我国封闭式基金治理结构与折价率相关性实证研究
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摘要
证券投资基金己逐渐成为各国证券市场中最重要的间接金融工具和机构投资者,在促进产业发展和经济增长,稳定证券市场和社会保障体系等方面发挥了巨大的作用,而封闭式基金拥有份额固定、流动性风险低、适于长期投资的优势,对我国“新兴加转轨”的资本市场的稳定发展起到重要的作用。
完善合理的治理结构是基金业赖以生存和长期发展的关键所在。我国基金业整体尚处于发展的初级阶段,缺乏能够有效保护基金份额持有人利益的治理结构制度安排,直接导致基金管理人缺乏有效约束,损害份额持有人利益的行为屡禁不止。在份额持有人利益代表缺位、到期前无法按净值赎回基金份额等制度设计背景下,契约型封闭式基金治理结构缺陷的存在是迫使基金份额持有人以折价交易基金份额的形式寻求利益补偿的原因之一。本文通过理论研究与实证分析相结合的方法,明确指出基金治理结构存在的具体问题,创新性地从基金治理结构这一角度出发来解释不同封闭式基金折价率之间的差异。文章在委托代理模型、兴趣趋同效应理论等成熟理论研究的基础上,结合我国基金业现状,对封闭式基金治理结构进行科学的量化,提出一系列理论假说并据以建立相应的计量模型,通过实证的方法对封闭式基金折价率和治理结构指标之间的内在关系进行深入的研究和分析,得出各指标因素对封闭式基金折价率的具体作用机制和相对重要性,并以此为基础,进一步在基金管理公司层面上对其治理结构和旗下封闭式基金加权平均折价率之间的关系进行测度,发现两者之间存在显著的负相关。最后,文章在结论部分对本文的研究成果进行了总结,并有针对性地提出一些旨在完善基金治理结构的政策性建议。
Securities investment funds have gradually become the most important indirect financial instruments and institutional investors to the stock market, played an important role in the promotion of industrial development and economic growth, as well as the stability of the stock market and social security system.For closed-end funds have the advantage of fixed shares and low fluid risk, they are suitable for long-term investments,which is critical for the development and stability of China's capital market.
Improving rational governance structure is a key point to the fund industry's survival and long-term development. As a whole,China's fund industry is still at an early stage of development.The market system and external governance mechanisms are both far from perfect,and failed in effectively protecting the interests of the holders of share.In this case,behavior that will infract the interests of share holders can not be prevented.On the account of lack of redemption system,the existent defects of fund governance structure will apparently force closed-end fund investors to trade closed-end fund with discount price to seek interest compensation.This thesis will place its basis on the fund governance structure theory, including relevant theoretical and empirical research both at home and abroad to explain the closed-end funds discount trading phenomenon in a creative way, that is, the "fund governance structure defects".On the basis of principal-agent model and the convergence of interest theory and in light of China's fund industry actuality, as well as the quantification of the fund governance structure, the thesis will establish series of hypotheses and econometric model to analyse the intrinsic pertinence between closed-end funds governance structures and the discount ration through demonstration, estimating the relative importance of the index.On this basis,the research finds out that there is significant negative correlation between the level of the fund company governance structure and its closed-end funds' weighted average discount ratio.On the basis of demonstration study, the conclusion part summarizes the whole research, according to which bring forward some policy recommendations.
完善合理的治理结构是基金业赖以生存和长期发展的关键所在。我国基金业整体尚处于发展的初级阶段,缺乏能够有效保护基金份额持有人利益的治理结构制度安排,直接导致基金管理人缺乏有效约束,损害份额持有人利益的行为屡禁不止。在份额持有人利益代表缺位、到期前无法按净值赎回基金份额等制度设计背景下,契约型封闭式基金治理结构缺陷的存在是迫使基金份额持有人以折价交易基金份额的形式寻求利益补偿的原因之一。本文通过理论研究与实证分析相结合的方法,明确指出基金治理结构存在的具体问题,创新性地从基金治理结构这一角度出发来解释不同封闭式基金折价率之间的差异。文章在委托代理模型、兴趣趋同效应理论等成熟理论研究的基础上,结合我国基金业现状,对封闭式基金治理结构进行科学的量化,提出一系列理论假说并据以建立相应的计量模型,通过实证的方法对封闭式基金折价率和治理结构指标之间的内在关系进行深入的研究和分析,得出各指标因素对封闭式基金折价率的具体作用机制和相对重要性,并以此为基础,进一步在基金管理公司层面上对其治理结构和旗下封闭式基金加权平均折价率之间的关系进行测度,发现两者之间存在显著的负相关。最后,文章在结论部分对本文的研究成果进行了总结,并有针对性地提出一些旨在完善基金治理结构的政策性建议。
Securities investment funds have gradually become the most important indirect financial instruments and institutional investors to the stock market, played an important role in the promotion of industrial development and economic growth, as well as the stability of the stock market and social security system.For closed-end funds have the advantage of fixed shares and low fluid risk, they are suitable for long-term investments,which is critical for the development and stability of China's capital market.
Improving rational governance structure is a key point to the fund industry's survival and long-term development. As a whole,China's fund industry is still at an early stage of development.The market system and external governance mechanisms are both far from perfect,and failed in effectively protecting the interests of the holders of share.In this case,behavior that will infract the interests of share holders can not be prevented.On the account of lack of redemption system,the existent defects of fund governance structure will apparently force closed-end fund investors to trade closed-end fund with discount price to seek interest compensation.This thesis will place its basis on the fund governance structure theory, including relevant theoretical and empirical research both at home and abroad to explain the closed-end funds discount trading phenomenon in a creative way, that is, the "fund governance structure defects".On the basis of principal-agent model and the convergence of interest theory and in light of China's fund industry actuality, as well as the quantification of the fund governance structure, the thesis will establish series of hypotheses and econometric model to analyse the intrinsic pertinence between closed-end funds governance structures and the discount ration through demonstration, estimating the relative importance of the index.On this basis,the research finds out that there is significant negative correlation between the level of the fund company governance structure and its closed-end funds' weighted average discount ratio.On the basis of demonstration study, the conclusion part summarizes the whole research, according to which bring forward some policy recommendations.
引文
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