【作者】 李超；

【导师】 郭建军；

【作者基本信息】 西南财经大学 ， 应用统计， 2014， 硕士

【摘要】 基金作为一种间接理财工具,因为其专业管理、利益共享、风险共担等优点,自诞生之日起就受到了广大投资者的青睐。2001年,我国发行了第一只开放式基金,基金公开募资的阶段拉开了序幕。2003年第十届全国人民代表大会常务委员会第五次会议审议通过了《中华人民共和国证券投资基金法》,基金业健康公正的法律环境得到了保障,为我国基金行业的快速发展扫清了道路。据中国证券投资基金协会统计,截止2013年,我国公募基金公司已达到87家。随着“大资管”概念的兴起,我国的基金行业迎来了新一波的发展浪潮,专家预计到2014年末,我国的公募基金公司有望突破100家。通过多年的研究,人们已经逐步认识到股权结构能够在决策效率、监督成本、人事变动等方面对公司的经营绩效产生重要影响。基金公司作为一类特殊形式的服务型企业,股权结构与一般的生产型企业有着较大的不同。我国的基金公司均为有限责任制,股权掌握在少数企业法人手中,股权集中度高,股权变动较为频繁,再加之近年来国外资本入股基金公司、拥有银行背景的基金公司相继成立、非金融性企业控股基金,我国基金公司的股权结构与一般上市公司以及国外基金公司有着很大的不同。我国基金公司的经营绩效是否会像一般上市公司一样受到股权结构的影响?这一问题不免引起投资者的关心。为了弄清这一问题,本文以我国基金行业的发展现状开篇,介绍了前人关于股权结构对于基金绩效影响的现行成果。然后比较分析了包括净值增长率、Sharpe指数、Treynor指数、Jensen指数等不同的基金绩效衡量方法,并介绍了通过T-M模型、H-M模型衡量基金择时、择股能力的原理。在实证分析方面,文章分别采用净值增长率、Sharpe指数、Treynor指数、Jensen指数、T-M模型择股指标、T-M模型择时指标作为衡量基金绩效的被解释变量；采用第一大股东持股比例、前两大股东持股比例、前三大股东持股比例、Herfindahl指数、基金公司股东数量、第一大股东与第二大股东持股比例的比值、外资持股比例、金融机构持股比例、国企持股比例作为解释变量；通过检验回归方程系数的显著性,探究股权集中程度、股东性质对于基金公司经营绩效的影响。最后,运用主成分分析法,建立基金绩效的综合评价指标,通过股权结构的各个指标对综合指标进行回归,验证前面结论的有效性。经实证分析发现,文章得出四个结论：第一,我国基金公司股东数量较少,股权结构简单,股权集中度高。第二,第一大股东控股优势明显、股权集中程度较高的基金公司绩效较好。第三,国企所带来的“帮助之手”效应会对基金公司的经营绩效产生正的影响。第四,外国资本、金融机构的持股比例未能向预期一样对基金公司的经营绩效产生明显的影响。更多还原

【Abstract】 As an indirect investment tool, fund is characterized by its professional management, benefit-sharing and low risk mechanism. It received the popularity of investors once introduced to the market. China issued the first open-end fund in2001and the authority passed the Fund Law of People’s Republic of China in2003.From then on, fund industry benefits from the healthy and fair environment which lends to a ten-year-long prosperity in China’s financial market. According to the China Association of Securities Investment Fund, the number of China’s public fund company has reached87and is estimated to exceed100by the year2014.Through years of research, people have gradually realized the shareholding structure exerts significantly effects on a company’s decision-making efficiency, supervision cost and personnel stability. As a special form of company, a fund company’s shareholding structure is greatly different from a normal company. All the Chinese fund companies are limited liability companies. Corporate equity is concentrated in the hands of a small number of shareholders. In recent years, foreign capital, bank, non-financial enterprises begin to invest Chinese fund companies. As a result, the ownership concentration is extremely high and the ownership structure has been fluctuating all the time. Thus, Investors are eagerly concerned about one question:Does the ownership structure affect the performance of a fund company?This paper begins with the development of China’s fund industry and introduces the previous achievements on ’How can the ownership structure affect the performance of the Fund’. Then the paper introduces different ways to measure fund performance including net asset growth, Sharpe ratio, Treynor index, Jensen index.As for fund companies’stock picking ability and market-enter ability, the paper introduces T-M model and H-M model. After this, the paper continues to do the econometric analysis. Net asset growth, Sharpe ratio, Treynor index, Jensen index, T-M stock picking ability a and market-enter ability β are chosen as the dependent variable. Proportion of the largest shareholder, proportion of the top two shareholders, proportion of the top three shareholders, Herfindahl index, shareholder numbers, Z index, proportion of foreign capital, proportion of financial enterprises, proportion of state-owned enterprises are selected as the independent variables. By examining the significance of linear regressions’ coefficients, we explore how shareholding structure influent corporate performance. Finally, we establish comprehensive index by using the method of principal component and verify the validity of the preceding conclusions.According to the econometric results, four conclusions are made:Firstly, the number of shareholder is not as many as normal company and the ownership concentration is extremely high. Secondly, these fund companies whose largest shareholders absolutely control the company tend to have better performance. Thirdly, state-owned enterprises exert positive effects on fund companies. Fourthly, the proportion of foreign capital or financial enterprise won’t influent the fund company as expected.更多还原