市场竞争、发行权管制与基金风险——中国开放式基金经营策略的经验研究

Competition of Market,Government Control of Funds Issue and Fund Risk:Evidence from Open-end Funds in China

本文研究发现市场竞争和证券管制共同构成基金风险水平设定的重要因素。其中,基金公司如果前期业绩表现不佳,面临较大的市场压力,则更可能通过分散化不同基金的组合风险,提高下期产生"明星"基金的概率,实现"明星"基金对资产管理规模的溢出效应;同时,基金公司为了获得更高的获批发行新基金的可能性,也会将证券管制部门稳定资本市场的目标设定为自身目标,通过分散旗下基金风险的方式与证券管制部门签订"隐形契约"。上述基金风险设定策略并不显著提升基金投资的整体回报。

The results show that the equity funds issued tend to take the strategy of risk diversi- fication under the dual constraints of government control of issuing new funds and market competi- tion. Specifically, Fund management company prefers to diversify the risk of funds it managed when facing big market pressure. This strategy can increase the probability to produce the star funds, then achieve the ＂star fund＂ spillover effect to the total assets size. Still, the fund management company could observe the objective of government＇ s goal and make tradeoff between the goal of government and its operation activity. Risk diversification becomes an implicit contract between control depart- ment and fund management company which can increase the probability to get funds-issued rights. The above strategy cannot increase the investment return as result.