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论文编号：	6366
作者编号：	1120080709
上传时间：	2014/6/9 12:20:22
中文题目：	基金经理声誉、新基金发行与基金投资风格漂移
英文题目：	Fund Manager Reputation, New Fund Issuance, and Fund Investment Style Drift
指导老师：	刘志远
中文关键字：	基金经理声誉，新基金发行，投资风格漂移，基金业绩，资金流
英文关键字：	Fund manager reputation, New fund issuance, Investment style drift, Fund performance, Fund flow
中文摘要：	证券投资基金业在过去的几十年取得了巨大的成功，并在全球资本市场上扮演着非常重要的角色。我国的证券投资基金业自1998年发端以来一直保持了快速发展的态势。大量的研究及业内证据表明，基金经理对于基金的发行及投资运作是至关重要的。而在基金经理的众多特征中，基金经理声誉无疑有着重要影响。 本研究即围绕新基金经理声誉机制展开研究。本文首先研究基金经理声誉机制对新基金发行的影响。然后研究基金经理声誉对基金投资风格漂移进而对基金绩效的影响。本研究分八章展开，具体如下：第一章导论在介绍文章研究背景的基础上提出研究问题，并指出研究的理论及现实意义，同时对文中涉及的主要概念予以界定，然后概括本文的研究思路、研究内容、研究方法和技术路线，最后简要说明本文的创新之处。第二章文献综述回顾了国外和国内有关基金经理声誉、新基金发行及基金投资风格漂移研究的进展情况，并对相关文献进行简要的述评。第三章制度背景分析首先回顾我国基金业发展的历程，然后梳理我国新基金发行及基金投资运作相关制度，最后对我国新基金发行及投资运作相关制度安排的特点、现状及存在的问题进行分析。第四章理论分析与研究假设首先根据声誉理论、信息不对称理论、委托代理理论、市场营销理论及行为金融学理论等基础理论构建本文的理论研究框架，然后基于该理论研究框架对本文拟解决的问题进行理论分析，并提出相关研究假设。第五章基金经理声誉与新基金发行关系实证分析首先设定实证检验所需的变量，并根据设计的变量构建实证研究模型，介绍样本选取范围和数据来源，然后对相关假设进行检验，并得到相关研究结论。第六章基金经理声誉、基金投资风格漂移与基金绩效的静态分析首先设定实证检验所需的变量，并根据设计的变量构建实证研究模型，介绍样本选取范围和数据来源，然后对相关假设进行检验，并得到相关研究结论。第七章基金经理声誉、基金投资风格漂移与基金绩效的动态分析。第八章研究结论、政策建议与局限性对本文的研究结论进行归纳总结，提出相关政策建议，并指出本文研究的局限性及未来研究的方向。 通过本文的研究和分析，主要得出以下研究结论： （1）管理新基金的基金经理的声誉越高，新基金的发行效率越高。较高的基金经理声誉等于向投资者传达了一个有关基金管理能力和基金未来业绩的积极信号，因此该新基金发行容易受到投资者的认可。 （2）在其他条件不变的情况下，越是市场环境不好的时候，基金经理声誉机制对新基金发行效率的影响越显著。同时，基金发行审核监管越宽松，新基金发行市场竞争越激烈，基金经理声誉对新基金发行效率的影响越明显。 （3）对于整个样本期间的静态分析结果表明，基金经理声誉与基金投资风格漂移负相关，即基金经理声誉越高，其管理的基金投资风格漂移程度越低。投资风格漂移与基金绩效负相关。基金经理声誉与基金业绩正相关，并会一定程度上抵销投资风格漂移对基金业绩的影响。 （4）在牛市期间，基金经理声誉会有效发挥其激励约束基金经理投资行为的作用，从而导致基金经理声誉与基金投资风格漂移程度负相关。投资风格漂移与基金绩效负相关。基金经理声誉与基金业绩正相关关系不明显，但较高的基金经理声誉会强化投资风格漂移对基金绩效的负面影响。 （5）在熊市期间，基金经理声誉不再有效发挥其激励约束基金经理投资行为的作用，从而导致基金经理声誉与基金投资风格漂移之间的负相关关系不明显。投资风格漂移与基金业绩表现出正相关关系，但与基金资金流的关系不明显。基金经理声誉与基金业绩正相关，并在一定程度上抵销投资风格漂移对基金业绩的影响。 （6）在震荡市期间，基金经理声誉不再有效发挥其激励约束基金经理投资行为的作用，从而导致基金经理声誉与基金投资风格漂移之间的负相关关系不明显。基金投资风格漂移与基金绩效负相关。基金经理声誉与基金业绩正相关，并会一定程度上抵销投资风格漂移对基金业绩的影响。 文章的创新之处主要体现在三个方面：首先，本文以新基金发行为考察对象，研究了基金经理声誉在新基金发行过程中的信号效应，并且还进一步检验了在不同的监管政策和市场环境下基金经理声誉对新基金发行效率的不同影响。其次，本文对声誉与基金经理行为关系进行了理论分析和实证研究，不仅静态分析了基金经理声誉机制对基金投资风格漂移进而对基金绩效的影响，还进一步动态考察了在不同市场环境下基金经理声誉机制的作用。最后，本文从新基金发行效率角度对新基金资金流进行了研究，是对现有有关基金资金流的研究进行的丰富和扩展。
英文摘要：	The security investment fund industry has achieved great success in the past decades and is playing increasingly important role in the global capital market. The security investment fund industry in China has grown rapidly since the commencement in 1998. Extant literature and anecdotal evidence have shown that fund manager plays key role in both fund issuance and investment operation. Among the characteristics of fund manager, fund manager reputation in one of the most important features. This study thus focuses on the mechanism of fund manager reputation. Firstly, the potential impact of the mechanism of fund manager reputation on new fund issuance is investigated. Then the effect of the mechanism of fund manager reputation on fund investment style drift and further on fund performance is examined. This thesis includes eight chapters. Chapter one gives an overall introduction. This part puts forward research questions based on the introduction of research background, the implications of this research and research methods, meanwhile indicates the innovations of the study. Chapter two is the review of the literature. This part provides a review of home and abroad related research, and further addresses research questions of this study through brief review on the relevant literature. Chapter three is the analysis of institutional background. This part reviews the development of fund industry in China and presents the reform progress of fund issuing regulation systems and fund investment systems of China in history, and then analyzes the characteristics of fund issuing and investment regulation system arrangements of China. Chapter four is theoretical analysis and research hypotheses. Basing on reputation theory, the theory of information asymmetry, agency theory, marketing theory, and behavioral finance theory, this part formulates the theoretical research frame and develops the related research hypotheses. Chapter five is empirical test and results analysis about the relationship between fund manager reputation and new fund issuance efficiency. This part tests the research hypotheses through empirical analysis method and draws conclusions based on the analysis of the empirical results. Chapter six is the research on the static analysis of the relationship between fund manager reputation, investment style drift, and fund performance. This part tests the research hypotheses through empirical analysis method and draws conclusions based on the analysis of the empirical results. Chapter seven is the dynamic analysis of the relationship between fund manager reputation, investment style drift, and fund performance. Chapter eight concludes the dissertation, provides some policy proposals, and indicates the limitations and future research directions of the study. Based on the research and analysis, the major conclusions of this dissertation are as follows: (1) The efficiency of new fund issuance increases as the reputation of fund manager who is in charge of the new fund increases. (2) All other things being equal, the effect of fund manager reputation becomes more significant when the market condition is not good and the regulation of new fund issuance is relaxed. (3) According to the static analysis of the relationship between fund manager reputation, investment style drift and fund performance, the higher the fund manager reputation, the lower investment style drift the fund is. Investment style drift and fund performance are negatively correlated. Fund manager reputation is positively related to fund return and, to some extent, offset the investment style drift’s effect on fund performance. (4) In bull market, fund manager reputation mechanism can play its incentive and restrictive effect on fund manager. Investment style drift and fund performance are negatively correlated. The relationship between fund manager reputation and fund performance is not significant, but higher fund manager reputation will strengthen investment style drift’s negative impact on fund preface. (5) In bear market, fund manager reputation mechanism does not play its incentive and restrictive effect on fund manager any more. Investment style drift is positively related to fund return but there is no significant relationship between investment style drift and fund flow. Fund manager reputation is positively related to fund return and, to some extent, offset the investment style drift’s effect on fund performance. (6) In volatile market, fund manager reputation mechanism does not play its incentive and restrictive effect on fund manager any more. Investment style drift and fund performance are negatively correlated. Fund manager reputation is positively related to fund performance and fund manager reputation will offset the effect of investment style drift on fund performance. The main contributions of this study are as follows: Firstly, this study investigates the signal effect of fund manager reputation mechanism in new fund issuance and further investigate the impact of different regulation and market conditions on the relationship between fund manger reputation and new fund issuance efficiency; secondly, this thesis theoretically and empirically studies the relationship between fund manager reputation and fund investment, not only from the static analysis but also from the dynamic analysis; thirdly, compared to the existed studies, this study innovatively investigate fund flow from the new fund issuing efficiency.
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