基金赚钱与投资者亏钱现象为何并存?——基于共同代理的理论解释  

What Leads to the Coexistence between“Funds Making Money”and“Investors Losing Money”?-A Theoretical Explanation Based on Common Agency Theory

作　　者：李学峰 齐霄 徐荣 LI Xuefeng;QI Xiao;XU Rong(School of Finance,Nankai University,Institute of Chinese Path to Modernization,Nankai University;School of Public Affairs,Zhejiang University,Happy City Research Institute,Hangzhou City University)

机构地区：[1]南开大学金融学院/中国式现代化发展研究院,天津300350 [2]浙江大学公共管理学院/浙大城市学院幸福城市研究院,浙江杭州310015

出　　处：《金融研究》2024年第4期113-131,共19页Journal of Financial Research

摘　　要：现实基金市场中常见到“买基金不赚钱”、甚至“基金赚钱投资者亏钱”并存的现象。本文从共同代理视角,构建了契约型基金运作过程中基金管理公司、基金持有人与基金经理的利益关系与博弈模型,首次对这一现象给出了模型化解释:基金经理、基金管理公司的行为选择,取决于基金持有人的申购—赎回行为特性;当持有人理性或有限理性时,三方净收入与基金业绩均正相关,基金经理将努力获得正的基金收益;当持有人非理性时,基金经理和基金管理公司的净收入与基金业绩负相关,基金经理与基金管理公司将选择“维持”业绩与增发产品,产生“买基金不赚钱”、“基金赚钱投资者亏钱”并存的现象。本文通过数值模拟验证了上述理论模型,提出将投资者教育辐射至基民以增加其投资理性程度、适时试点具有中国式特征的公司型基金组织形式等政策建议。Mutual fund is a popular financial instrument that a few professionals serve most non-professionals for operating funds to earn higher returns,but it is often complained by lots of fund holders that“funds make money while investors lose money”.Intuitively,in 2022,there are over 10,000 mutual funds with total size over 26 trillion yuan(21.5%of China's GDP that year)in China.Among them,all the stock funds and stock-oriented hybrid funds earned over 1.5 billion average weighted net profit themselves while made about-18.23%average weighted return for their fund holders.Existing research has worked on explaining this phenomenon,criticizing fund holders'irrationality as the main reason.But this only explains why investors lose money,as it ignores the fact that the interest between fund holders,fund managers as well as fund management companies should have been highly consistent due to funds'mechanism.Moreover,most papers,affected by the corporate-based form in the US,take fund management companies and fund managers,or fund management companies and fund holders,as a whole and investigate their relationship,while ignoring the truth that fund management companies and fund holders have heterogenous incentives on fund managers under the form of contractual fund in China.In view of this,based on the common agency theory(multi-principals vs.one agent),we constructed a game model that describes the interests,incentives and behavior among fund management companies,fund managers and fund holders in China.The general framework is as follows:(1)Fund holders'income is determined by fund's performance;fund management companies'income is determined by fund's size(fixed management fee rate);fund managers'income is determined by both fund's size(scale-based compensation)and fund's performance(performance-based compensation).(2)Fund's size is determined by fund holders'purchasing and redemption,and fund holders'purchasing and redemption are determined by their“rationality”(how they react to fund's last-period performance).(3)Fun

关 键 词：基金管理公司 基金持有人 基金经理 行为选择 契约型基金治理 

分 类 号：F832.51[经济管理—金融学]