固定费率与业绩报酬激励机制影响基金风险承担的比较研究

Comparative Research on the Impact of Fixed Fee Rate and Performance Pay Incentive Mechanism on Fund Risk Taking

在委托代理的框架下,从理论上研究了固定费率与业绩报酬激励机制对基金风险承担的影响,并分四种情况利用数值模拟的方法比较分析了基金承担风险的大小,发现费率参数的设计对基金承担风险的激励有着重要的作用。受限于中国基金市场中的数据,采用EGARCH模型实证研究了四种情况中的一种,即固定费率相同的情况下业绩报酬激励机制具有更大的风险承担激励,经验数据支持这个理论研究结论。最后,针对理论和实证研究结论,对中国基金激励机制的设计提出了几点建议。

Under the principal - agent framework, this paper theoretically studies the impact of fixed fee rate and perform-ance pay incentive mechanism on fund risk taking. It uses numerical simulation method to comparatively analyze fund risk taking by sub - four eases, and finds that the design of fee rate parameters plays an important role. Limited by the data in the China fund market, it uses EGARCH model to empirically study the one of four conditions that performance pay incen- tive mechanism has a greater risk - taking incentive than fixed fee rate incentive mechanism if they have an equal fixed fee rate, which is proved by the empirical findings. Finally, based on the theoretical and empirical findings, a few suggestions are made to design the fund incentive mechanism in China.