中国基金管理费激励的有效性

The Validity of Fund Management Fee Incentive of China

管理费激励的有效性取决于基金资金流与基金业绩之间的关系。本文通过建立多变量的回归模型,采用开放式股票型基金的季度数据对中国基金市场存在的"赎回异象"和流业绩关系的特征进行了实证。从实证研究结果,本文发现中国基金市场由于业绩与基金流量之间存在较小的正的系数,以及统计显著性不高等,管理费激励虽然有一定的作用,但效果并不突出。而且在管理费激励制度下,中国基金市场中的流业绩关系没有显著的特征,表明投资者对基金业绩排名不敏感,说明中国基金投资者的理性程度还不够,正处于从非理性到理性的过渡阶段。最后,针对中国基金市场,提出了增强中国基金管理费激励效率的相关政策建议。

This paper intends to prove the validity of fund management fee incentive of China by researching the relationship between fund flow and its historical fund performance. This paper constructs a multivariable regressive model and adopts the quarter data of opened stock style fund from January 2004 to December 2007 to study the ＂redemption dilemma＂ and the character of flow performance relationship. The study finds the management fee incentive have a little performance in Chinese fund market, but the smaller and positive coefficient between performance and flow and lower significance statistically indicate that the effect of the management fee incentive is not evident in China at present. Moreover, there is no significant relationship between fund flow and its performance, which shows that the investors are not sensitive to the ranking objective and indicates that the rational of investors is not adequate, Finally, this paper puts forward some policy suggestions on policy making, so as for the Chinese fund market to enhance the efficiency of fund management fee incentive of China.