中国封闭式基金规模经济问题的面板数据分析

The Economies of Scale for China's Closed-end Funds:A Panel Data Analysis

本文运用非平衡面板数据的计量方法,利用33只封闭式基金1999～2002年的93个有效年度数据并借鉴学术界通用的对数转换模型对我国封闭式基金的规模经济问题进行了较为深入的实证考察。本文的主要结论如下:第一,在小型基金、大型基金和全体样本基金三个分组中,基金平均费用存在完全不同的水平和趋势;第二,在大型基金组中,我们发现了显著的规模经济,相反,在小型基金中则存在明显的规模不经济;第三,对所有样本基金进行考察,其费用弹性的估计值小于1,这说明我国封闭式基金总体上存在规模经济;第四,代表性封闭式基金的平均成本曲线在所有样本基金净资产范围内是随其增加而下降的,而平均费率值在约50亿元处取最小值,国内目前还没有净资产超过这一规模的封闭式基金,因而我国封闭式基金在管理上还有很大潜力可挖。

This paper empirically investigates the economies of scale for closed-end funds using a translog expenses function.Here we use non-balanced pand data technique to analynize 93 valid datas of 33 close- end funds from 1999 to 2002.The main findings are: Firstly,important differences in levels and trend for average expenses have been found across the different fund groups.Secondly,important economies of scale in large funds are found,as well as a few economies of scale in full funds and important diseconomies of scale in small funds.Thirdly,when scale economies are calculated for the whole fund sample,the estimator of the expense elasticity is less than one. This implies the existence of scale economies in china's close-end funds.Finally,the average cost curve of a typical fund is downward sloping over nearly the entire range of fund assets.Average expense ratio is minimized at about RMB 5 billion in assets.No closed-end funds are so large and there is much potential to improve management of china's close-end funds.