开放式基金费用问题研究
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摘要
随着开放式基金在全球范围内的迅速发展,国内外学术界的相关研究也日益丰富,已有研究主要集中在开放式基金投资组合、绩效评估、基金公司治理结构等领域,但对基金费用方面的关注较少。基金费用问题的研究具有重要的理论和现实意义：首先,对于投资者来说,基金费用会对其最终收益产生影响；其次,对于基金管理公司来说,基金费用是其产品设计的核心,关系到基金公司的收益,和如何在吸引投资者并给投资者带来最大收益的同时实现自身利益的最大化,这是基金公司面临的重大战略问题；最后,对于监管者来说,针对基金费用安排的监管,实现基金管理公司和投资者双方利益的共赢,关系到基金市场的长远健康发展,对于证券市场的稳定以及金融环境的改善等意义重大。
本文内容在逻辑安排上遵循“理论和现状回顾-统计描述与理论实证分析-逻辑对策建议”流程。首先,对研究问题的相关理论进行回顾分析,总结成熟市场开放式基金费用现状和研究成果,作为文章分析的理论和现实基础；其次,从中国基金市场出发研究开放式基金费用对绩效和投资者行为的影响,并探讨基金费用形成机制,为后文的实证分析提供理论指导；再次,从中观和微观角度,即基金市场、基金公司和投资者的角度分析影响中国开放式基金费用的因素,然后将中国置于全球基金业的背景下,从更宏观的国家特征角度,分析影响全球开放式基金费用的系统性因素；最后,回归到本文的研究目的,期冀对构建合理的中国开放式基金费用体系给出相应的对策建议。本文分三部分,具体安排如下：
第一部分(第一章)。本部分是导论,介绍研究的背景及意义,重要概念的界定。本部分重点说明了研究开放式基金费用的背景及研究目的,同时围绕本文的研究对象进行相关概念的阐述和界定,这是本文研究的基础。
第二部分(第二、三、四章),本部分是论文的主体。第二章首先阐述并分析了文章研究的理论和现实基础,包括委托代理和利益相关者理论,已有的研究成果和成熟市场开放式基金费用现状。在此基础上,立足于中国,重点研究了开放式基金费用对基金绩效和投资者行为的影响,同时对开放式基金费用的形成机制进行了理论分析；第三章在第二章提出的理论和费用形成机制基础上,从中观和微观的角度,即基金市场、投资者和基金公司治理层面,分析了影响中国开放式基金费用的因素,并进行了实证分析；第四章在前一章研究的基础上,把研究范围从中国扩展到了全球开放式基金市场,在比较了不同国家开放式基金费用后,发现中微观角度可以解释单个国家费用,但对于全球开放式基金市场,就要从更宏观的角度分析,于是本章在借鉴已有研究的基础上,尝试从国家特征层面思考问题,在搜集了全球开放式基金主要国家和地区的相关数据后,建立计量模型,通过实证分析研究了国家特征对开放式基金费用的影响。
第三部分(第五章)是研究的归宿。回归到中国,把前面的研究分析转化为构建中国的开放式基金费用体系上,同时借鉴成熟市场经验,提出了适合我国国情的对策建议。
本文的主要创新在于：首先,从基金公司、基金市场和国家特征这些中、微观和宏观角度对开放式基金费用进行分析,在此基础上思考构建中国开放式基金费用体系,已有的研究多是分别谈论这两个问题,而本文将二者结合起来,进一步丰富了相关的研究成果。其次,本文实证研究了全球开放式基金费用的影响因素,已有的研究较少涉及国家之间开放式基金费用的比较,有的也只是局限在两三个发达国家之间,本文丰富了这方面的研究成果。
尽管如此,本文还存在需要进一步研究的地方：一是在分析全球开放式基金费用的时候,限于数据搜集的难度,研究样本为截面数据,而国家特征和开放式基金费用情况是一个存在变化与演进的过程,因此日后如能搜集到更充分的时序数据,应采用面板回归对此问题进行进一步的分析。二是在对中国开放式基金费用和绩效、投资者行为之间关系进行研究的时候,限于国内基金业起步较晚,研究的样本区间不充分,本文选取了开放式基金2006-2008年之间的数据,虽然包含了较为完整的市场周期,但如果时序列能够再延长,将得到更好的统计推断结果。
Along with the open-end fund rapidly expand the domestic and foreign academic research is also rich. The research mainly concentrates in the open-end fund investment portfolios, the achievements appraisal, and fund management structure. Few are paying attention to the fund expense. The fund expense research has the important theory and the practical significance:First, regarding the investor, the fund expense will have the influence to its final income; Next, regarding the fund management company, the fund expense is its product design core, relates the fund company's income, and how to attract the investor and realize its own benefit maximization, this is the significant strategic question which the fund company faces; Finally, regarding the major-domo, in view of the fund expense arrangement supervision, how to realizes the fund management company and the investor both sides benefit, which relates the fund market long-term healthy development, regarding the stock market stable as well as financial environment's significances.
This article content follows "the theory and the present situation review-statistics description and the theory empirical analysis-logic countermeasure in the logical arrangement suggests" analysis flow. First, the article introduce the correlation theories to carry on the review analysis, and summarizes the mature market open-end fund expense present situation; Second, the article studies the open-end fund expense's influence to the achievements and the investor behavior, then discusses the fund expense mechanism; Third, analysis the factor affects Chinese open-end fund expense; finally, returns to this article research goal, we hope for to construct the reasonable Chinese open-end fund expense system and give the corresponding countermeasure suggestion. This article is divided into three parts and the concrete arrangement is as follows:
The first part (first chapter) contains the introductory remarks, the introduction research background and the significance, important concept limits. This part studies the open-end fund expense and the research goal, this is the foundation which this article studies.
The second part (second, third, fourth chapters), this part is the paper main body. The second chapter first elaborated and analyzed the article's research theory and the realistic foundation, existing research results and mature market open-end fund expense present situation; the third chapter analysis the factor affects the Chinese open-end fund expense, and carried on the empirical analysis; the fourth chapter expanded the range of study from China to the global open-end fund market.
The third part (the fifth chapter) transforms the front research analysis to construct China's open-end fund expense system, simultaneously learn from the mature market experience, proposed the countermeasure suggestion which suits our country national condition.
This article main innovation lies in:First, analysis from the fund Company, the fund market and national characteristic angle. The article carries on the analysis to the open-end fund expense, and constructs the Chinese open-end fund expense system. The existing studies many discusses these two questions separately, but this article unifies the two question, which enriched the related research results. Next, this article empirical study whole world open-end fund expense's influencing factor, and found that the existing research has little comparison between the country open-end fund expenses. This article has enriched this aspect research results.
For all of this, this article also needs further study:First, limited to data gathering's difficulty, when analyzing the global open-end fund expense, the research sample is cross-section data. Therefore if we can collect enough data in the future, we can carry on the further analysis to this question. Second, when studying the Chinese open-end fund expense and the achievements, this article has selected the open-end fund 2006-2008 year data, if we can collect enough data in the future, we will obtain the better statistical inference result.
本文内容在逻辑安排上遵循“理论和现状回顾-统计描述与理论实证分析-逻辑对策建议”流程。首先,对研究问题的相关理论进行回顾分析,总结成熟市场开放式基金费用现状和研究成果,作为文章分析的理论和现实基础；其次,从中国基金市场出发研究开放式基金费用对绩效和投资者行为的影响,并探讨基金费用形成机制,为后文的实证分析提供理论指导；再次,从中观和微观角度,即基金市场、基金公司和投资者的角度分析影响中国开放式基金费用的因素,然后将中国置于全球基金业的背景下,从更宏观的国家特征角度,分析影响全球开放式基金费用的系统性因素；最后,回归到本文的研究目的,期冀对构建合理的中国开放式基金费用体系给出相应的对策建议。本文分三部分,具体安排如下：
第一部分(第一章)。本部分是导论,介绍研究的背景及意义,重要概念的界定。本部分重点说明了研究开放式基金费用的背景及研究目的,同时围绕本文的研究对象进行相关概念的阐述和界定,这是本文研究的基础。
第二部分(第二、三、四章),本部分是论文的主体。第二章首先阐述并分析了文章研究的理论和现实基础,包括委托代理和利益相关者理论,已有的研究成果和成熟市场开放式基金费用现状。在此基础上,立足于中国,重点研究了开放式基金费用对基金绩效和投资者行为的影响,同时对开放式基金费用的形成机制进行了理论分析；第三章在第二章提出的理论和费用形成机制基础上,从中观和微观的角度,即基金市场、投资者和基金公司治理层面,分析了影响中国开放式基金费用的因素,并进行了实证分析；第四章在前一章研究的基础上,把研究范围从中国扩展到了全球开放式基金市场,在比较了不同国家开放式基金费用后,发现中微观角度可以解释单个国家费用,但对于全球开放式基金市场,就要从更宏观的角度分析,于是本章在借鉴已有研究的基础上,尝试从国家特征层面思考问题,在搜集了全球开放式基金主要国家和地区的相关数据后,建立计量模型,通过实证分析研究了国家特征对开放式基金费用的影响。
第三部分(第五章)是研究的归宿。回归到中国,把前面的研究分析转化为构建中国的开放式基金费用体系上,同时借鉴成熟市场经验,提出了适合我国国情的对策建议。
本文的主要创新在于：首先,从基金公司、基金市场和国家特征这些中、微观和宏观角度对开放式基金费用进行分析,在此基础上思考构建中国开放式基金费用体系,已有的研究多是分别谈论这两个问题,而本文将二者结合起来,进一步丰富了相关的研究成果。其次,本文实证研究了全球开放式基金费用的影响因素,已有的研究较少涉及国家之间开放式基金费用的比较,有的也只是局限在两三个发达国家之间,本文丰富了这方面的研究成果。
尽管如此,本文还存在需要进一步研究的地方：一是在分析全球开放式基金费用的时候,限于数据搜集的难度,研究样本为截面数据,而国家特征和开放式基金费用情况是一个存在变化与演进的过程,因此日后如能搜集到更充分的时序数据,应采用面板回归对此问题进行进一步的分析。二是在对中国开放式基金费用和绩效、投资者行为之间关系进行研究的时候,限于国内基金业起步较晚,研究的样本区间不充分,本文选取了开放式基金2006-2008年之间的数据,虽然包含了较为完整的市场周期,但如果时序列能够再延长,将得到更好的统计推断结果。
Along with the open-end fund rapidly expand the domestic and foreign academic research is also rich. The research mainly concentrates in the open-end fund investment portfolios, the achievements appraisal, and fund management structure. Few are paying attention to the fund expense. The fund expense research has the important theory and the practical significance:First, regarding the investor, the fund expense will have the influence to its final income; Next, regarding the fund management company, the fund expense is its product design core, relates the fund company's income, and how to attract the investor and realize its own benefit maximization, this is the significant strategic question which the fund company faces; Finally, regarding the major-domo, in view of the fund expense arrangement supervision, how to realizes the fund management company and the investor both sides benefit, which relates the fund market long-term healthy development, regarding the stock market stable as well as financial environment's significances.
This article content follows "the theory and the present situation review-statistics description and the theory empirical analysis-logic countermeasure in the logical arrangement suggests" analysis flow. First, the article introduce the correlation theories to carry on the review analysis, and summarizes the mature market open-end fund expense present situation; Second, the article studies the open-end fund expense's influence to the achievements and the investor behavior, then discusses the fund expense mechanism; Third, analysis the factor affects Chinese open-end fund expense; finally, returns to this article research goal, we hope for to construct the reasonable Chinese open-end fund expense system and give the corresponding countermeasure suggestion. This article is divided into three parts and the concrete arrangement is as follows:
The first part (first chapter) contains the introductory remarks, the introduction research background and the significance, important concept limits. This part studies the open-end fund expense and the research goal, this is the foundation which this article studies.
The second part (second, third, fourth chapters), this part is the paper main body. The second chapter first elaborated and analyzed the article's research theory and the realistic foundation, existing research results and mature market open-end fund expense present situation; the third chapter analysis the factor affects the Chinese open-end fund expense, and carried on the empirical analysis; the fourth chapter expanded the range of study from China to the global open-end fund market.
The third part (the fifth chapter) transforms the front research analysis to construct China's open-end fund expense system, simultaneously learn from the mature market experience, proposed the countermeasure suggestion which suits our country national condition.
This article main innovation lies in:First, analysis from the fund Company, the fund market and national characteristic angle. The article carries on the analysis to the open-end fund expense, and constructs the Chinese open-end fund expense system. The existing studies many discusses these two questions separately, but this article unifies the two question, which enriched the related research results. Next, this article empirical study whole world open-end fund expense's influencing factor, and found that the existing research has little comparison between the country open-end fund expenses. This article has enriched this aspect research results.
For all of this, this article also needs further study:First, limited to data gathering's difficulty, when analyzing the global open-end fund expense, the research sample is cross-section data. Therefore if we can collect enough data in the future, we can carry on the further analysis to this question. Second, when studying the Chinese open-end fund expense and the achievements, this article has selected the open-end fund 2006-2008 year data, if we can collect enough data in the future, we will obtain the better statistical inference result.
引文
1参见《证券投资基金》,经济科学出版社,2009年6月,p1-2。
2参见Investment Company Institute, "A review of trends and activity in the investment company industry",2009 investment company fact book,49th edition.
3 Robert C.Pozen, "The mutual fund business", The MIT press,1998.
4 John C. Bogle, "Bogle on mutual funds", Irwin,1993,1st edition.
6 GAO Reports, "Mutual fund fees additional disclosure could encourage price competition",2000/6/7.
7 U.S. securities and exchange commission, "Division of Investment Management:Report on Mutual Fund Fees and Expenses",2000/12
8美国Wyatt Company1990年对1974年发行的开放式基金在随后15年内的赎回情况所作的随机抽样分析发现,15年的前5年中投资者已经将大部分基金赎回。
9 ICI, "2009 Investment Company Fact book:a review of trends and activity in the investment company industry", 49th edition.
10其它方式包括529计划、待转账户、综合账户中非养老金部分、其它经纪人账户及委托银行管理的账户。
11机构投资者包括商业企业、金融机构、非盈利性组织、国家和地方政府、持有别的基金份额的基金等。
13王霞(2005)通过比较分析中国与美国、德国、台湾、香港等国家或地区开放式基金费率水平得出。
14 Khorana, Servaes, Tufano,"Explaining the size of the mutual fund industry around the world", Journal of Financial Economics,2005.关于样本国基金费率水平部分。
15附录1的数据则是作者根据文章定义的变量计算方法,以wind资讯数据库为基础计算得出。
16 Trends in the Ownership Cost of Equity Mutual Funds (Perspective V4N3, November1998).
17把基金视为实现自身利润最大化的公司并非本文首创,Chordia(1996)在"The structure of mutual fund charges". Journal of financial economics,41, p3-39中已有论述。
18 Malhotra & Mcleod,"An empirical analysis of mutual fund expenses",Journal of financial research,1997(20), p175
19 Baumol,"The economic of mutual fund markets:competition versus regulation",Norwell,Mass.:Kluwer academic,1990.
20这里采用Thomson的Wiesenberger Inc分类法,把基金按照投资类型分为39类。
21 Hendricks et al.(1993)和Wermers(1996)把基金业绩的持续性归结为管理者中的“热手”或者共同的投资策略。Grinblatt & Titman(1992),Elton et al(1993,1996)把基金业绩归结为管理者的管理能力。
22当然,也可以包括其它相关变量,如αi-αiI,σuj-σujI,但是把这些结构变量加进去并不会明显影响我们研究的变量的计量意义,所以考虑到模型的简洁,就略去这些变量。
23把基金视为实现自身利润最大化的公司并非本文首创,Chordia(1996)在"The structure of mutual fund charges". Journal of financial economics,41, p3-39中已有论述。
24这就是所谓的伯特兰悖论,参见Tirole, "The theory of industrial organization",1988, Cambridge, Mass.:MIT Press.
25在这篇文献中,市场地位指基金的销售渠道市场占比是否排名前25。
26“工行建行稳居基金销售渠道霸主地位”,证券时报,2010/1/25。
27机构投资者包括：券商、基金、社保基金、QFII、境外机构。
28根据Wind数据库对基金投资目标的分类法。
29已有的研究如Gil-Bazo & Ruiz-Verdu(2008)通过理论分析得出类似的结论。
30中国证券监督管理委员会,“关于完善基金管理公司董事人选制度的通知”,2001/1/16。
31相关的诉讼见Sean Murphy, "Mutual Funds Under Scrutiny:An Overview of Recent Litigation",2005, Securities Litigation & Regulation Reporter 10(21). Andrew Caffrey, "Lawsuits Challenge Unequal Fund Fees; Fidelity, Putnam among Defendants," 2004, the Boston Globe.
32相关的研究见Franks & Schaefer, "The Direct and Compliance Cost of Financial Regulation'", Journal of Banking and Finance,1998,21, p47-72. Otten & Sehweitzer, "A Comparison between the European and U.S. Mutual Fund Industry". Managerial Finance,2002,28, No.l, p14-35. Ruckman, "Expense Ratios in North American Mutual Funds", Canadian Journal of Economics,2003,36. p192-223.
33定义来源于维基百科。
34如加拿大的隔离基金(seg-funds),其合约规定即使在基金净值下跌时也能保证投资者一定的收益,不会影响投资者既定的投资计划,类似于中国的保本型基金。
35对于某些在数据库中没有明确说明类型的基金,我们首先根据名字判断其归属,如果名字不含这些信息的话,再根据其公司网站关于基金的介绍来判断。
36理柏把运营费定义为基金维持正常运营每年需要发生的费用,包括股份登记注册费、托管费、咨询费和律师费,不仅是管理基金产生的费用。晨星认为运营费包括会计费、管理费、咨询费、审计费、董事费、股票交易费等,不包括佣金费已经投资者支付的一次性费用,如申购费和赎回费。
37美国Wyatt Company 1990年对1974年发行的开放式基金在随后的15年内的赎回情况作的随机抽样分析得到赎回比例分布,结果表明前5年投资者赎回的比例超过50%。
38表中报告的是平均加权的费用水平,资产加权的费用水平普遍要低,但统计回归效果不是很好。
39相对于平均加权,资产加权平均算法下,中国总的费用水平要比全球平均水平高的多,这可能与样本国基金规模远大于中国有关。
40相关的研究如Tufano & Sevick, "Board structure and fee-setting in the U.S. mutual fund industry", Journal of Financial Economics,1997, p321-355
41由于很多样本的最低认购额数据缺失,所以在本模型中就把这一项去掉了。
42这种情况的出现,可能是因为跨国销售的基金市场更大带来成本的下降,或者仅仅是基金为了打开新的市场所采用的商业策略。
43 Khorana & Servaes, "Explaining the size of the mutual fund industry around the world", Journal of Financial Economics,2005(78), p45-85
Fink, "Improving price competition for mutual funds and bonds",1998, www.ici.org/statements
45 IOSCO发布的报告"Performance Presentation Standards For Collective Investment Schemes",2004.
46这是Thompson&Choi为OECD做的报告"Governance systems for collective investment schemes",2001.
47来源于中国证监会网站http://www.csrc.gov.cn.
48 Djankow et al. (2005)指出,股票市场的发展程度不一样,因此市场对内幕交易等伤害普通投资者利益的行为的监管也不一样。
49来源于IOSCO对OECD国家的调查统计,但是调查报告没有给“明显参与”具体的定义。
50 Cetorelli & Gambera(2001)在"Banking market structure, financial dependence, and growth", Journal of finance (56), p617-648中做过相关研究。
51数据来源于世界银行研究报告。http://iresearch.worldbank.org.
53中国证监会,《关于完善基金管理公司董事人选制度的通知》,2001/1/16。
54《财经》杂志2000年10月号发表了《基金黑幕-关于基金行为的研究报告解析》一文。文章依据上海证券交易所监察部赵瑜纲的报告,跟踪了1999年8月9日至2000年4月28日期间,国内10家基金管理公司旗下的22只基金在上海证券市场上大宗股票交易的记录,分析了它们的操作行为之后,得出结论——基金存在大量违规、违法操作行为。这些“基金黑幕”包括：利用“对倒”操纵市场、利用投资组合公告进行信息误导、利用非理性操作如高位“接仓”对关联方进行利益输送等。这篇文章在证券市场上激起了轩然大波,引发了市场对基金管理公司的信任危机,随后监管部门对部分基金管理公司违规行为进行了查处。
55柳邵黔,“开放式基金赎回效应及对大市的影响分析”,全景网络研究文库,2005/4/27。
56 U.S. securities and exchange commission, "Division of Investment Management:Report on Mutual Fund Fees and Expenses",2000/12.
57 Cerulli Associates, "RIAs:The State of the Fee-based Financial Adviser Market," The Cerulli Report,1999.
58有些咨询机构是按小时收费。
59 ICI, "2001 Profile of Mutual Fund Shareholders", p68.
60部分基金超市也开始提供咨询作为附加服务,向投资者收取服务费。
61 ICl, "Mutual Fund Fact Book 1996",p27和 "Mutual Fund Fact Book 2000",p72.
62后来发展成为第三方中介公司,如美国的嘉信公司Charles Schwab,利用更为广泛的Internet网络来发展网上经纪业务,并一度成为美国第一的网络证券经纪公司。
631990年共同基金资产占GDP(58,032亿美元)的比例为18.36%,2000年该比例为67.31%(GDP为142,646亿美元)。
64新的养老金计划由“界定收益计划”向“界定供款计划”转换。该计划规定雇主每年提供一定金额的资金,由雇员自己决定该款项的使用,该雇员退休时可以领取的养老金额就取决于他自己选择的投资方式了。由于对雇主而言,该计划可以有效降低成本,减轻负担,并将养老金管理的责任转移到雇员身上。因而,越来越多的公司倾向于选择“界定供款计划”。
65这种倾向性体现在政府为共同基金投资制订的税收优惠政策中,投资者从共同基金帐户中取得的红利、利息及资本利得大都可以免税,只有在从基金帐户提款时才缴纳所得税。
66 ICI的统计表明：1990年通过直销渠道销售的新基金占23%的比例,到了1999年这一比例已经下降到了18%,与此同时,第三方中介渠道填补了这一份额。
67 SEC, "Report on the Public Policy Implications of Investment Company Growth", H.R.Rep.No.2337,89th,1966. Wharton School of Finance and Commerce, "A Study of Mutual Funds",H.R. Rep.No.2274,87th,1962.
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2参见Investment Company Institute, "A review of trends and activity in the investment company industry",2009 investment company fact book,49th edition.
3 Robert C.Pozen, "The mutual fund business", The MIT press,1998.
4 John C. Bogle, "Bogle on mutual funds", Irwin,1993,1st edition.
6 GAO Reports, "Mutual fund fees additional disclosure could encourage price competition",2000/6/7.
7 U.S. securities and exchange commission, "Division of Investment Management:Report on Mutual Fund Fees and Expenses",2000/12
8美国Wyatt Company1990年对1974年发行的开放式基金在随后15年内的赎回情况所作的随机抽样分析发现,15年的前5年中投资者已经将大部分基金赎回。
9 ICI, "2009 Investment Company Fact book:a review of trends and activity in the investment company industry", 49th edition.
10其它方式包括529计划、待转账户、综合账户中非养老金部分、其它经纪人账户及委托银行管理的账户。
11机构投资者包括商业企业、金融机构、非盈利性组织、国家和地方政府、持有别的基金份额的基金等。
13王霞(2005)通过比较分析中国与美国、德国、台湾、香港等国家或地区开放式基金费率水平得出。
14 Khorana, Servaes, Tufano,"Explaining the size of the mutual fund industry around the world", Journal of Financial Economics,2005.关于样本国基金费率水平部分。
15附录1的数据则是作者根据文章定义的变量计算方法,以wind资讯数据库为基础计算得出。
16 Trends in the Ownership Cost of Equity Mutual Funds (Perspective V4N3, November1998).
17把基金视为实现自身利润最大化的公司并非本文首创,Chordia(1996)在"The structure of mutual fund charges". Journal of financial economics,41, p3-39中已有论述。
18 Malhotra & Mcleod,"An empirical analysis of mutual fund expenses",Journal of financial research,1997(20), p175
19 Baumol,"The economic of mutual fund markets:competition versus regulation",Norwell,Mass.:Kluwer academic,1990.
20这里采用Thomson的Wiesenberger Inc分类法,把基金按照投资类型分为39类。
21 Hendricks et al.(1993)和Wermers(1996)把基金业绩的持续性归结为管理者中的“热手”或者共同的投资策略。Grinblatt & Titman(1992),Elton et al(1993,1996)把基金业绩归结为管理者的管理能力。
22当然,也可以包括其它相关变量,如αi-αiI,σuj-σujI,但是把这些结构变量加进去并不会明显影响我们研究的变量的计量意义,所以考虑到模型的简洁,就略去这些变量。
23把基金视为实现自身利润最大化的公司并非本文首创,Chordia(1996)在"The structure of mutual fund charges". Journal of financial economics,41, p3-39中已有论述。
24这就是所谓的伯特兰悖论,参见Tirole, "The theory of industrial organization",1988, Cambridge, Mass.:MIT Press.
25在这篇文献中,市场地位指基金的销售渠道市场占比是否排名前25。
26“工行建行稳居基金销售渠道霸主地位”,证券时报,2010/1/25。
27机构投资者包括：券商、基金、社保基金、QFII、境外机构。
28根据Wind数据库对基金投资目标的分类法。
29已有的研究如Gil-Bazo & Ruiz-Verdu(2008)通过理论分析得出类似的结论。
30中国证券监督管理委员会,“关于完善基金管理公司董事人选制度的通知”,2001/1/16。
31相关的诉讼见Sean Murphy, "Mutual Funds Under Scrutiny:An Overview of Recent Litigation",2005, Securities Litigation & Regulation Reporter 10(21). Andrew Caffrey, "Lawsuits Challenge Unequal Fund Fees; Fidelity, Putnam among Defendants," 2004, the Boston Globe.
32相关的研究见Franks & Schaefer, "The Direct and Compliance Cost of Financial Regulation'", Journal of Banking and Finance,1998,21, p47-72. Otten & Sehweitzer, "A Comparison between the European and U.S. Mutual Fund Industry". Managerial Finance,2002,28, No.l, p14-35. Ruckman, "Expense Ratios in North American Mutual Funds", Canadian Journal of Economics,2003,36. p192-223.
33定义来源于维基百科。
34如加拿大的隔离基金(seg-funds),其合约规定即使在基金净值下跌时也能保证投资者一定的收益,不会影响投资者既定的投资计划,类似于中国的保本型基金。
35对于某些在数据库中没有明确说明类型的基金,我们首先根据名字判断其归属,如果名字不含这些信息的话,再根据其公司网站关于基金的介绍来判断。
36理柏把运营费定义为基金维持正常运营每年需要发生的费用,包括股份登记注册费、托管费、咨询费和律师费,不仅是管理基金产生的费用。晨星认为运营费包括会计费、管理费、咨询费、审计费、董事费、股票交易费等,不包括佣金费已经投资者支付的一次性费用,如申购费和赎回费。
37美国Wyatt Company 1990年对1974年发行的开放式基金在随后的15年内的赎回情况作的随机抽样分析得到赎回比例分布,结果表明前5年投资者赎回的比例超过50%。
38表中报告的是平均加权的费用水平,资产加权的费用水平普遍要低,但统计回归效果不是很好。
39相对于平均加权,资产加权平均算法下,中国总的费用水平要比全球平均水平高的多,这可能与样本国基金规模远大于中国有关。
40相关的研究如Tufano & Sevick, "Board structure and fee-setting in the U.S. mutual fund industry", Journal of Financial Economics,1997, p321-355
41由于很多样本的最低认购额数据缺失,所以在本模型中就把这一项去掉了。
42这种情况的出现,可能是因为跨国销售的基金市场更大带来成本的下降,或者仅仅是基金为了打开新的市场所采用的商业策略。
43 Khorana & Servaes, "Explaining the size of the mutual fund industry around the world", Journal of Financial Economics,2005(78), p45-85
Fink, "Improving price competition for mutual funds and bonds",1998, www.ici.org/statements
45 IOSCO发布的报告"Performance Presentation Standards For Collective Investment Schemes",2004.
46这是Thompson&Choi为OECD做的报告"Governance systems for collective investment schemes",2001.
47来源于中国证监会网站http://www.csrc.gov.cn.
48 Djankow et al. (2005)指出,股票市场的发展程度不一样,因此市场对内幕交易等伤害普通投资者利益的行为的监管也不一样。
49来源于IOSCO对OECD国家的调查统计,但是调查报告没有给“明显参与”具体的定义。
50 Cetorelli & Gambera(2001)在"Banking market structure, financial dependence, and growth", Journal of finance (56), p617-648中做过相关研究。
51数据来源于世界银行研究报告。http://iresearch.worldbank.org.
53中国证监会,《关于完善基金管理公司董事人选制度的通知》,2001/1/16。
54《财经》杂志2000年10月号发表了《基金黑幕-关于基金行为的研究报告解析》一文。文章依据上海证券交易所监察部赵瑜纲的报告,跟踪了1999年8月9日至2000年4月28日期间,国内10家基金管理公司旗下的22只基金在上海证券市场上大宗股票交易的记录,分析了它们的操作行为之后,得出结论——基金存在大量违规、违法操作行为。这些“基金黑幕”包括：利用“对倒”操纵市场、利用投资组合公告进行信息误导、利用非理性操作如高位“接仓”对关联方进行利益输送等。这篇文章在证券市场上激起了轩然大波,引发了市场对基金管理公司的信任危机,随后监管部门对部分基金管理公司违规行为进行了查处。
55柳邵黔,“开放式基金赎回效应及对大市的影响分析”,全景网络研究文库,2005/4/27。
56 U.S. securities and exchange commission, "Division of Investment Management:Report on Mutual Fund Fees and Expenses",2000/12.
57 Cerulli Associates, "RIAs:The State of the Fee-based Financial Adviser Market," The Cerulli Report,1999.
58有些咨询机构是按小时收费。
59 ICI, "2001 Profile of Mutual Fund Shareholders", p68.
60部分基金超市也开始提供咨询作为附加服务,向投资者收取服务费。
61 ICl, "Mutual Fund Fact Book 1996",p27和 "Mutual Fund Fact Book 2000",p72.
62后来发展成为第三方中介公司,如美国的嘉信公司Charles Schwab,利用更为广泛的Internet网络来发展网上经纪业务,并一度成为美国第一的网络证券经纪公司。
631990年共同基金资产占GDP(58,032亿美元)的比例为18.36%,2000年该比例为67.31%(GDP为142,646亿美元)。
64新的养老金计划由“界定收益计划”向“界定供款计划”转换。该计划规定雇主每年提供一定金额的资金,由雇员自己决定该款项的使用,该雇员退休时可以领取的养老金额就取决于他自己选择的投资方式了。由于对雇主而言,该计划可以有效降低成本,减轻负担,并将养老金管理的责任转移到雇员身上。因而,越来越多的公司倾向于选择“界定供款计划”。
65这种倾向性体现在政府为共同基金投资制订的税收优惠政策中,投资者从共同基金帐户中取得的红利、利息及资本利得大都可以免税,只有在从基金帐户提款时才缴纳所得税。
66 ICI的统计表明：1990年通过直销渠道销售的新基金占23%的比例,到了1999年这一比例已经下降到了18%,与此同时,第三方中介渠道填补了这一份额。
67 SEC, "Report on the Public Policy Implications of Investment Company Growth", H.R.Rep.No.2337,89th,1966. Wharton School of Finance and Commerce, "A Study of Mutual Funds",H.R. Rep.No.2274,87th,1962.
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