基金发展对证券市场均衡及资产价格的影响研究

Agency Based Asset Pricing and Empirical Evidence in China

基金的迅速发展使得传统的投资结构发生改变,很多投资者不再是直接持有证券,而是通过申购基金间接持有,投资者结构的改变使得传统资产定价模型的一些假设不再适用。本文正是基于此背景,研究基金投资者和基金经理之间的委托代理问题对资产价格的影响,通过理论分析得到两因素资产定价模型,并用我国A股市场的数据做了实证检验,从理论和实证两个角度都论证了投资者和基金经理之间的委托代理问题是资产定价中不可忽略的因素。

The development of funds, which is a portfolio management agency, changes the investing structure. Some investors do not directly invest in the stock market, but do so through the funds. Then the agency problem between investors and fund manager should be incorporated into the asset pricing model. This paper makes a theoretical and empirical analysis of this problem, and finds that the agency problem is an important factor in asset pricing as the existence of funds.