【作者】 陶耿；

【导师】 张志超；

【作者基本信息】 华东师范大学 ， 世界经济， 2011， 博士

【摘要】 自1998年“新”证券投资基金诞生至今十二年来,我国基金市场的规模、品种类型、基金数量皆飞速增长,基金投资已经成为个体大众尤其是广大中青年一代分享中国经济高速成长的基本理财工具。伴随着基金市场如火如荼蓬勃发展,我国基金业在基础制度的建立健全方面也获得突飞猛进的进展。其中,《证券投资基金管理暂行办法》和《中华人民共和国证券投资基金法》确立了中国证券投资基金以信托为核心的契约型架构,《证券投资基金管理公司治理准则(试行)》确定了基金公司治理的一系列准则。但实践中,我国目前真正基于保护基金持有人合法利益的基金治理制度、机制却并未得到建立和健全,已有的部分基金治理的制度安排也未能有效地落实,保护基金份额持有人合法利益的根本目的没有达成。我国证券投资基金本质上是基于信托责任的契约型制度安排,展望未来,基金市场发展要想再上台阶,固然需要人均可支配收入和居民财富的不断增长,如何提升基金治理的制度安排水平以取信于投资人同样是一个重要的必要条件。只有深刻洞悉基金行业发展运作中的客观规律,扎扎实实地解决其中的重大问题,才能激发广大民众的投资激情。本文从总结我国当前基金市场尚存的不和谐现象入手,由现实中的不和谐而引入对其背后根源--基金投资人、基金管理人等权责关系制度设计,即基金治理层面问题的全面反思。全文架构在纵横两个维度上对契约型基金的基金治理问题进行系统细致的研究。在纵向这一维度上,除了定性总结问题外,定量计量了现有基金制度安排的各具体层面对于投资管理效率和绩效的正负影响效应程度；进而重点研究了基金基本制度设计中相关主体的利益实现机制之间互相勾稽、交织、博弈、作用,并最终传导生成系列经济效应的内在理论机理。他山之石可以攻玉,从横向角度,本文研究了世界主要基金治理体系发展的历史脉络、历次重大变革的效果及隐身其后之原因、当前的特点及其间优劣。最后,本文系统梳理了我国现有基金治理法律法规,提出了改善乃至重构我国现有基金治理结构的改革路径和步骤设计建议。在计量我国现有基金制度安排对于投资管理效率和绩效的正负影响效应程度方面,本文以我国全部基金公司2000年来的公开数据和对上海地区基金公司的调研数据为样本,分别运用pool(OLS)、one-way fixed effects panel regression、Ordered Logit Regression、主成份分析、主变量的平行分析等方法构建多个模型,对基金治理结构与投资管理绩效关系、基金投资换手率与基金治理结构的关系、基金费用安排(“软美元”)问题进行了计量检验,从实证效应角度检验我国基金治理结构对基金运作过程和结果的多方影响效应。在基金投资周转率与基金治理结构关系、基金业绩与基金治理结构关系、基金修正夏普率排名与基金治理结构的计量检验中,都发现了没有体现原假设应有计量关系效应的情形,反映出来的我国基金治理水平是不尽理想的。这些工作为进一步从理论上挖掘剖析我国基金治理水平不够理想的内在动因进而提出建议提供了逻辑起点。在基金基本制度设计中相关主体利益博弈实现机制的内在机理方面,本文梳理廓清了基金治理结构重要节点上的利益攸关方。将基金作为一个多层次委托系统,以博弈论为理论工具,详细解剖分析了各主要博弈层级运行现状中所涉及的种种弊病产生的深刻内在机理。主要发现包括：1、在现行固定薪酬制度下,无论单期还是动态多期博弈的情形,独立董事容易陷入“没有动力选择努力工作-股东继续邀请-独立董事接受聘约”的循环；2、对于基金托管人和管理人,设计完全信息静态、完全信息动态、不完全信息静态、不完全信息动态四种情形逐一细致分析,发现各情形下的博弈均衡策略均是基金托管人不仅无动力监督基金管理人,而且有刻意迎合基金管理人的要求甚至与基金管理人有合谋动机的内在机理；3、对于基金管理人股东、基金管理人高管和以基金经理为代表的核心团队人员的关系,剖析指出基金管理人高管的收益函数设计与基金经理的业绩激励函数设计、基金经理的业绩激励函数设计与基金投资人的目标皆存在明显的割裂和错位之处,构成了我国基金治理效果不够理想的重要内在原因。之后本文根据现状弊病剖析的结果,分别按新的基金治理结构设计思路重构了博弈关系,调整了博弈规则,并且同样运用博弈论方法证明,新的基金治理结构设计可以有效改善现有治理结构关键治理节点之间的蕴藏的主要缺陷,使得各方博弈主体的行为发生变化,从而达到提升基金治理利益的目标。这些被证明的主要结论为：1、“每期支付固定薪酬、合同期满后支付基金份额”、“固定薪酬+基金份额”且由投资人利益代表直接决定独立董事薪酬总规模,上述设计经过无论静态还是动态博弈结果都显示独立董事的最佳努力水平层层改进,且后两情形下的影响因素都较上一种制度假设条件少,并使得针对独立董事的激励机制设计更加简洁,效率更高；2、对现有的基金托管市场激励约束制度进行三方面的改进,使托管人会产生对管理人认真监督的内在动力；3、对于基金管理人股东-基金管理人高管-核心团队人员的博弈,笔者引入基金投资人代替基金管理人股东,进而借助“双基金投资人模型”构造了全面衡量基金投资人投资收益的目标收益函数,设计了以基金投资人投资“综合超额收益率”为基础核心的基金管理人高管收益函数,并更新了基金经理激励函数,证明了在新的博弈格局和博弈规则作用下可以产生种种治理利益的内在机理。在研究世界主要基金治理体系发展的历史脉络、历次重大变革效果及原因,以及当前的特点、优劣方面,从世界各著名经济体中选取了五个以契约型为其基金市场主要治理制度安排的发达和发展中国家(或地区)代表,比较了这些市场中跟基金治理制度安排有关的社会文化法律制度和基础资本市场发育历史轨迹、与基金治理结构相关的监管体系法律和监管体系特点(基金治理的外部环境),以及当前基金治理结构安排架构及各自特色。从这些样本国家笔者总结得出了对我国有一定借鉴性意义的三条规律性结论,它们是：第一,必须从法理源头上廓清契约当事人之间的关系性质。英美法系国家契约型基金治理所依赖的法律基础一般与大陆法系对信托的理解和构造有所差异,因而大陆法系在引入信托法的同时必须首先在本国法律框架内做许多改造,进而促进信托与已颁布法律的融合。否则,很容易产生法律的“裂隙”；第二,保护基金投资人利益,各国都将其作为设计基金治理结构和运作机制的核心指导思想,而且想方设法将该一思想“落到实处”。这里面日德、英国、我国香港、印度基金的治理特征演进体现了投资人利益保护机制逐步完善的历史递进过程。尤以我国香港、印度使投资人权利保障在组织制度上得到了最大程度的落实；第三,充分发挥当事人的主观能动性,以法制代替人制,有利于政府转变职能,使政府管理部门人力资源从疲于奔命中解放出来,显然是各国提升基金治理水平,提高基金治理监管效率的发展方向。在上述实证和理论研究的基础之后,本文最后结合实际廓清了我国基金治理各层面之基金持有人大会、基金管理人股东、高级管理人员、核心团队人员、独立董事、托管人、信息披露、法律法规等运行实际积弊的性质、特点、成因,之后从三大方面对优化基金治理提出了建议。其中在提出改进我国基金持有人利益保护机制的两个层次的思路及其优劣、创设我国基金投资人大会理事会的整套制度及运行机制、改革现有管理人激励机制、改革现有基金管理人高管激励模式和机制、推出基金“持基计划”和“持股计划”的具体制度设计、改革托管人准入、信息获取及托管费的决定主体、支付制度、独立董事的选任和履职期限、激励约束制度、影响我国基金治理制度优化的“信息披露”机制改进等等方面,着力颇多。更多还原

【Abstract】 Over the past 12 years since the birth of "new" securities investment funds in 1998, China’s fund market has witnessed a fast growth in terms of its size and the varieties and quantities of the funds. Fund investment has become a basic asset management tool for the general public, in particular the middle aged and young generation to share China’s rapid economic growth. With the dynamic development of the fund market, the establishment and improvement of the basic system of China’s fund sector have also made remarkable progress, in which "Interim Measures for Securities Investment Fund Management" and "PRC Securities Investment Fund Law" established the regulatory framework of China’s securities investment funds with trust as the core while "Governance Rules of Securities Investment Fund Management Companies (Trial)" identified a series of rules for the corporate governance of fund management companies. However in practice, the system and mechanism of fund governance based on the protection of fund holders’legal interests have not been established and improved in China currently and the existing institutional arrangements of fund governance are not implemented effectively, which fails to reach the fundamental goal of protecting the legitimate interests of unit holders.China’s securities investment funds are essentially institutional arrangements on a contractual basis based on fiduciary duty. Looking forward, the further development of the fund market undoubtedly requires the increasing growth of per capita disposable income and residents’wealth, but how to improve the level of institutional arrangements of fund governance in order to gain the trust of investors is also an important requisite. Only a deep insight into the objective laws of the development and operation of the fund sector and steady solution of material problems thereof can stimulate the investment passion of the general public.This Article starts with the summarization of the existing disharmonious phenomena in China’s current fund market and introduces from the practical disharmony a full rethink on its origins—the system design of powers and responsibilities between fund investors and fund managers, i.e. fund governance. The framework of this Article, in two dimensions, carries out a systematic and detailed research on the fund governance of contractual-type funds. In the longitudinal dimension, in addition to qualitative summary of the issues, it also carries out a quantitative measurement of the positive and negative effect that various aspects of the existing fund institutional arrangements imposed on the investment management efficiency and performance; then mainly studies on mutual articulation, interweaving, gaming and functioning among the interests implementation mechanism of the related parties in fund’s basic system design, and eventually transfers to generate a series of intrinsic theoretical mechanism with macro and micro economic effects. Advice from others may help one overcome one’s shortcomings. From the horizontal perspective, this Article studies the historical trace of the development of the world main fund governance system, the effect of the past significant changes and the hidden reasons, current features, advantages and disadvantages between them. At last, this Article systematically reviews the existing laws and regulations of China’s fund governance and puts forward the proposals to improve and reconstruct the reform path and design of steps of China’s existing fund governance structure.As for the measurement of the positive and negative effect that China’s existing fund institutional arrangements imposed on the investment management efficiency and performance, this Article, with the sample of the open data of China’s all fund companies since 2000 and research date for those fund companies in Shanghai, respectively using pool (OLS)、one-way fixed effects panel regression、Ordered Logit Regression、Component Analysis to build up multiple models, carries out measurement test on the relationship between fund governance structure and investment management performance, the relationship between fund investment turnover rate and fund governance structure, and fund fee arrangement ("soft dollar") as well as inspects the multi-effect of China’s fund governance structure on the process and results of the operation of funds from the positive effect perspective. As to the measurement test on the relationship between fund investment turnover rate and fund governance structure, the relationship between fund performance and fund governance structure, fund modified Sharp ratio rankings and fund governance structure, circumstances that fail to show the measurement effect of original hypothesis arise, which reflects that China’s fund governance level is not so satisfactory. All of these provide a logical starting point for further theoretical excavation and analysis on the intrinsic motivation of China’s unsatisfactory fund governance level and put forward proposals as well.In respect of the intrinsic mechanism of the implementation mechanism through interest game of the related parties in fund basic system design, this Article reviews and clarifies the stakeholders on the important node of the fund governance structure. Regarding fund as a multi-level commission system, with the theory of game as the theoretical tool, this Article analyzes in detail the profound intrinsic mechanism resulting from various maladies relating to the running status of the main game levels. The key discoveries are as follows:1. under the existing fixed remuneration system, in case of either single period or dynamic multi-period game, independent directors are easy to fall into the circle of "no motivation to work hard-shareholders continue to invite-independent directors accept the engagement"; 2. for fund custodians and fund managers, to design such four cases as complete static information, complete dynamic information, incomplete static information, incomplete dynamic information and to analyze in detail each case, it turns out that the game equilibrium strategy under each case is that fund custodians not only have no motivation to inspect fund managers, but also have internal mechanism of deliberately meeting the requirements of fund managers and even collusion motivation with fund managers; 3. for the relations of the shareholders of fund managers, senior officers of fund managers and the core team members represented by portfolio managers, it analyses and points out that there exist obvious fragmentations and dislocations between the income function design of the senior officers of fund managers and performance incentive function design of portfolio managers, performance incentive function design of portfolio managers and the objectives of fund investors, which constitutes an important inner reason that the effect of China’s fund governance is not satisfactory. According to the results of analysis of current maladies, this Article reconstructs game relations and adjusts the game rules in accordance with new fund governance structure design ideas and also uses the method of game theory to demonstrate that the new fund governance structure design can effectively improve the main underlying defects between the key governance nodes of the existing governance structure, making various parties to the game change their behaviors to reach the goal of enhancing the interests of fund governance. The conclusions proved are: 1. in the framework of further improvement of system that "paying fixed remuneration periodically and paying fund units after the expiration of the contract", "fixed remunerations+fund units" and the interest representatives of investors making direct decision on independent directors’total remuneration size, game results, whether static or dynamic, show the cumulative improvement of the best efforts level of independent directors and the influencing factors of the latter two cases are less assumptions than the former system and making incentives mechanism design for independent directors more simple and efficient; 2. improving the existing incentive and restraint system of fund custody market to make custodians have inner motivation to monitor managers carefully; 3. for the game among shareholders of fund managers-senior officers of fund managers-core team members, the writer introduces fund investors to replace shareholders of fund managers, and thus by means of "dual fund investor model" constructs target revenue function to make comprehensive measurement of the investment income of fund investors, and designs the income function of fund managers centering on "comprehensive excess rate of return" of the investment of fund investors, and updates the incentive function of portfolio managers and proves the intrinsic mechanism that can generate various governance interests under the new game structure and rules.In respect of studies on the historical trace of the development of the world main fund governance system, the effect of the past significant changes and the hidden reasons, current features, advantages and disadvantages, the writer chooses five developed and developing countries (or regions) as representatives from the world’s famous economic entities which use the contractual-type as their main governance system for fund markets and compares these markets with social, cultural and legal system and historical trace of the development of basic capital market relating to fund governance institutional arrangement, with the laws and features of regulatory system relating to fund governance structure, as well as the framework and respective characteristics of the current existing fund governance structure. From these sample countries the writer reaches three regular conclusions which have certain reference value for China as follows:first, it must clarify the nature of relationship between parties to a contract from the legal source. The legal basis on which common law system countries’ contractual-type fund governance is relied is generally different from the understanding and structure of trust of civil law system, as a result civil law system countries must make a lot of reform within their legal framework when introducing trust law in order to promote the integration of the trust and enacted laws. Otherwise, legal "crack" will easily turn up; secondly, in respect of protecting the interests of fund investors, all countries make it as the core guiding ideology when designing fund governance structure and operation mechanism and try everything to carry out in practice. In this regard, the evolution of the fund governance characteristics in Japan, Germany, Hong Kong and India shows the historical gradual process of the gradual improvement of investors’interests protection mechanism. Especially in Hong Kong and India, the protection of the rights of investors is carried out in practice to the maximum extent; thirdly, giving full play to the subjective initiative of parties, under the rule of law instead of the rule of man, which is conducive to the transformation of government functions and makes human resources of government authorities free from being weighed down with work, is obviously the development direction for all countries to enhance fund governance level and to improve the regulatory efficiency of fund governance.After the above positive and theoretical research, in the end, this Article clarifies, combining with the reality, the actual nature, feature, cause of operational maladies in various levels of China’s fund governance regarding the general meeting of fund holders, shareholders of fund managers, senior officers, core team members, independent directors, custodians, information disclosure and relevant laws and regulations and afterwards puts forward proposals to optimize fund governance from three major aspects. Of those proposals, the writer puts forth much force on the following:proposal of an idea to improve the two levels of protection mechanism for the interests of China’s fund holders and its advantages and disadvantages, creating a complete set of system and operational mechanism for the council of the general meeting of fund investors, reform of the existing incentive mechanism of managers, reform of the existing incentive model and mechanism of senior officers of fund managers, launch of the specific system design of "fund holding plan" and "share holding plan" of funds, reform of access of custodians, information access and decision-maker of custody fees, payment system, appointment of independent directors and terms of office, incentive and restraint mechanism and improvement of "information disclosure" mechanism which affects China’s optimization of fund governance system, etc.更多还原