摘要
本文探讨我国证券投资基金的隐性激励问题。首先从基金管理费的名义契约推导出实际契约,并从理论上证明了基金持有人的惯性行为会对实际契约产生影响。在接下来的实证检验中,通过对开放式和封闭式基金实际契约的比较研究,实现了对隐性激励程度的度量,并揭示了我国基金行业中"历史业绩——持有人行为——基金规模——管理人收入"的隐性激励作用机制。在此基础上,本文尝试将可测度的隐性激励显性化到基金薪酬契约之中,从基金与持有人互动的视角来优化薪酬契约。
The paper focuses on the implicit incentive of China＇s securities investment fund. Firstly, an actual compensation contract is derived from nominal management fee contract, and the momentum behavior of fund holders is proved theoretically to influence this actual contract. Secondly, the paper empirically and quantita- tively measures the degree of implicit incentive by comparative analysis between the actual contract of open-end fund and close-end fund. The empirical results also find out the mechanism of implicit incentive. Finally, the paper tries to parameterize the implicit incentive in the compensation contract, in order to optimize the contract in the context of interaction between fund and fund holder.
出处
《金融研究》
CSSCI
北大核心
2011年第10期185-197,共13页
Journal of Financial Research
基金
国家自然科学基金研究课题阶段性成果
项目批准号:71171118
关键词
证券投资基金
隐性激励
契约优化
Securities investment fund, Implicit incentives, Contract optimization
