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论文编号：	10146
作者编号：	2120162749
上传时间：	2018/6/9 22:35:56
中文题目：	证券投资基金治理评价研究——基于中国开放式基金市场的经验研究
英文题目：	A Study on Governance Evaluation of
指导老师：	齐岳教授
中文关键字：	开放式基金；基金治理；治理评价；OFGI指数
英文关键字：	Open-ended fund；Fund governance；Governance evaluation；OFGI index
中文摘要：	自2001年9月我国第一只开放式证券投资基金成立以来，我国开放式基金的数量不断增多、规模不断扩大，并迅速发展成为我国基金市场的主体。截至2017年底，我国证券投资基金的数量超过了4600只，基金份额超过了十万亿份，资产净值达到11万亿余元，而其中，开放式基金的占比均超过了99%。然而，就在我国证券投资基金在发展的快车道上急速前行的同时，基金经理“老鼠仓”、不正当关联交易、代持养券等等黑幕被接连曝出，甚至有基金经理通过“老鼠仓”非法获利千万余元。这些违法违规行为的发生，不仅阻碍了市场的平稳健康发展，更给原本充满信心的投资者以沉重打击。寻根溯源，以契约形式设立的我国证券投资基金，伴随着基金持有人与基金公司、基金公司与基金经理的双重委托代理关系，其中蕴藏的信息不对称极易被内部人所利用，从而侵害投资者的利益。治理作为解决代理问题、防范代理风险的有力武器，已经成为众多学者的共识。在全面深化改革、优化金融市场发展、投资者利益保护日渐重要的大背景下，完善基金治理结构、健全基金治理机制，显得势在必行。本文站在基金治理的角度，着眼于开放式基金这一基金市场的主体，在参考和借鉴公司治理相关理论和文献，从基金公司、基金经理、基金托管人、基金持有人以及信息披露五个方构建了我国证券投资基金治理指标体系。并进一步通过实证探究基金治理与基金业绩的关系，尝试提出一套可以客观综合评价基金治理质量的方法，构建一个综合有效的基金治理指数。通过对实证结果的分析，本文发现：开放式基金业绩主要受到基金公司股权结构的影响，而与股权性质关联不紧密。如第一大股东持股比例、第一大股东与第三大股东持股量之比均与基金业绩显著正相关，而无论是证券公司持股比例还是基金公司第一大股东证券公司与否都与基金业绩的好坏关系不大。另一方面，基金公司的董事会结构和性质对基金业绩也存在较为明显的影响。基金经理小组规模、平均学历水平、基金经理助理比例以及兼任高管的总体情况都与基金的业绩有明显的联系。在分析实证结果的基础上，本文发现，随着基金经理小组规模的扩大，基金的业绩有先下降后上升再下降的趋势。基金经理小组中兼任基金公司高管的总体情况与基金业绩呈现出非线性的正相关关系。此外，基金业绩还受到基金经理管理基金时间的显著影响，基金经理小组中基金经理的更换次数与基金业绩显著负相关。基金持有人的净赎回率可以对基金经理产生一定的压力，具体体现在对基金业绩的负向影响中，但这种压力和影响并不明显。另一方面基金公司从业人员和基金经理持有基金的份额对基金的业绩有显著的正向影响，由此可以看出，持有基金份额可以激励基金公司相关人员尽职尽责，从而有助于基金绩效的提升。最后，基金业绩表现的好坏还受到机构投资者是否持有基金份额以及持有份额多少的影响，并且这种影响可以说非常显著。最后，本文发现，基金经理更换信息与基金行业高级管理人员变动信息披露及时性对基金业绩的影响显著。一方面表明上述两种信息在基金信息披露中占有重要的地位，另一方面也说明这两种信息的披露密切关系到基金的运作质量。在上述实证研究的基础上，本文选择与基金业绩显著相关的治理指标，运用统计上常用的主成分分析法，建构了一个有利于衡量我国开放式证券投资基金综合治理质量的指数——OFGI指数。通过实证分析和有效性检验，本文发现，OFGI指数与开放式基金业绩显著正相关；OFGI指数与基金净资产费用率显著负相关。
英文摘要：	Since the establishment of China's first open-ended securities investment fund in September 2001, the number of open-end funds in China has continuously increased and the scale has been continuously expanded, and it has rapidly developed into the main body of China's fund market. As of the end of 2017, the number of China's securities investment funds exceeded 4600, the fund share exceeded 10 trillion, and the net asset value reached 11 trillion yuan, of which, the proportion of open-end funds exceeded 99%. However, while China's securities investment funds are advancing rapidly in the fast lane of development, the dark screens of fund managers such as the “rat warehouse”, improper affiliated transactions, and generation-sponsored bonds have been successively exposed, and even fund managers have passed “rats. "The warehouse" illegally profits more than ten million yuan. The occurrence of these illegal and irregular acts not only hindered the smooth and healthy development of the market, but also dealt a heavy blow to investors who were originally full of confidence. The roots of traceability and the establishment of China’s securities investment funds in the form of contracts are accompanied by a dual principal-agent relationship between fund holders and fund companies, fund companies, and fund managers. The information asymmetry contained in these securities can easily be exploited by insiders and infringe upon them. Investors' interests. As a powerful weapon for solving agency problems and preventing agency risks, governance has become the consensus of many scholars. Under the background of the overall deepening of reforms, optimizing the development of financial markets, and protecting the interests of investors, it is imperative to improve the fund governance structure and improve the fund governance mechanism. This article stands in the perspective of fund governance, focusing on the subject of open-end fund market, referencing and borrowing from corporate governance related theories and literature, from fund companies, fund managers, fund custodians, fund holders, and information disclosures. Each party has constructed a governance index system for China's securities investment funds. And further empirically explore the relationship between fund governance and fund performance, and try to put forward a set of methods that can objectively and comprehensively evaluate the quality of fund governance, and build a comprehensive and effective fund governance index. After the discussions of the empirical study results, we found that: Open-end fund performance is mainly affected by the equity structure of the fund company, but not closely related to the nature of equity. For example, the proportion of shares held by the largest shareholder and the ratio of shareholdings of the largest shareholder to the third largest shareholder are all significantly positively related to the fund's performance, regardless of whether the securities company’s shareholding ratio or the fund’s largest shareholder’s securities company or not Both have little to do with the performance of the fund. On the other hand, the structure and nature of the fund company's board of directors also have a more significant impact on fund performance. The size of the fund manager team, the average level of academic qualifications, the proportion of fund manager assistants, and the overall situation of the concurrent executives are clearly linked to the fund's performance. Based on the analysis of empirical results, this paper finds that with the expansion of the size of the fund manager group, the fund's performance has decreased first, then increased and then decreased. In the fund manager group, the overall situation of the fund company’s senior management and the fund performance show a non-linear positive correlation. In addition, fund performance is also significantly affected by the time the fund manager manages funds, and the number of fund manager turnovers in the fund manager group is significantly negatively related to fund performance. The net redemption rate of fund holders can exert some pressure on fund managers, which is reflected in the negative impact on fund performance. However, such pressure and influence are not obvious. On the other hand, the share of funds held by fund company employees and fund managers has a significant positive impact on the fund's performance. It can be seen that holding fund shares can motivate fund companies to perform due diligence and thus contribute to funds. Improve performance. Finally, the performance of the fund's performance is also influenced by whether or not institutional investors hold fund shares and their share of shares, and this effect can be very significant. Finally, this paper finds that the timeliness of information disclosure by fund managers changing information and senior management personnel in the fund industry has a significant impact on fund performance. On the one hand, it shows that the above two kinds of information play an important role in the disclosure of fund information. On the other hand, it also shows that the disclosure of these two kinds of information is closely related to the quality of fund operations. Based on the above empirical research, this paper selects governance indicators that are significantly related to the performance of the fund, and uses a principal component analysis method that is commonly used in statistics to construct an index that is conducive to the quality of comprehensive governance of open-end securities investment funds in China—OFGI Index. Through empirical analysis and robustness test, this paper found that: (1) The OFGI index has significant positive influence on open-ended funds’ performance; (2) The relationship between the OFGI index and the expense ratio of open-ended funds is a significant positive correlation.
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