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论文编号：	2854
作者编号：	1120070712
上传时间：	2010/12/10 11:38:21
中文题目：	中国证券投资基金董事会结构、公司治理与基金业绩
英文题目：	Fund board structure, corporate governance and fund performance: Evidence from China mutual fund industry
指导老师：	陈超
中文关键字：	基金董事会结构；公司治理；基金业绩
英文关键字：	fund board structure; corporate governance; fund performance
中文摘要：	证券投资基金在我国经过十余年的发展，取得了一定的成绩。我们可以看到，基金业相关法律法规逐步完善、基金职业经理人市场开始形成，投资者对基金业认可程度逐渐提高，基金占资本市场总额比例显著增大。截至2009年12月31日，我国证券市场共有基金621支，其中封闭式基金31支，开放式基金590支。开放式基金中股票基金237支，基金资产净值为13693.15亿元，基金份额规模为12381.03亿份；混合型基金160支，基金资产净值为7710.65亿元，基金份额规模为6877.05亿份；债券型基金123支，基金资产净值为787亿元，基金份额规模为719.9亿份；货币市场基金61支，基金资产净值为2595.27亿元，基金份额规模为2595.27亿份；QDII基金9支，基金资产净值为735.94亿元，基金份额规模为1016.8亿份。全部基金总份额为24535.07亿份，所管理的基金资产净值为26760.8亿元 。在风险被充分分散的条件下，证券投资基金凭借先进的投资理念、高效的投资组合工具和专业投资人才为投资者带来的高额投资收益，但证券投资基金自身组织形式的特殊性导致其内部委托代理问题更为严重，主要表现为委托代理链条较长、内部治理机制不完善、众多投资者存在搭便车心理以及委托人与代理人利益目标不一致等负面问题。随着2000年《财经》杂志中对基金黑幕现象的披露，2007年上投摩根基金经理唐建、2009年融通基金公司的基金经理张野，长城、景顺长城基金公司的基金经理刘海、韩刚和涂强等人的“老鼠仓”行为的曝光，如何根据我国基金业发展的实际情况建立完善的基金治理结构体系，规范基金管理人行为，保护基金投资者利益再次成为理论界和实务界关注的焦点。 基金董事会最重要的职责是保护基金持有人的利益，因此在基金治理机制中，董事会所发挥的作用是难以替代的。尽管基金董事会的重要性已得到普遍认可，但基金董事会在多大程度上可以有效解决基金公司与基金持有人间的委托代理问题以保护基金持有人的利益仍然是一个亟待解决的问题。本文通过比较研究、实证研究、图表分析等方法从我国证券投资基金管理公司的董事会结构特征入手，对我国证券投资基金管理公司的董事会结构综合效果进行评价，并对基金管理公司董事会结构与基金业绩、基金经理更换、基金投资决策以及基金持有人结构等问题之间的关系进行实证检验。 本文首先从基金公司组织结构、运作过程以及约束机制等方面对公司型基金与契约型基金进行了深入的比较，进而得出了公司型基金与契约型基金在约束基金管理人行为以及投资者保护方面的不同。 其次，文章从证券投资基金相关的立法情况回顾了我国证券投资基金的发展过程，明确了我国基金治理中各法律主体的权利义务及其相互关系，着重分析了基金董事会的职能。 在此基础上，本文对基金董事会结构与基金业绩、基金经理更换以及基金投资决策之间的关系进行了实证检验。其中： 实证一分析了基金董事会结构与基金经理更换之间的关系。本部分从基金公司董事会能否及时更换业绩较差基金经理的角度分析了基金公司董事会的效率。本章以我国开放式基金为样本，研究了基金董事会结构与基金经理更换之间的关系，并分析了赢家基金与输家基金在经理更换前后在基金收益、风险以及净申购率等方面的变化以及基金经理自身特征，例如基金经理年龄、从业经验、是否具有CFA资格等因素对基金经理离职概率的影响。实证研究结果表明基金独立董事所占比例越高，对基金业绩恶化的容忍程度越小，发生基金经理更换的概率越大；更换基金经理前，输家基金投资组合风险明显上升；更换基金经理后，输家基金的净申购率增大、选股能力显著提高，而赢家基金的净申购率减小、选股能力显著降低。 实证二检验了上市公司董事会结构对基金投资决策的影响。与直接参与上市公司治理相比，持有治理水平较好的上市公司股票，可以为基金公司节省参与成本。本部分以我国上市公司和开放式基金为样本，研究了上市公司董事会结构是否是基金公司制定投资决策时的考虑因素，并且比较了对投资组合董事会结构敏感型基金与不敏感型基金在自身业绩以及董事会结构上的差异。实证研究发现基金愿意持有董事会规模较小、独立董事所占比例较高的上市公司股票，并且基金所持有的上市公司股票份额与上市公司董事会结构指数显著正相关；对上市公司董事会结构敏感的基金其自身董事会结构合理，多为中资非银行背景基金，并且其业绩显著优于其它对上市公司董事会结构不敏感的基金。 实证三论述了基金董事会结构、机构投资者与基金业绩之间的关系。作为基金治理的重要力量，基金董事会与机构投资者在改善投资主体结构，稳定市场，活跃交易，推进基金治理乃至促进金融体系竞争与效率等方面均起到举足轻重的作用。本部分以我国54只封闭式基金为样本，构建了基金管理公司董事会结构综合指标，分析了基金管理公司董事会结构、机构投资者持股比例与基金业绩的关系，并且研究了机构投资者性质以及持股份额的变化对基金业绩的影响。此外，本部分还对基金公司董事会结构是否是机构投资者购买基金时重要的参考依据进行了量化分析。实证研究发现基金管理公司董事会结构综合指标与基金业绩显著正相关，基金持有人持股集中度与基金业绩的关系为负，但不显著；不同性质机构投资者的持股份额对基金业绩产生不同影响，无商业关系的长期机构投资者持有基金份额越多，基金业绩越好，而有商业关系的机构投资者持有基金份额越多，基金业绩越差。此外，基金董事会结构也是机构投资者购买基金时重要的参考依据。
英文摘要：	Over the last decade, China’s security investment funds have made some dramatic achievements. We can see that the relevant laws and regulations of mutual fund industry have been gradually established, the market of professional fund managers has began to take shape, the investors’ acceptable level of mutual fund has gradually improved and the proportion of mutual fund to capital market has significantly increased. By the end of 2009, there have been 621 mutual funds in our security market, including 9 QDIIs, 31 closed-end funds, 273 equity open end funds, 160 mixed funds, 123 bond funds, 61 money funds. There are totally 2454 billion fund share, the over-all fund net asset value is 2676 billion Yuan. Under the condition of the risk is fully dispersed, with the advantages of advanced investment philosophy, efficient investment portfolio tools and senior financial analysts, mutual funds bring investors with high investment returns. But the specificity of mutual funds’ own organizational forms lead to a seriously internal principal-agent problem, which is mainly manifested by a longer chain of principal-agent problem, imperfect internal governance mechanisms and governance structure, “free rider” problems in fund investors and the different interests between principal and agent. With the disclosure of mutual fund scandals in the CAIJING in 2000 and the rat trading behaviors conducted by fund manager TangJian of China International Fund Management Co., Ltd, how to establish a perfect fund governance structure system according to the development of mutual fund industry in our country, which can regulate fund managers’ behavior and protect fund holders’ interests become the focus points of theorists and practitioners. The most important duty of fund board is to protect the interests of fund holders. So fund board play an irreplaceable role in the fund governance mechanisms. Although the importance of fund board has become acceptable, it is still a puzzle that the extent to which fund board can efficiently resolve the principal-agent problem between fund management company and fund holders to protect the fund investors’ interests. Through comparative study, empirical study and chart analysis, this paper evaluates the board efficiency of mutual fund companies, examines the relationships between fund board characteristic, fund performance, top management turnover, fund investment decision and fund shareholder structure. Firstly, the paper compares the differences in the contract fund and company fund from three aspects of fund organizational structure, orporation and constraint mechanism, emphasize the similarities and differences in legal status and mutual relationships of fund holders, fund managers and fund custodians in different organizational forms. Secondly, the paper reviews the development process of mutual fund in our country from the relevant legal status, identifying rights and obligations between different legal subjects in mutual fund governance, focusing on the analysis of the duty of fund board; By comparison with developed countries, the paper figures out the problems in our country’s mutual fund governance from imbalance in mutual fund governance structure, imperfect in fund message disclosure, lack of independence in independent boards, shortage of intermediaries and internal motivations. So on this basis, this paper does some empirical research in fund shareholder structure, fund board structure, the relationships between fund board characteristic and fund performance, fund top management turnover, fund investment decisions. Empirical researchⅠexamines the relationships between fund governance, fund board structure and fund top manager turnover. This part analyzes the board efficiency from the angle of whether the fund can fire the fund manager who performs badly. Based on Chinese equity mutual fund data, I analyze the relationship between board structure and management turnover of mutual funds. Furthermore, I investigate the difference in mutual fund performance, fund portfolio risk, and monthly asset flow before and after fund manager replacements for fund winners and losers respectively. I find that as the number of professors serving as independent directors increases, the tolerance for underperformance decreases as the probability of firing poor manager increases. During the pre-replacement period, the portfolio risk of loser funds increases significantly. After replacement, the net asset flow and stock selection ability of loser funds improved significantly with the converse holding true for winner funds. Empirical researchⅡinvestigates the effect of the board structure of listed companies and mutual funds on the fund investment decision in China. Based on Chinese equity mutual fund data, the research shows that mutual funds are more likely to invest in listed companies with smaller board size, higher percentage of listed companies, and better board quality. A fund’s investment portfolio with a greater sensitivity to the board quality of listed companies, the fund tends to have better board structure, without foreign and banking ownership, and better performance than the fund whose portfolio is not sensitive to the board quality of listed companies. Empirical researchⅢexamines the relationships between institutional investors, fund board characteristic and fund performance. Comparing with individual investors, institutional investors have significant advantages in capital, information and experience. This part empirically investigates the relationships between fund investor structure, fund performance and fund board characteristics of all Chinese closed-end funds. The empirical result exhibits a negative relationship between ownership concentration and fund performance, but it is not significant. Furthermore, the shares held by different characteristics of institutional investors have different impacts on fund performance. Specifically, the more shares owned by institutional investors with long-term investment horizon and without business connection with the fund, the performance of the fund is better. The characteristics of the board of funds are important in explaining the investment decision of institutional investors.
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