基金费用结构对基金经理投资策略影响实证研究
|
摘要
证券投资基金作为最大的机构投资者,其在我国资本市场中的作用日益凸显。随着基金品种、数量、投资方式的日益增加和多样化,“基民”队伍迅速扩张,证券投资基金已经成为大众理财的流行投资方式。与此同时,信托证券投资基金也随着我国资本市场和基金业的发展而不断发展。显然,对基金投资策略的研究对各类投资者的投资实践都有现实意义。在我国资本市场中,每一次市场的大幅度回调,都会引起基金投资者对我国开放式证券投资基金固定费用结构的质疑,在这一背景下,对基金费用结构对基金经理投资策略影响的研究显得极为重要和紧迫。本文旨在通过对开放式证券投资基金和信托证券投资基金的对比研究,进而分析基金费用结构与基金经理投资策略之间的关系,以期对两者的关系有一个较为清晰的认识,为投资决策、政策制定提供一定的参考依据。
本文以我国开放式股票型证券投资基金和信托证券投资基金为研究对象,研究其波动择时策略；同时辅以基于持仓的晨星风格箱(Style-Box)法,对基金的成长——价值属性和大盘——小盘属性进行归类；另外,本文还通过控制基金流择时策略来进一步研究波动择时策略。在实证研究方面,本文根据Fama-French的三因素模型对基金风格进行研究和控制。最后通过选定相同样本期且规模接近的开放式证券投资基金样本和信托证券投资基金样本进行对比研究；并对基金激励费用和波动择时系数进行了回归分析。
对开放式股票型证券投资基金及信托证券投资基金的月收益率数据利用时间序列数据方法和回归分析研究表明：在控制基金风格后,对开放式股票型证券投资基金来说,大部分基金的波动择时系数都为正,在控制基金流择时系数后,这种效果更明显,反映了我国开放式股票型证券基金倾向于采用正向波动择时策略,但对于信托证券投资基金样本,大部分基金的波动择时系数为负,即我国信托证券投资基金倾向于采用反向波动择时策略；对于开放式股票型证券投资基金,大部分基金的基金流择时系数为正,且发现波动择时策略和基金流择时策略为相互替代的关系；通过对比开放式股票型证券投资基金和信托证券投资基金发现,激励费用结构基金相对有更高的超额收益、夏普比率和α；从激励费用和波动择时系数的回归分析结果来看,控制基金风格后,基金的费用结构可以影响基金经理的波动择时方向选择,激励费用会驱使基金经理采用正向波动择时策略。
最后根据上述分析结论,提出以下建议：投资者在构建基金组合积极配置激励费用结构基金；监管层在开放式证券投资基金中适度扩大激励费用结构基金的比例；基金管理公司在进行基金创新时应考虑费用机制的作用。
Mutual fund as the largest institutional investor is becoming increasingly prominent role in Chinese capital market. As increasing in variety, quantity and the diversification of investment style of mutual fund, the group of mutual fund' investors enlarge rapidly. The mutual fund has become a popular way in public finance. Meanwhile, securities investment trust also develops with China's capital market and the development of fund industry. The study of fund investment strategies is important for all investors's practice. In the Chinese capital market, every market greatly callbacks will cause fund investors'question to asymmetric (fixed) fee structure, under this background, it's urgent to study the relation between fund fee structure and fund managers'investment strategy. This paper based on the comparative study between open-end fund and the securities investment trust, and then analyzes the relationship between fund fee strcture and investment strategy to have a clear understanding of the relationship, and to provide a reference for investment decision-making and policy-making.
The paper based on stock mutual fund and the securities investment trust, and study its market volatility timing strategies. Growth-Value and Big-Small of mutual is also analyzed by the Morningstar style box (Style-Box) of Portfolio-based Style Analysis in the same time. In addition, this paper also through the controling of flow timing strategies to further research market volatility timing strategies. The empirical study controls the fund style by Fama-French model. Finally, the paper comparatively studys the same period sock mutual fund and securities investment trust whose scale is near. And through the regression analysis of manager's ability and style drift by structuring the index of degree of style drift and the Spearman and Kendall correlation test, the relation of them is be discussed.
The study bases on monthly returns of mutual fund and securities investment trust with time-series and cross-sectional data shows that:after controling for fund style, most mutual fund choose counter-cyclical volatility timing. The result is more apparent when we control for flow timing strategies. But for the securities investment trust samples, most of the funds choose pro-cyclical volatility timing, namely the securities investment trust fund tend to use reverse fluctuation timing strategies, For the open stock fund, most fund flow coefficient is, when the choice and found an strategy and fund fluctuation when choosing flow for mutual relationship of alternative tactics, Through the comparison of the trust and open mode fund shares of securities investment fund, the fund relative incentive costs that are higher rates and excess earnings, sharp, From the incentive costs and timing coefficient regression analysis results, control and fund fund style can influence the cost structure of the fluctuation of the fund manager, the direction of an asymmetric cost structure will choose the fund manager is driven by an fluctuations. Results show that less aggressive fund styles are associated with pro-cyclical volatility timing, and that volatility timing and flow timing are negatively related. We also find that pro-cyclical timing mostly improves funds' average excess returns, Sharpe ratios, and alphas. The regressions for the cross-sectional relation between volatility timing estimates and incentive fee show that:incentive fee structure management fees lead to less counter-cyclical or more pro-cyclical volatility timing..
Finally, the following adbices according to the analysis are draw:investors in constructing the fund portfolio should actively configuration incentive fee structure fund; regulators in the open-end fund should moderately expand incentive fee structure of fund rate; the fund management company should moderately evaluate the incentive mechanism in the innovation of funds.
本文以我国开放式股票型证券投资基金和信托证券投资基金为研究对象,研究其波动择时策略；同时辅以基于持仓的晨星风格箱(Style-Box)法,对基金的成长——价值属性和大盘——小盘属性进行归类；另外,本文还通过控制基金流择时策略来进一步研究波动择时策略。在实证研究方面,本文根据Fama-French的三因素模型对基金风格进行研究和控制。最后通过选定相同样本期且规模接近的开放式证券投资基金样本和信托证券投资基金样本进行对比研究；并对基金激励费用和波动择时系数进行了回归分析。
对开放式股票型证券投资基金及信托证券投资基金的月收益率数据利用时间序列数据方法和回归分析研究表明：在控制基金风格后,对开放式股票型证券投资基金来说,大部分基金的波动择时系数都为正,在控制基金流择时系数后,这种效果更明显,反映了我国开放式股票型证券基金倾向于采用正向波动择时策略,但对于信托证券投资基金样本,大部分基金的波动择时系数为负,即我国信托证券投资基金倾向于采用反向波动择时策略；对于开放式股票型证券投资基金,大部分基金的基金流择时系数为正,且发现波动择时策略和基金流择时策略为相互替代的关系；通过对比开放式股票型证券投资基金和信托证券投资基金发现,激励费用结构基金相对有更高的超额收益、夏普比率和α；从激励费用和波动择时系数的回归分析结果来看,控制基金风格后,基金的费用结构可以影响基金经理的波动择时方向选择,激励费用会驱使基金经理采用正向波动择时策略。
最后根据上述分析结论,提出以下建议：投资者在构建基金组合积极配置激励费用结构基金；监管层在开放式证券投资基金中适度扩大激励费用结构基金的比例；基金管理公司在进行基金创新时应考虑费用机制的作用。
Mutual fund as the largest institutional investor is becoming increasingly prominent role in Chinese capital market. As increasing in variety, quantity and the diversification of investment style of mutual fund, the group of mutual fund' investors enlarge rapidly. The mutual fund has become a popular way in public finance. Meanwhile, securities investment trust also develops with China's capital market and the development of fund industry. The study of fund investment strategies is important for all investors's practice. In the Chinese capital market, every market greatly callbacks will cause fund investors'question to asymmetric (fixed) fee structure, under this background, it's urgent to study the relation between fund fee structure and fund managers'investment strategy. This paper based on the comparative study between open-end fund and the securities investment trust, and then analyzes the relationship between fund fee strcture and investment strategy to have a clear understanding of the relationship, and to provide a reference for investment decision-making and policy-making.
The paper based on stock mutual fund and the securities investment trust, and study its market volatility timing strategies. Growth-Value and Big-Small of mutual is also analyzed by the Morningstar style box (Style-Box) of Portfolio-based Style Analysis in the same time. In addition, this paper also through the controling of flow timing strategies to further research market volatility timing strategies. The empirical study controls the fund style by Fama-French model. Finally, the paper comparatively studys the same period sock mutual fund and securities investment trust whose scale is near. And through the regression analysis of manager's ability and style drift by structuring the index of degree of style drift and the Spearman and Kendall correlation test, the relation of them is be discussed.
The study bases on monthly returns of mutual fund and securities investment trust with time-series and cross-sectional data shows that:after controling for fund style, most mutual fund choose counter-cyclical volatility timing. The result is more apparent when we control for flow timing strategies. But for the securities investment trust samples, most of the funds choose pro-cyclical volatility timing, namely the securities investment trust fund tend to use reverse fluctuation timing strategies, For the open stock fund, most fund flow coefficient is, when the choice and found an strategy and fund fluctuation when choosing flow for mutual relationship of alternative tactics, Through the comparison of the trust and open mode fund shares of securities investment fund, the fund relative incentive costs that are higher rates and excess earnings, sharp, From the incentive costs and timing coefficient regression analysis results, control and fund fund style can influence the cost structure of the fluctuation of the fund manager, the direction of an asymmetric cost structure will choose the fund manager is driven by an fluctuations. Results show that less aggressive fund styles are associated with pro-cyclical volatility timing, and that volatility timing and flow timing are negatively related. We also find that pro-cyclical timing mostly improves funds' average excess returns, Sharpe ratios, and alphas. The regressions for the cross-sectional relation between volatility timing estimates and incentive fee show that:incentive fee structure management fees lead to less counter-cyclical or more pro-cyclical volatility timing..
Finally, the following adbices according to the analysis are draw:investors in constructing the fund portfolio should actively configuration incentive fee structure fund; regulators in the open-end fund should moderately expand incentive fee structure of fund rate; the fund management company should moderately evaluate the incentive mechanism in the innovation of funds.
引文
[1]征昌运.金融经济学[M].中国人民大学出版社.2007.
[2]高铁梅.计量经济分析方法与建模—Eviews应用及实例[M].清华大学出版社.2006.
[1]益智,董海龙,.基金费用结构对基金经理投资策略影响研究[J].证券市场导报,2009,(8)：29-34.
[2]宋军,吴冲锋.基于分散度的金融市场的羊群行为研究[J].经济研究..2001(11),P21-26
[3]饶育蕾,基于行业投资组合的投资基金羊群行为模型与实证[J].管理评论2004(12).P18-23
[4]李学峰.证券投资基金投资组合与投资策略的匹配性研究[J].证券市场导报,2006,(4)：P46-51.
[5]高飞.黄静.基金投资行为与投资绩效实证研究[J].证券市场导报.2005(2).P23-27.
[6]陈卓思.高峰.祁斌.机构投资者交易行为特征研究[J].金融研究.2008(4).P122-130
[7]高飞.黄静.基金投资行为与投资绩效实证研究[J].证券市场导报.2005(2)P23-27
[8]施东晖.证券投资基金的交易行为及其市场影响[J].世界经济.2001(10).P26-31.
[9]王岗.机构投资者与股票市场稳定：以基金业为例[J],证券市场导报.2003(8).P23-27
[10]吴世农,吴育辉.我国证券投资基金重仓持有股票的市场行为研究[J].经济研究.2003(10).P50-58.
[11]谢赤,禹湘,周晖.证券投资基金惯性反转投资行为实证研究[J].财经研究.2006(10).P26—34.
[12]樊智,张世英.金融波动持续性的研究[J],预测.2003(1).P33-37.
[13]马超群,傅安里,杨晓光.证券投资基金波动择时能力研究.当代财经[J],2005(2).P53-57
[14]倪苏云,肖辉,吴冲锋.证券投资基金管理费率设计研究[J].系统工程理论与实践.2004(1)P25-30.
[15]郑娟.我国基金管理人的报酬机制设计问题[J].现代管理科学.2002(12).P18-22
[16]唐宇.中国内地开放式证券投资基金费率制度问题[J].管理科学.2003(2).P26-31
[17]孙培源,施东晖..基于CAPM的中国股市“羊群行为”研究—兼与宋军、吴冲锋先生商榷[J].经济研究,2002,(2)：P64-70,.
[18]刘建洲,戴国强.揭秘机构投资者投资行为[J].投资与证券,2004(4).P12-16
[19]常志平,蒋馥常.基于上证30及深圳成指的我国股票市场“羊群行为”的实证研究[J],预测.2002(3)P50-51.
[20]陈三敏.证券投资基金管理费用的实证分析[J].商业研究.2006(6)P163-165
[21]Bollerslev, T., Chou, R.Y., Kroner, K.F., ARCH modeling in finance:A review of the theory and empirical evidence. Journal of Econometrics 1992(52).5-60.
[22]Busse, J.A., Volatility timing in mutual funds:Evidence from daily returns.[J] Review of Financial Studies 1999.(12).1009-1041.
[23]Cornell, B., Roll, R., A delegated agent asset pricing model.2004.Working paper, University of California, Los Angeles.
[24]Elton, E.J., Gruber, M.J., Blake, C.R., Incentive fees and mutual funds. Journal of Finance[J].2003(58):779-805.
[25]Erasmo Giambona a, Joseph Golec. Mutual fund volatility timing and management fees[J]. Journal of Banking& Finance 2009(33):589-599
[26]Ferson, W.E., Warther, V.A., Evaluating fund performance in a dynamic market. Financial Analysts[J]. Journal 1996(52):20-28.
[27]Fleming, J., Kirby, C., Ostdiek, B., The economic value of volatility timing using "realized" volatility[J]. Journal of Financial Economics 2003(67):473-509.
[28]Golec, J., Starks, L., Performance fee contract change and mutual fund risk.[J]. Journal of Financial Economics 2004(73):93-118.
[29]Graham, J.R., Harvey, C., Market timing ability and volatility implied in investment newsletters'asset allocation recommendations. [J]Journal of Financial Economics.1996(42).397-421.
[30]Johannes, M., Polson, N., Stroud, J., Sequential optimal portfolio performance:Market and volatility timing.2002. Working paper, Columbia University.
[31]Karceski, J., Returns-chasing behavior, mutual funds, and beta's death. [J]Journal of Financial and Quantitative Analysis 2002 (37):559-594.
[32]Marquering, W., Verbeek, M., The economic value of predicting stock index returns and volatility. [J] Journal of Financial and Quantitative Analysis2004.(39):407-426.
[33]Sanjiv Ranjan Das,Rangarajan K.Sundaram. Fee Speech:Adverse Selection and the Regulation of Mutual Funds, New York University, Center for Law and Business,1999.Working Paper No.98-020.
[34]Warther, V.A., Aggregate mutual fund flows and security returns[J]. Journal of Financial Economics.1995(39):209-236.
[35]Gruber Martin J. Another puzzle:The growth in actively managed mutual funds[J].The Journal of Finance,1996, 51,(3):783-810.
[36]Edelen, R.M., Investor flows and assessed performance of open-end mutual funds[J]. Journal of Financial Economics 1999(53):439-466.
[37]Mark Grinblatt, Sheridan Titman, and Russ Wermers, "Momentum Investment Strategies, Portfolio Performance, and Herding:A Study of Mutual Fund Behavior" [J].American Economic Review.1995 (85).1088-1105.
[38]Lakonishok Josef, Andrei Shleifer and Robert W. Vishny,1992, "The impact of institutional trading on stock prices" [J] Journal of Financial Economics.1992(32):123-144.
[39]Chang E C, Cheng J W, Khorana A. An examination of Herd Behavior in Equity Markets:An International Perspective[J]. Journal of Banking and Finance,.2000,24(10):1651-1679.
[40]Christie W QHuang R D. Follow the pied piper:do individual returns herd around the market[J].Financial Analysts Journal.1995,51 (4):31-37.
[41]Sentana E and Wadhwani S.Feedback traders and stock return autocorrelations:evidence from a century of daily data[J].Economic journal.1992(102):415-425.
[42]De Long J.B,Shleifer A,Summers L and Waldmann R.Noise trader risk in finance markets[J].Joumal of Political Economy.1990(98):703-738
[43]Jegadeesh, N, and S, Titman,.1999, "Profitability of Momentum Strategies:an Valuation of Alternative Explanationa." Working paper 7159, NBER.
[1]益智.基金投资行为对证券市场质量的影响研究.上证联合计划第19期.
[2]刘建洲.戴国强.机构投资者投资行为研究.上证联合研究计划.第10期.
[3]何基报.王霞.机构投资者一定能稳定股市吗?——理论和实证研究.深圳证券交易所综合研究所.2005.12.16深证综研字第0121号.
[4]唐勇.证券投资基金行为研究.上证联合研究计划.第2期
[1]姚颐,刘志远.基金投资行为的市场检验—基于中国股市最大机构投资者的实证研究.2005.中国国际金融年会
[2]高铁梅.计量经济分析方法与建模—Eviews应用及实例[M].清华大学出版社.2006.
[1]益智,董海龙,.基金费用结构对基金经理投资策略影响研究[J].证券市场导报,2009,(8)：29-34.
[2]宋军,吴冲锋.基于分散度的金融市场的羊群行为研究[J].经济研究..2001(11),P21-26
[3]饶育蕾,基于行业投资组合的投资基金羊群行为模型与实证[J].管理评论2004(12).P18-23
[4]李学峰.证券投资基金投资组合与投资策略的匹配性研究[J].证券市场导报,2006,(4)：P46-51.
[5]高飞.黄静.基金投资行为与投资绩效实证研究[J].证券市场导报.2005(2).P23-27.
[6]陈卓思.高峰.祁斌.机构投资者交易行为特征研究[J].金融研究.2008(4).P122-130
[7]高飞.黄静.基金投资行为与投资绩效实证研究[J].证券市场导报.2005(2)P23-27
[8]施东晖.证券投资基金的交易行为及其市场影响[J].世界经济.2001(10).P26-31.
[9]王岗.机构投资者与股票市场稳定：以基金业为例[J],证券市场导报.2003(8).P23-27
[10]吴世农,吴育辉.我国证券投资基金重仓持有股票的市场行为研究[J].经济研究.2003(10).P50-58.
[11]谢赤,禹湘,周晖.证券投资基金惯性反转投资行为实证研究[J].财经研究.2006(10).P26—34.
[12]樊智,张世英.金融波动持续性的研究[J],预测.2003(1).P33-37.
[13]马超群,傅安里,杨晓光.证券投资基金波动择时能力研究.当代财经[J],2005(2).P53-57
[14]倪苏云,肖辉,吴冲锋.证券投资基金管理费率设计研究[J].系统工程理论与实践.2004(1)P25-30.
[15]郑娟.我国基金管理人的报酬机制设计问题[J].现代管理科学.2002(12).P18-22
[16]唐宇.中国内地开放式证券投资基金费率制度问题[J].管理科学.2003(2).P26-31
[17]孙培源,施东晖..基于CAPM的中国股市“羊群行为”研究—兼与宋军、吴冲锋先生商榷[J].经济研究,2002,(2)：P64-70,.
[18]刘建洲,戴国强.揭秘机构投资者投资行为[J].投资与证券,2004(4).P12-16
[19]常志平,蒋馥常.基于上证30及深圳成指的我国股票市场“羊群行为”的实证研究[J],预测.2002(3)P50-51.
[20]陈三敏.证券投资基金管理费用的实证分析[J].商业研究.2006(6)P163-165
[21]Bollerslev, T., Chou, R.Y., Kroner, K.F., ARCH modeling in finance:A review of the theory and empirical evidence. Journal of Econometrics 1992(52).5-60.
[22]Busse, J.A., Volatility timing in mutual funds:Evidence from daily returns.[J] Review of Financial Studies 1999.(12).1009-1041.
[23]Cornell, B., Roll, R., A delegated agent asset pricing model.2004.Working paper, University of California, Los Angeles.
[24]Elton, E.J., Gruber, M.J., Blake, C.R., Incentive fees and mutual funds. Journal of Finance[J].2003(58):779-805.
[25]Erasmo Giambona a, Joseph Golec. Mutual fund volatility timing and management fees[J]. Journal of Banking& Finance 2009(33):589-599
[26]Ferson, W.E., Warther, V.A., Evaluating fund performance in a dynamic market. Financial Analysts[J]. Journal 1996(52):20-28.
[27]Fleming, J., Kirby, C., Ostdiek, B., The economic value of volatility timing using "realized" volatility[J]. Journal of Financial Economics 2003(67):473-509.
[28]Golec, J., Starks, L., Performance fee contract change and mutual fund risk.[J]. Journal of Financial Economics 2004(73):93-118.
[29]Graham, J.R., Harvey, C., Market timing ability and volatility implied in investment newsletters'asset allocation recommendations. [J]Journal of Financial Economics.1996(42).397-421.
[30]Johannes, M., Polson, N., Stroud, J., Sequential optimal portfolio performance:Market and volatility timing.2002. Working paper, Columbia University.
[31]Karceski, J., Returns-chasing behavior, mutual funds, and beta's death. [J]Journal of Financial and Quantitative Analysis 2002 (37):559-594.
[32]Marquering, W., Verbeek, M., The economic value of predicting stock index returns and volatility. [J] Journal of Financial and Quantitative Analysis2004.(39):407-426.
[33]Sanjiv Ranjan Das,Rangarajan K.Sundaram. Fee Speech:Adverse Selection and the Regulation of Mutual Funds, New York University, Center for Law and Business,1999.Working Paper No.98-020.
[34]Warther, V.A., Aggregate mutual fund flows and security returns[J]. Journal of Financial Economics.1995(39):209-236.
[35]Gruber Martin J. Another puzzle:The growth in actively managed mutual funds[J].The Journal of Finance,1996, 51,(3):783-810.
[36]Edelen, R.M., Investor flows and assessed performance of open-end mutual funds[J]. Journal of Financial Economics 1999(53):439-466.
[37]Mark Grinblatt, Sheridan Titman, and Russ Wermers, "Momentum Investment Strategies, Portfolio Performance, and Herding:A Study of Mutual Fund Behavior" [J].American Economic Review.1995 (85).1088-1105.
[38]Lakonishok Josef, Andrei Shleifer and Robert W. Vishny,1992, "The impact of institutional trading on stock prices" [J] Journal of Financial Economics.1992(32):123-144.
[39]Chang E C, Cheng J W, Khorana A. An examination of Herd Behavior in Equity Markets:An International Perspective[J]. Journal of Banking and Finance,.2000,24(10):1651-1679.
[40]Christie W QHuang R D. Follow the pied piper:do individual returns herd around the market[J].Financial Analysts Journal.1995,51 (4):31-37.
[41]Sentana E and Wadhwani S.Feedback traders and stock return autocorrelations:evidence from a century of daily data[J].Economic journal.1992(102):415-425.
[42]De Long J.B,Shleifer A,Summers L and Waldmann R.Noise trader risk in finance markets[J].Joumal of Political Economy.1990(98):703-738
[43]Jegadeesh, N, and S, Titman,.1999, "Profitability of Momentum Strategies:an Valuation of Alternative Explanationa." Working paper 7159, NBER.
[1]益智.基金投资行为对证券市场质量的影响研究.上证联合计划第19期.
[2]刘建洲.戴国强.机构投资者投资行为研究.上证联合研究计划.第10期.
[3]何基报.王霞.机构投资者一定能稳定股市吗?——理论和实证研究.深圳证券交易所综合研究所.2005.12.16深证综研字第0121号.
[4]唐勇.证券投资基金行为研究.上证联合研究计划.第2期
[1]姚颐,刘志远.基金投资行为的市场检验—基于中国股市最大机构投资者的实证研究.2005.中国国际金融年会