证券投资基金治理机制研究
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摘要
证券投资基金业发展的核心问题是如何保护投资者权益，树立投资者对基金的信心，这就需要有一个良好的治理结构为基础。一方面宏观上要制定一系列法律法规来规范各关系人的行为；另一方面，要设计证券投资基金运行中合理、科学的激励和约束机制，使委托人与受托人的利益尽可能一致，从而使受托人自觉的以基金持有人的利益最大化为目标进行基金资产管理。基金治理结构是基金业赖以生存和发展的基础。
国内外学术界关于公司治理结构的研究历时已旧，产生出大量的研究成果，但是对基金治理结构的探讨才刚刚开始。基金，而不是基金管理公司，在治理结构上与公司组织有联系，也有区别。基金作为一种合约性的组织，其治理结构的重心是依靠水平方向上各个参与主体自主选择和自由退出的力量，而不是通过组织内部垂直方向的命令与服从来维持。
在契约型基金中，基金管理公司往往是基金的发起人之一，是基金组织最大的内部人，容易形成利益冲突。在基金的各关联方的利益冲突中，焦点主要集中在基金持有人与基金管理公司之间，而不存在一般公司中大股东与小股东的利益冲突。基金管理公司是基金的实际控制人，与股权分散下的公司中的经理人十分相似。基金管理公司与基金持有人利益的冲突的根源在于：基金管理公司的收入来自于向基金收取的管理费用，而管理费用是直接从基金净资产中扣除的，这样持有人的收益就相应的减少了。因此理性的基金管理公司必然想方设法的争取管理费用的最大化，这与持有人的利益刚好相悖。在我国，基金管理公司既是发起人、持有人，又是管理人。多种身份的存在，使的基金管理公司集基金控制性持有人与非控制性持有人之间的利益冲突，持有人与管理人之间的利益冲突与一身。
投资者购买基金，本质上是购买基金管理人的能力和尽职尽责程度。而基金管理人的能力和尽职尽责程度又是难以直接观察的。现代基金产业中基金管理人分解为基金顾问商、基金制造商和基金销售商。基金销售商出售基金之后将资金交给基金制造商，再由基金制造商选择并委托基金顾问商来管理。这样，投资者与最终投资组合管理人之间的距离进一步拉大，投资者了解最终投资组合管理人能力和尽职尽责程度更加困难，甚至变得不可能。而投资者购买基金之后什么保障也没有，只是对未来收益的一种期望。这种收益的期望是无法得到任何法律的保护，这就是基金市场中的核心问题。
在基金投资者与基金管理人的利益冲突中，投资者始终处于弱势的一方。为维
摘要
护投资者自身的利益，投资者在签定契约前，选择一种合理的激励约束机制是必要
的。有效的激励约束机制是证券投资基金治理的重要组成部分。本文运用非完全信
息动态博弈方法建立了一个长期经济激励约束机制模型，研究在信息不完全、不对
称条件下基金投资者和基金管理人追求自身效用最大化的行为对基金业绩的影响，
并分析了证券投资基金激励约束机制的决定和制约因素。然后运用统计指标实证分
析了我国证券投资基金激励约束机制的有效性。
The core problem of the development of security investment funds field is how to protect the benefits of investors and build up the investors' confidence. As a result, it is essential to erect a good management structure. On the one hand, we have to establish series of law codes to standardize relevant participants behaviors; on the other hand, we should create the reasonable and scientific rules to coincide the benefits between consigners and assignees, which will make the assignees manage fund assets consciously to maximize the profits of fund holders. The structure of fund management is the base of funds existence and development.
The domestic academe has produced plenty of researches on the structure of company management, but we are the beginner for the theory of funds management structure. Funds, instead of funds management company, is different from company organization in the management structure. As a kind of contract organization, the management of the structure is relied on the independent choice and unrestricted quit power of relevant participants in horizontal direction, instead of the maintenance by the inner order and obedience in vertical direction.
As one of the organizers of the fund, the fund management company is the biggest inner participant in the contracted-fund. That is why it is easy to create benefits conflict. In the benefits conflicts among the relevant participants, the focus is between the fund holders and fund management company, not the common conflict among big and small shareholders. Fund management company is the real controller of fund which is quite similar as the professional manager in the equity separating companies. The conflict between fund management company and fund holder is caused because the income of fund management company comes from the management expense debiting from fund while the management expenses are deducted from fund net assets which caused the deduction of fund holders' income. Accordingly, a rational fund management company will try the best to maximize the management expenses opposite to the benefits of fund holders. In China, fund management company is not only the organizer but also the holder and the admi
nistrator. This situation makes the conflicts, from fund controller and non-controller, to holder and administrator, focusing on fund management company.
In fact, the investors buying fund is to buy the ability and responsibility of fund administrator. But it is hard to observe directly the administrator' s ability and responsibility. In modern fund field, fund administrator is divided into fund consultant, fund manufacturer and fund distributor. After selling fund, fund distributor submits the capital to fund manufacturer and the fund manufacturer will choose and assign fund consultant to manage it. The procedure makes it is more difficult to know the administrator' s ability and responsible degree even to be impossible. On the other hand, there is no any guarantee for the investors after they bought the fund. The investors only have a kind of expectation for the income in future. The kind expectation can not get any protection in laws which is the core problem in fund market.
Since the investor is in the disadvantaged position in the conflict between fund investor and administrator , in order to maintain the investor' s benefits, it is essential to choose a kind of rational inspiration and restriction system before the investor consigns the contracts. Effective inspiration and restriction system is an important component in security investment fund management.
The thesis is to build a long term economic inspiration and restriction system model by non-entire information dynamic Game theory, to research the effect of the fund investor and administrator pursuing maximized efficiency under the non-entire and non-symmetrical condition and analyze the deciding and restricted factors of security investment fund inspiration and restriction system. Based on the analysis, the thesis analyzes the efficiency of security investment fund inspiration and rest
国内外学术界关于公司治理结构的研究历时已旧，产生出大量的研究成果，但是对基金治理结构的探讨才刚刚开始。基金，而不是基金管理公司，在治理结构上与公司组织有联系，也有区别。基金作为一种合约性的组织，其治理结构的重心是依靠水平方向上各个参与主体自主选择和自由退出的力量，而不是通过组织内部垂直方向的命令与服从来维持。
在契约型基金中，基金管理公司往往是基金的发起人之一，是基金组织最大的内部人，容易形成利益冲突。在基金的各关联方的利益冲突中，焦点主要集中在基金持有人与基金管理公司之间，而不存在一般公司中大股东与小股东的利益冲突。基金管理公司是基金的实际控制人，与股权分散下的公司中的经理人十分相似。基金管理公司与基金持有人利益的冲突的根源在于：基金管理公司的收入来自于向基金收取的管理费用，而管理费用是直接从基金净资产中扣除的，这样持有人的收益就相应的减少了。因此理性的基金管理公司必然想方设法的争取管理费用的最大化，这与持有人的利益刚好相悖。在我国，基金管理公司既是发起人、持有人，又是管理人。多种身份的存在，使的基金管理公司集基金控制性持有人与非控制性持有人之间的利益冲突，持有人与管理人之间的利益冲突与一身。
投资者购买基金，本质上是购买基金管理人的能力和尽职尽责程度。而基金管理人的能力和尽职尽责程度又是难以直接观察的。现代基金产业中基金管理人分解为基金顾问商、基金制造商和基金销售商。基金销售商出售基金之后将资金交给基金制造商，再由基金制造商选择并委托基金顾问商来管理。这样，投资者与最终投资组合管理人之间的距离进一步拉大，投资者了解最终投资组合管理人能力和尽职尽责程度更加困难，甚至变得不可能。而投资者购买基金之后什么保障也没有，只是对未来收益的一种期望。这种收益的期望是无法得到任何法律的保护，这就是基金市场中的核心问题。
在基金投资者与基金管理人的利益冲突中，投资者始终处于弱势的一方。为维
摘要
护投资者自身的利益，投资者在签定契约前，选择一种合理的激励约束机制是必要
的。有效的激励约束机制是证券投资基金治理的重要组成部分。本文运用非完全信
息动态博弈方法建立了一个长期经济激励约束机制模型，研究在信息不完全、不对
称条件下基金投资者和基金管理人追求自身效用最大化的行为对基金业绩的影响，
并分析了证券投资基金激励约束机制的决定和制约因素。然后运用统计指标实证分
析了我国证券投资基金激励约束机制的有效性。
The core problem of the development of security investment funds field is how to protect the benefits of investors and build up the investors' confidence. As a result, it is essential to erect a good management structure. On the one hand, we have to establish series of law codes to standardize relevant participants behaviors; on the other hand, we should create the reasonable and scientific rules to coincide the benefits between consigners and assignees, which will make the assignees manage fund assets consciously to maximize the profits of fund holders. The structure of fund management is the base of funds existence and development.
The domestic academe has produced plenty of researches on the structure of company management, but we are the beginner for the theory of funds management structure. Funds, instead of funds management company, is different from company organization in the management structure. As a kind of contract organization, the management of the structure is relied on the independent choice and unrestricted quit power of relevant participants in horizontal direction, instead of the maintenance by the inner order and obedience in vertical direction.
As one of the organizers of the fund, the fund management company is the biggest inner participant in the contracted-fund. That is why it is easy to create benefits conflict. In the benefits conflicts among the relevant participants, the focus is between the fund holders and fund management company, not the common conflict among big and small shareholders. Fund management company is the real controller of fund which is quite similar as the professional manager in the equity separating companies. The conflict between fund management company and fund holder is caused because the income of fund management company comes from the management expense debiting from fund while the management expenses are deducted from fund net assets which caused the deduction of fund holders' income. Accordingly, a rational fund management company will try the best to maximize the management expenses opposite to the benefits of fund holders. In China, fund management company is not only the organizer but also the holder and the admi
nistrator. This situation makes the conflicts, from fund controller and non-controller, to holder and administrator, focusing on fund management company.
In fact, the investors buying fund is to buy the ability and responsibility of fund administrator. But it is hard to observe directly the administrator' s ability and responsibility. In modern fund field, fund administrator is divided into fund consultant, fund manufacturer and fund distributor. After selling fund, fund distributor submits the capital to fund manufacturer and the fund manufacturer will choose and assign fund consultant to manage it. The procedure makes it is more difficult to know the administrator' s ability and responsible degree even to be impossible. On the other hand, there is no any guarantee for the investors after they bought the fund. The investors only have a kind of expectation for the income in future. The kind expectation can not get any protection in laws which is the core problem in fund market.
Since the investor is in the disadvantaged position in the conflict between fund investor and administrator , in order to maintain the investor' s benefits, it is essential to choose a kind of rational inspiration and restriction system before the investor consigns the contracts. Effective inspiration and restriction system is an important component in security investment fund management.
The thesis is to build a long term economic inspiration and restriction system model by non-entire information dynamic Game theory, to research the effect of the fund investor and administrator pursuing maximized efficiency under the non-entire and non-symmetrical condition and analyze the deciding and restricted factors of security investment fund inspiration and restriction system. Based on the analysis, the thesis analyzes the efficiency of security investment fund inspiration and rest
引文
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2 证券投资基金编写组．证券投资基金．上海财经大学出版社．2002年版
3 何孝星．证券投资基金运行论．清华大学出版社．2003年版
4 韩志国．独立董事-管制革命还是装饰革命．经济科学出版社．2002年版
5 赵广辉．开放式基金．机械工业出版社．2001年版
6 陈立．影响未来的中国基金产业．中国财政经济出版社．2001年版
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8 王彦国．投资基金论．北京大学出版社．2002年版
9 何德旭．中国投资基金制度变迁分析．西南财经大学出版社．2003年版
10 李惠．走进私募基金．经济科学出版社．2001年版
11 [美]彼得L．波恩斯坦，阿斯瓦斯．达摩达兰．投资管理．机械工业出版社．2000年版
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16 刘乃岳，周爱民．证券投资与交易．中国金融出版社．2001年版
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18 何孝星．我国私募基金存在的六大问题及其规范化建议．经济理论与经济管理．2001，10
19 何孝星．金融混业经营的条件和必然性分析及对我国的启示．经济学动态．2002，4
20 何孝星，朱奇峰．关于中国证券经纪市场竞争的若干思考．金融研究．2002，1
21 杜书明．走进美国基金评级机构．中国证券报．2001．9．20
22 顾岚．经济时间序列分析．中国统计出版社．1989年
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2 证券投资基金编写组．证券投资基金．上海财经大学出版社．2002年版
3 何孝星．证券投资基金运行论．清华大学出版社．2003年版
4 韩志国．独立董事-管制革命还是装饰革命．经济科学出版社．2002年版
5 赵广辉．开放式基金．机械工业出版社．2001年版
6 陈立．影响未来的中国基金产业．中国财政经济出版社．2001年版
7 刘传葵．投资基金经济效应论．经济科学出版社．2001年版
8 王彦国．投资基金论．北京大学出版社．2002年版
9 何德旭．中国投资基金制度变迁分析．西南财经大学出版社．2003年版
10 李惠．走进私募基金．经济科学出版社．2001年版
11 [美]彼得L．波恩斯坦，阿斯瓦斯．达摩达兰．投资管理．机械工业出版社．2000年版
12 [美]小詹姆斯L．法雷尔，沃尔特J．哈雷特．投资组合管理：理论及应用，(第二版)．机械工业出版社．2000年版
13 季冬生．证券投资基金．中国人民大学出版．2001年版
14 中国证券业协会基金公会．投资基金法规体系研究．中国法制出版社．2002年版
15 王苏生．证券投资基金管理人的责任．北京大学出版社．2001年版
16 刘乃岳，周爱民．证券投资与交易．中国金融出版社．2001年版
17 [美]米歇尔D．西莫．共同基金法则：理解与考察共同基金投资的50条原理．中国金融出版社．2000年版
18 何孝星．我国私募基金存在的六大问题及其规范化建议．经济理论与经济管理．2001，10
19 何孝星．金融混业经营的条件和必然性分析及对我国的启示．经济学动态．2002，4
20 何孝星，朱奇峰．关于中国证券经纪市场竞争的若干思考．金融研究．2002，1
21 杜书明．走进美国基金评级机构．中国证券报．2001．9．20
22 顾岚．经济时间序列分析．中国统计出版社．1989年
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