基于投资者业绩敏感度的我国基金隐性行为研究

Due to asymmetric information and principal-agent conflict, mutual funds have the motivation to take unobserved actions for private benefits. Current literatures mainly focus on empirical test, but there is yet no study on the mechanism of these unobserved actions from the perspective of investor behavior. Our project aims to study the mechanism of the unobserved actions of mutual funds which is related with risk and variables including investors' performance sensitivity and fund flows, from the aspects of investors' performance sensitivity and risk. We are planning to build a semi-parametric pricing model for fund performance under the influence of unobserved actions of mutual funds and provide its risk measurement; to study the relations between the unobserved actions of mutual funds, fund performance and fund flows; to construct semi-parametric models of the unobserved actions of mutual fund and fund family respectively with variables such as investors' performance sensitivity, fund flow and risk to study the linear and nonlinear relations between the variables and explore the mechanism of these behavior; to study the incentive mechanism of the unobserved actions of fund managers and fund families. Our study provides a new perspective for exploring the unobserved actions of mutual funds and puts forward a new method for measuring these unobserved actions, fund risk and performance. The research also provides theoretical and policy basis for recognizing the mechanism of the unobserved actions and designing moderate incentive mechanism of fund managers in order to protect the interests of investors and promote the stable development of the fund industry.

因信息不对称和委托代理矛盾，基金会采取隐性行为牟取私利。有关该行为的研究多集中在实证检验，至今尚未发现从投资者行为角度对基金隐性行为生成机制的研究。本项目从投资者业绩敏感度和风险角度，研究基金隐性行为的生成机制与投资者业绩敏感度、基金资金流动等变量和风险的关系。本项研究包括：构建基金隐性行为影响下的基金业绩半参数定价模型，给出其风险的度量；研究基金隐性行为、我国基金业绩和资金流动的关系；分别建立基金和基金家族内部隐性行为关于投资者业绩敏感度，资金流动，风险等变量的半参数模型，研究它们的线性和非线性关系，探索这些行为的生成机制；研究基金经理与基金管理公司隐性行为的激励约束机制。本项研究为探索基金隐性行为提供了新视角，为基金隐性行为的度量、风险测度和基金业绩估计提供了新方法，为认识基金隐性行为的生成机制，合理设计基金管理人激励与约束机制、保护投资者利益和基金业稳定发展提供理论和政策依据。

投资者业绩敏感度和基金行为受公司业绩及风险的影响，基金行为具有隐蔽性，对公司绩效，公司治理和风险的影响一直是金融研究的难点。本项目研究取得了如下进展：1）从机构投资者自我保护的视角出发，构建公司内部人和机构投资者的博弈模型，揭示了机构投资者对其持股公司绩效的影响机制。实证表明：基金有助于改善其持股公司绩效，而其它机构投资者缺乏这种改善作用; 2）基于组织设计理论中的控制权分配理论和不完全合约理论，构建了金融控股公司风险控制权配置模型。研究发现：金融控股公司能够通过分权或集权的风险控制权配置，分散和转移风险，提高其风险控制能力，从而提高收益。证实了金融控股公司盈利水平显著高于独立银行，其风险水平低于独立银行; 3）构建二元博弈模型，诠释了基金非对称羊群行为产生的微观机理。实证显示：我国股票型基金和混合型基金的非对称羊群行为显著存在,我国基金羊群效应降低了投资者收益，加剧了股票市场波动，对股灾起到了推波助澜的作用; 4）研究了股票市场对城镇居民消费的影响，发现：股票市场对城镇居民消费的影响存在省际差异；当期股市收益对居民总消费具有显著的抑制作用；股市波动对居民总消费具有显著的抑制作用; 5）基于报酬合约理论构建基金锦标赛的博弈模型，构建基于隐性交易的基金锦标赛模型,从理论和实证两个方面研究了基金经理进行风险调整的理论机理。本项目的研究为我国基金业发展提供理论依据，具有理论和现实意义。