基金销售市场双边道德风险、理财经理过度自信与投资者利益保护

Fund Investor Protection Based on Double-side Moral Hazard in Fund Sale Market and Broker's Overconfidence

将行为金融理论引入基金投资者利益保护研究,构建基金销售市场中的行为委托代理模型,考察固定报酬激励方式和销售佣金激励方式下,基金管理公司与理财经理之间的双边道德风险问题,探究投资者利益受损的深层原因,揭示过度自信对投资者利益保护机制设计产生的影响。结果表明,基金管理公司与理财经理之间存在由双边道德风险问题引发的相互"搭便车"现象,双方的投入程度均与对方的投入程度呈反方向变动,与监管部门对对方的处罚力度亦呈反方向变动。并且,过度自信能够促使理财经理提高努力水平,监管部门对理财经理的处罚力度应随其过度自信程度的提高而降低,但同时为防范"搭便车"行为,应加大对基金管理公司的处罚力度,以保证对投资者所遭受的损失给予最大限度补偿。

Open-end mutual funds have increased dramatically in China. How to protect the interests of fund investors effectively is an urgent issue for financial regulators to solve today. This paper focuses on fund investor protection based on double-side moral hazards in fund sale market and broker＇s overconfidence. In this paper, we combine the research of investor protection with behavioral finance theory, and set up a behavioral principal-agent model in fund sale market from the view of the supply side. In our analysis, we focus on the double-side moral hazard problem in fund sale market between fund management companies who develop products and an overconfident broker who sell products. The objective of this paper is to explore the underlying causes of fund investors＇ losses, and investigate the effect of brokers＇ overconfidence on the design of investor protection mechanism.The model that we analyze proceeds as follows. We take a fund management company who is responsible for developing financial products to be the principal, and an overconfident broker who is responsible for distributing the products to the public by providing advice to potential clients as the agent. The company has responsibility to provide good quality opportunities for fund investors, and higher quality to increase the probability that investors can benefit from making a purchase. The broker＇s job is to sort consumers and make recommendations based on a noisy signal about their type. In the condition of information asymmetry, how the company and biased broker fulfill their responsibilities is unobservable. Market participants face coordination problems that arise in settings with double-sided moral hazards. The authorities set a regulation that holds the company and the broker responsible when an investor does not make a right investment decision. This may happen if an investor incorrectly purchases inappropriate products. In our model, the penalty that the regulation dictates is set optimally based on the incentives that the company and the broker are expected to have when choosing their optimal actions. In the meanwhile, the optimal regulation is set to maximize total welfare in the market. The results show that the fund management company and the broker have a tendency to free ride on each other＇s effort provision due to double-sided moral hazard. Increasing penalties to each party not only increases her own effort, but also decreases its counterparty＇s incentives to offer better services because of free riding. Thus, the regulation must consider not only the direct influence that penalties have on the company＇s or broker＇s actions, but also the indirect influence they have result from double-sided moral hazard. Moreover, we find that the broker tends to exert more effort under the influence of overconfidence. Thus, penalty placed on the biased broker should be decreased. At the same time, in order to prevent free-riding problem and give investors the maximum compensation, the government should increase the penalty to the fund management company. In the end the validity of conclusions is illustrated through case studies. Our paper bridges the literatures of investor protection, double-side moral hazard and those on overconfidence in fund sale markets. This paper also contributes to a growing theoretical research on household finance and delegated portfolio management.