance, 1967, 23(2): 389-416
[4] Treynor J, Black F. How to use security analysis to improve selection. Journal of Business, 1973, (46): 66-86
[5] Franco M, Modigliani L. Risk-Adjusted Performance. Journal of Portfolio Management, 1997, 23 (2): 45-54
[6] Treynor J, Mazuy K. Can mutual funds outguess the market?. Harvard Business Review, 1966, (44): 13l-136
[7]刘湘豫,刘红亮.我国开放式基金绩效归属分析的实证研究.财经理论与实践(双月刊), 2005, 26(4): 58-61
[8]毕正华.投资者导向的基金业绩评价指标体系.统计与决策, 2006, (12): 59-62
[9]吴冲锋,倪苏云,翁轶丛.证券投资基金业绩评价研究述评.系统工程理论与实践, 2002, (10): 128-133
[10] Gruber Martin J. Another puzzle: the growth in actively managed mutual funds. Journal of Finance, 1996, 51: 783-810
[11] Berk J, Green R C. Mutual fund flows and performance in rational markets. U C Berkeley Working Paper, 2002
[12] Perold Andre, Salomon Robert S. The right amount of assets under management. Financial Analysts Journal, 1991, 47(3): 31–39
[13] Lowenstein Roger.“Frightened Funds: Is there a master in the house?”Wall Street Journal., 1997, 20(11)
[14] Joseph Goleca, Laura Starks. Performance fee contract change and mutual fund risk. Journal of Financial Economics, 2004, (73): 93–118
[15] Alexander Kempf, StefanRuenzi, TanjaThiele. Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry. Journal of Financial Economics, 2009, 92(1): 92–108
[16]王明好,陈忠,蔡晓钰.费率结构对证券投资基金风险承担行为的影响研究.系统工程理论与实践, 2004, (10): 117-121
[17]王明好等.相对业绩对投资基金风险承担行为的影响研究.中国管理科学, 2004, 12(5): 1-5
[18] Michael K Berkowitza, Yehuda Kotowitzb. Managerial quality and the structure of management expenses in the US mutual fund industry. International Review of Economics and Finance, 2002, (11): 315-330
[19] Ravi Shukla. The value of active portfolio management. Journal of Economics and Business, 2004, (56): 331-346
[20]曾德明,刘颖,龚红.管理费激励与基金绩效:对中国基金的实证研究.湖南大学学报(社会科学版), 2005, 19(2): 35-38
[21]曾德明,周再望,刘颖.证券投资基金费用对基金绩效的影响研究.科技管理研究, 2005, (10): 179-181
[22]陈三梅.证券投资基金管理费用的实证分析.商业研究, 2006, (6): 163-165
[23] Chevalier J, Ellison G. Risk taking by mutual funds as a response to incentives. The Journal of Political Economy, 1997, (105): 1167-1199
[24] Sirri E R, Tufano P. Costly search and mutual fund flows. Journal of Finance, 1998, (53): 1589-1622
[25] Odean T. Are investors reluctant to realize their losses?. Journal of Finance, 1998, (53): 1775-1798
[26]束景虹.开放式基金赎回现象的实证研究.数量经济技术经济研究, 2005, (4): 117-126
[27]陆蓉等.基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究.经济研究, 2007, (6) : 39-50
[28]曹兴,彭耿.中国基金管理费激励的有效性.系统工程, 2009, (1): 50-56
[29] SI Cohen, LT Starks. Estimation risk and incentive contracts for portfolio managers. Management Science, 1988, 34(9): 1067-1079
[30]韩德宗,宋红雨.证券投资基金激励约束机制的实证研究.数量经济技术经济研究, 2002, (4): 110-113
[31]郑娟.我国基金管理人的报酬机制设计问题.现代管理科学, 2002, (12): 52-53
[32]武凯.基金管理费制度安排的激励效应与优化选择.证券市场导报, 2005, (8): 33-37
[33] Jurgen Eichberger, Simon Grant, Stephen King. On relative performance contracts and fund manager's incentives. European Economic Review, 1999,43(1): 135-161
[34] Wermers, Russ. Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs and expense. Journal of Finance, 2000, 55: 1655-1703
[35]孙静,高建伟.相对业绩报酬契约及其对基金经理投资决策的影响.管理工程学报, 2006, (4): 67-72
[36] Mark Grinblatt, Sheridan Titman. Adverse risk incentives and the design of performance-based contracts. Management Science, 1989, 35(7): 807-822
[37] Hui Ou-Yang. Optimal contracts in a continuous-time delegated portfolio management problem. The Review of Financial Studies, 2003,16(1): 173-208
[38]倪苏云,肖辉,吴冲锋.证券投资基金的管理费率设计研究.系统工程与理论实践, 2004, (1): 25-29
[39] Judith Chevalier, Glenn Ellision. Career concerns of mutual fund managers. The Quarterly Journal of Economics, 1999, 114(2): 389-432
[40] Wermers R Mutual fund herding and the impact on stock prices. The Journal of Finance, 1999, 54(2): 581-622
[41] Nofsinger J R, Sias RW. Herding and feedback trading by institutional and individual investors. The Journal of Finance, 1999, 54(6): 2263-2295
[42]吴福龙,曾勇,唐小我.中国证券投资基金的羊群行为分析.管理工程学报, 2004, 18(3): 115-117
[43] Zweig Jason, Watch out for the year-end fund flimflam. Money Magazine, 1997, (11): 130-133
[44] Carhart M M, Kaniel R, Musto D K, Reed A V. Leaning for the tape: evidence of gaming behavior in equity mutual funds. Journal of finance, 2002, 57(2): 661-693
[45]赵秀娟,吴启芳,汪寿阳.开放式基金净值增长率被拉升了吗?——中国证券市场日历效应检验.中国管理科学, 2006 , (4): 13-18
[46]伏爱国.基金行为与基金业绩的日历效应.经济理论与经济管理, 2008, (5): 39-45
[47]邹戈.开放式股票型基金饰窗效应的实证研究.科学技术与工程, 2009, 9(2): 525-527
[48] H M Markowitz. Portfolio selection. The Journal of Finance, 1952, 7(1): 77-91
[49] W F Sharpe. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 1965, (19): 425-422
[50] J Lintner. The valuation of risk assets and the selection of risky investments instock portfolios and capital budgets. Review of Economics and Statistics, 1965, (47): 13-37
[51] J Mossin. Equilibrium in a capital asset market. Econometrica, 1966, 34(4): 768-783
[52] Fama E F, French K R. Common risk factors in the returns on bonds and stocks. Journal of Financial Economics, 1993, (33): 3-56
[53]张维迎.博弈论与信息经济学.上海:上海三联书店,上海人民出版社, 1996: 235-265
[54] Fama E. Agency problems and the theory of the firm. Journal of Political Economy, 1980, 88(2): 288– 307
[55] Holmstrom B. Managerial incentive problem--a dynamic perspective. Economics and Management in Honor of Lars Wahlbeck, 1982
[56] Kreps David M, Wilson Robert. Sequential equilibria. Econometrica, 1982, 50(4): 863 -895
[57] Kreps David M, Milgrom Paul, Roberts John, Wilson Robert. Rational cooperation in the finitely repeated Prisoners’dilemma. Journal of Economic Theory, 1982, 27(2): 245-253
[58] Milgrom Paul, Roberts John. Limit pricing and entry under incomplete information: an equilibrium analysis. Econometrica, 1982, 50 (2): 443-461
[59] Stephen P Robbins, Mary Coulter.孙健敏等译.管理学(第七版).北京:中国人民大学出版社, 2003, 450-478
[60]侯光明.管理激励与约束.北京:北京理工大学出版社, 1999
[61] A H Maslow. Motivation and personality. New York: Harper and Row, 1954: 35-40
[62]宋逢明.金融经济学基础.清华大学出版社, 2003, 10: 1-23
[63]王江.金融经济学.北京:中国人民大学出版社, 2005, 11: 99-110
[64] Stiglitz J, Weiss A. Rationing in markets with imperfect information. Journey of Economicst Theory, 1981, 71(2): 393-410
[65] Wilson R. The Structure of incentives for decentralization under uncertainty La Decision, 1969, 171
[66] Holmstrom B, P Milgrom. Aggregation and linearity in the provision of intertemporal incentives. Econometrica, 1987, 55: 303-328
[67]何军耀.基于证券投资基金业绩的基金管理人行为评价研究: [重庆大学博士学位论文].重庆:重庆大学技术经济及管理, 2007: 1-141
[68]李曜.证券投资基金学.北京:清华大学出版社, 2008, 390-422
[2] Sharp W F. Mutual fund performance. The Journal of Business, 1966, 39(1): 119-138
[3] Jensen M C. The performance of mutual funds in the period 1945-1964. The Journal of Finance, 1967, 23(2): 389-416
[4] Treynor J, Black F. How to use security analysis to improve selection. Journal of Business, 1973, (46): 66-86
[5] Franco M, Modigliani L. Risk-Adjusted Performance. Journal of Portfolio Management, 1997, 23 (2): 45-54
[6] Treynor J, Mazuy K. Can mutual funds outguess the market?. Harvard Business Review, 1966, (44): 13l-136
[7]刘湘豫,刘红亮.我国开放式基金绩效归属分析的实证研究.财经理论与实践(双月刊), 2005, 26(4): 58-61
[8]毕正华.投资者导向的基金业绩评价指标体系.统计与决策, 2006, (12): 59-62
[9]吴冲锋,倪苏云,翁轶丛.证券投资基金业绩评价研究述评.系统工程理论与实践, 2002, (10): 128-133
[10] Gruber Martin J. Another puzzle: the growth in actively managed mutual funds. Journal of Finance, 1996, 51: 783-810
[11] Berk J, Green R C. Mutual fund flows and performance in rational markets. U C Berkeley Working Paper, 2002
[12] Perold Andre, Salomon Robert S. The right amount of assets under management. Financial Analysts Journal, 1991, 47(3): 31–39
[13] Lowenstein Roger.“Frightened Funds: Is there a master in the house?”Wall Street Journal., 1997, 20(11)
[14] Joseph Goleca, Laura Starks. Performance fee contract change and mutual fund risk. Journal of Financial Economics, 2004, (73): 93–118
[15] Alexander Kempf, StefanRuenzi, TanjaThiele. Employment risk, compensation incentives, and managerial risk taking: Evidence from the mutual fund industry. Journal of Financial Economics, 2009, 92(1): 92–108
[16]王明好,陈忠,蔡晓钰.费率结构对证券投资基金风险承担行为的影响研究.系统工程理论与实践, 2004, (10): 117-121
[17]王明好等.相对业绩对投资基金风险承担行为的影响研究.中国管理科学, 2004, 12(5): 1-5
[18] Michael K Berkowitza, Yehuda Kotowitzb. Managerial quality and the structure of management expenses in the US mutual fund industry. International Review of Economics and Finance, 2002, (11): 315-330
[19] Ravi Shukla. The value of active portfolio management. Journal of Economics and Business, 2004, (56): 331-346
[20]曾德明,刘颖,龚红.管理费激励与基金绩效:对中国基金的实证研究.湖南大学学报(社会科学版), 2005, 19(2): 35-38
[21]曾德明,周再望,刘颖.证券投资基金费用对基金绩效的影响研究.科技管理研究, 2005, (10): 179-181
[22]陈三梅.证券投资基金管理费用的实证分析.商业研究, 2006, (6): 163-165
[23] Chevalier J, Ellison G. Risk taking by mutual funds as a response to incentives. The Journal of Political Economy, 1997, (105): 1167-1199
[24] Sirri E R, Tufano P. Costly search and mutual fund flows. Journal of Finance, 1998, (53): 1589-1622
[25] Odean T. Are investors reluctant to realize their losses?. Journal of Finance, 1998, (53): 1775-1798
[26]束景虹.开放式基金赎回现象的实证研究.数量经济技术经济研究, 2005, (4): 117-126
[27]陆蓉等.基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究.经济研究, 2007, (6) : 39-50
[28]曹兴,彭耿.中国基金管理费激励的有效性.系统工程, 2009, (1): 50-56
[29] SI Cohen, LT Starks. Estimation risk and incentive contracts for portfolio managers. Management Science, 1988, 34(9): 1067-1079
[30]韩德宗,宋红雨.证券投资基金激励约束机制的实证研究.数量经济技术经济研究, 2002, (4): 110-113
[31]郑娟.我国基金管理人的报酬机制设计问题.现代管理科学, 2002, (12): 52-53
[32]武凯.基金管理费制度安排的激励效应与优化选择.证券市场导报, 2005, (8): 33-37
[33] Jurgen Eichberger, Simon Grant, Stephen King. On relative performance contracts and fund manager's incentives. European Economic Review, 1999,43(1): 135-161
[34] Wermers, Russ. Mutual fund performance: An empirical decomposition into stock-picking talent, style, transactions costs and expense. Journal of Finance, 2000, 55: 1655-1703
[35]孙静,高建伟.相对业绩报酬契约及其对基金经理投资决策的影响.管理工程学报, 2006, (4): 67-72
[36] Mark Grinblatt, Sheridan Titman. Adverse risk incentives and the design of performance-based contracts. Management Science, 1989, 35(7): 807-822
[37] Hui Ou-Yang. Optimal contracts in a continuous-time delegated portfolio management problem. The Review of Financial Studies, 2003,16(1): 173-208
[38]倪苏云,肖辉,吴冲锋.证券投资基金的管理费率设计研究.系统工程与理论实践, 2004, (1): 25-29
[39] Judith Chevalier, Glenn Ellision. Career concerns of mutual fund managers. The Quarterly Journal of Economics, 1999, 114(2): 389-432
[40] Wermers R Mutual fund herding and the impact on stock prices. The Journal of Finance, 1999, 54(2): 581-622
[41] Nofsinger J R, Sias RW. Herding and feedback trading by institutional and individual investors. The Journal of Finance, 1999, 54(6): 2263-2295
[42]吴福龙,曾勇,唐小我.中国证券投资基金的羊群行为分析.管理工程学报, 2004, 18(3): 115-117
[43] Zweig Jason, Watch out for the year-end fund flimflam. Money Magazine, 1997, (11): 130-133
[44] Carhart M M, Kaniel R, Musto D K, Reed A V. Leaning for the tape: evidence of gaming behavior in equity mutual funds. Journal of finance, 2002, 57(2): 661-693
[45]赵秀娟,吴启芳,汪寿阳.开放式基金净值增长率被拉升了吗?——中国证券市场日历效应检验.中国管理科学, 2006 , (4): 13-18
[46]伏爱国.基金行为与基金业绩的日历效应.经济理论与经济管理, 2008, (5): 39-45
[47]邹戈.开放式股票型基金饰窗效应的实证研究.科学技术与工程, 2009, 9(2): 525-527
[48] H M Markowitz. Portfolio selection. The Journal of Finance, 1952, 7(1): 77-91
[49] W F Sharpe. Capital asset prices: A theory of market equilibrium under conditions of risk. Journal of Finance, 1965, (19): 425-422
[50] J Lintner. The valuation of risk assets and the selection of risky investments instock portfolios and capital budgets. Review of Economics and Statistics, 1965, (47): 13-37
[51] J Mossin. Equilibrium in a capital asset market. Econometrica, 1966, 34(4): 768-783
[52] Fama E F, French K R. Common risk factors in the returns on bonds and stocks. Journal of Financial Economics, 1993, (33): 3-56
[53]张维迎.博弈论与信息经济学.上海:上海三联书店,上海人民出版社, 1996: 235-265
[54] Fama E. Agency problems and the theory of the firm. Journal of Political Economy, 1980, 88(2): 288– 307
[55] Holmstrom B. Managerial incentive problem--a dynamic perspective. Economics and Management in Honor of Lars Wahlbeck, 1982
[56] Kreps David M, Wilson Robert. Sequential equilibria. Econometrica, 1982, 50(4): 863 -895
[57] Kreps David M, Milgrom Paul, Roberts John, Wilson Robert. Rational cooperation in the finitely repeated Prisoners’dilemma. Journal of Economic Theory, 1982, 27(2): 245-253
[58] Milgrom Paul, Roberts John. Limit pricing and entry under incomplete information: an equilibrium analysis. Econometrica, 1982, 50 (2): 443-461
[59] Stephen P Robbins, Mary Coulter.孙健敏等译.管理学(第七版).北京:中国人民大学出版社, 2003, 450-478
[60]侯光明.管理激励与约束.北京:北京理工大学出版社, 1999
[61] A H Maslow. Motivation and personality. New York: Harper and Row, 1954: 35-40
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