证券投资基金经理激励机制研究
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摘要
本文运用委托代理理论、投资组合理论、委托投资组合理论等相关理论,从理论与实证的角度系统地研究几种典型的激励机制对基金经理行为的影响及其作用。
考虑到基金经理的努力以及风险选择能力,从信息经济学的角度,研究了基金经理影响投资组合收益的机理,主要是给出了这种影响的信息结构解释,并解释了经理人的投资行为。
在考虑经理人可以有成本地影响组合收益以及无成本地选择风险的情况下,采用Holmstrom与Milgrom(1987)的分析框架,讨论了经理人的最优激励契约的设计问题,并与一般委托代理问题的结论做了比较。另外,讨论了基准组合写入合同的作用,发现把基准组合写进合同可以起到激励的作用并增加投资者对基金经理的了解。
研究了对称费用结构与激励费用结构对经理人风险选择的影响。首先动态分析了激励费用结构对经理人风险选择的影响,分析结果表明激励费用必然会导致经理人过度的风险投资行为。然后在考虑经理人是风险规避的情况下,研究两种费用结构对经理人风险选择的影响。在对称费用结构下,经理人投资组合风险的选择,受到自身的偏好、投资者的偏好以及市场状况的约束。最后,对两种费用结构下经理人的风险承担水平进行了比较分析,结果表明,在激励费用结构安排下,即使考虑经理人的风险规避度,经理人所选择的最优风险水平也一定会高于对称费用下经理人所选择的最优风险水平。
通过总结基金流业绩研究文献的结论,建立了一个全面的回归模型,首先对中国基金市场存在的“赎回异象”进行了实证,然后,对中国基金市场中的流业绩关系的特征进行了实证。两个实证研究均发现在目前的市场状况下,基金流量与基金业绩之间存在弱的正向的联系,表明“赎回异象”现象正在中国基金市场中弱化。但对中国基金市场中的流业绩关系的特征的实证研究发现投资者对业绩排名不敏感,中国基金流业绩关系没有明显的特征。总的说来,目前管理费激励制度在中国基金市场中的效果不明显,而且,实证结果表明投资者偏好风险大的、且成立时间短的基金,这些结论对于资本市场来说是不好的现象。
从理论上研究了相对业绩目标对经理人风险选择的影响,研究表明,基金经理人会根据排名情况调整投资组合的风险,但调整方向是不明确的,因此BHS结论有可能足不正确的。然后,应用BHS方法进行实证,结果表明BHS结论在中国基金市场中是不成立的。接着采用线性回归的方法,得到了同样的结论,另外,采取相对业绩差距来衡量排名,却表明在中国基金市场中基金经理具有相对业绩排名目标,研究结果实际上从另一个角度支持了BHS结论。
最后,根据理论与实证分析的结论,提出可以利用持基激励机制来对中国基金经理激励机制进行创新并从三个方面来保障基金经理激励机制的实行。
This paper utilizes principal-agent theory, portfolio theory, delegated portfolio theory and so on to systematically study the influence on the action of fund manager and the function of some typical incentive mechanism from theory and experience.
The paper considers the choice of effort and risk of manager and studies the principle of influencing the return of portfolio by manager. The paper puts forward an information structure explanation and solves the optimal choice of effort and risk level of manager simultaneously.
Under the conditions of the ability of manager in influencing return of portfolio costly and choosing risk cost-free, the paper adopts the framework of Holmstrom and Milgrom(1987) to discuss the design of contract of manager and compare with the conclusion of general principal-agent problem. Additionally, the paper discusses the function of benchmark writing into contract and finds that this way can play a role of incentive and enhance the understanding of investor to manager.
The paper studies the influence of symmetrical and incentive fee structure on the risk taking of manager. The influence of incentive fee structure on the risk taking of manager is analyzed dynamically and the conclusion indicates that it induces the excessive risk choice by manager by all means. Then, if the manager is risk averse, the paper studies the role of the two fee structures. Under the case of symmetrical fee structure, the risk taking of manager is restricted by the preference of manager and investor and market condition. Under the case of incentive fee structure, the manager becomes conservative with the increasing of the asymmetrical level of fee because of the risk aversion of manager. Finally, even consider the risk aversion of manager, the risk taking of manager under the case incentive fee structure is more than under the case of symmetrical fee structure.
Based on the conclusions of the literatures about fund flow performance relation, the paper constructs a comprehensive regressive model. Firstly, the paper investigates empirically the "redemption dilemma" and the characteristic of flow performance relation in Chinese fund market. This two researches indicate that the relationship of flow and performance of fund is positive weakly and the "redemption dilemma" is weaker at present in Chinese fund market. But the study on the characteristic of flow performance relation finds that the investor isn't sensitive to performance ranking and the relationship isn't evident. What's more, the conclusions indicate the investor prefers the fund possessing bigger risk and younger fund, which are disadvantageous to capital market.
The paper studies the risk taking incentive induced by ranking objective on theory, which indicates that the manager adjusts the risk of portfolio based on the ranking, but the direction of adjustment is uncertainty. Therefore, the conclusion of BHS may be false. Then, the paper investigates empirically the BHS conclusion through the BHS method and finds it doesn't come into existence in Chinese fund market. The paper acquires the same conclusion through a linear regression method. When the paper utilizes the relative performance difference to measure the ranking, it finds that the fund manager has the ranking objective, which holds the BHS conclusion from another view.
Finally, according to the conclusions of theoretical and empirical analysis, the paper puts forward that we can utilize holding-fund incentive mechanism to innovate the incentive mechanism of fund manager and we can protect the practice of the incentive mechanism of fund manager from three aspects.
考虑到基金经理的努力以及风险选择能力,从信息经济学的角度,研究了基金经理影响投资组合收益的机理,主要是给出了这种影响的信息结构解释,并解释了经理人的投资行为。
在考虑经理人可以有成本地影响组合收益以及无成本地选择风险的情况下,采用Holmstrom与Milgrom(1987)的分析框架,讨论了经理人的最优激励契约的设计问题,并与一般委托代理问题的结论做了比较。另外,讨论了基准组合写入合同的作用,发现把基准组合写进合同可以起到激励的作用并增加投资者对基金经理的了解。
研究了对称费用结构与激励费用结构对经理人风险选择的影响。首先动态分析了激励费用结构对经理人风险选择的影响,分析结果表明激励费用必然会导致经理人过度的风险投资行为。然后在考虑经理人是风险规避的情况下,研究两种费用结构对经理人风险选择的影响。在对称费用结构下,经理人投资组合风险的选择,受到自身的偏好、投资者的偏好以及市场状况的约束。最后,对两种费用结构下经理人的风险承担水平进行了比较分析,结果表明,在激励费用结构安排下,即使考虑经理人的风险规避度,经理人所选择的最优风险水平也一定会高于对称费用下经理人所选择的最优风险水平。
通过总结基金流业绩研究文献的结论,建立了一个全面的回归模型,首先对中国基金市场存在的“赎回异象”进行了实证,然后,对中国基金市场中的流业绩关系的特征进行了实证。两个实证研究均发现在目前的市场状况下,基金流量与基金业绩之间存在弱的正向的联系,表明“赎回异象”现象正在中国基金市场中弱化。但对中国基金市场中的流业绩关系的特征的实证研究发现投资者对业绩排名不敏感,中国基金流业绩关系没有明显的特征。总的说来,目前管理费激励制度在中国基金市场中的效果不明显,而且,实证结果表明投资者偏好风险大的、且成立时间短的基金,这些结论对于资本市场来说是不好的现象。
从理论上研究了相对业绩目标对经理人风险选择的影响,研究表明,基金经理人会根据排名情况调整投资组合的风险,但调整方向是不明确的,因此BHS结论有可能足不正确的。然后,应用BHS方法进行实证,结果表明BHS结论在中国基金市场中是不成立的。接着采用线性回归的方法,得到了同样的结论,另外,采取相对业绩差距来衡量排名,却表明在中国基金市场中基金经理具有相对业绩排名目标,研究结果实际上从另一个角度支持了BHS结论。
最后,根据理论与实证分析的结论,提出可以利用持基激励机制来对中国基金经理激励机制进行创新并从三个方面来保障基金经理激励机制的实行。
This paper utilizes principal-agent theory, portfolio theory, delegated portfolio theory and so on to systematically study the influence on the action of fund manager and the function of some typical incentive mechanism from theory and experience.
The paper considers the choice of effort and risk of manager and studies the principle of influencing the return of portfolio by manager. The paper puts forward an information structure explanation and solves the optimal choice of effort and risk level of manager simultaneously.
Under the conditions of the ability of manager in influencing return of portfolio costly and choosing risk cost-free, the paper adopts the framework of Holmstrom and Milgrom(1987) to discuss the design of contract of manager and compare with the conclusion of general principal-agent problem. Additionally, the paper discusses the function of benchmark writing into contract and finds that this way can play a role of incentive and enhance the understanding of investor to manager.
The paper studies the influence of symmetrical and incentive fee structure on the risk taking of manager. The influence of incentive fee structure on the risk taking of manager is analyzed dynamically and the conclusion indicates that it induces the excessive risk choice by manager by all means. Then, if the manager is risk averse, the paper studies the role of the two fee structures. Under the case of symmetrical fee structure, the risk taking of manager is restricted by the preference of manager and investor and market condition. Under the case of incentive fee structure, the manager becomes conservative with the increasing of the asymmetrical level of fee because of the risk aversion of manager. Finally, even consider the risk aversion of manager, the risk taking of manager under the case incentive fee structure is more than under the case of symmetrical fee structure.
Based on the conclusions of the literatures about fund flow performance relation, the paper constructs a comprehensive regressive model. Firstly, the paper investigates empirically the "redemption dilemma" and the characteristic of flow performance relation in Chinese fund market. This two researches indicate that the relationship of flow and performance of fund is positive weakly and the "redemption dilemma" is weaker at present in Chinese fund market. But the study on the characteristic of flow performance relation finds that the investor isn't sensitive to performance ranking and the relationship isn't evident. What's more, the conclusions indicate the investor prefers the fund possessing bigger risk and younger fund, which are disadvantageous to capital market.
The paper studies the risk taking incentive induced by ranking objective on theory, which indicates that the manager adjusts the risk of portfolio based on the ranking, but the direction of adjustment is uncertainty. Therefore, the conclusion of BHS may be false. Then, the paper investigates empirically the BHS conclusion through the BHS method and finds it doesn't come into existence in Chinese fund market. The paper acquires the same conclusion through a linear regression method. When the paper utilizes the relative performance difference to measure the ranking, it finds that the fund manager has the ranking objective, which holds the BHS conclusion from another view.
Finally, according to the conclusions of theoretical and empirical analysis, the paper puts forward that we can utilize holding-fund incentive mechanism to innovate the incentive mechanism of fund manager and we can protect the practice of the incentive mechanism of fund manager from three aspects.
引文
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