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1、I湖 南 大 学学位论文原创性声明本人郑重声明：所呈交的论文是本人在导师的指导下独立进行研究所取得的研究成果。除了文中特别加以标注引用的内容外，本论文不包含任何其他个人或集体已经发表或撰写的成果作品。对本文的研究做出重要贡献的个人和集体，均已在文中以明确方式标明。本人完全意识到本声明的法律后果由本人承担。作者签名：日期： 年 月 日学位论文版权使用授权书本学位论文作者完全了解学校有关保留、使用学位论文的规定，同意学校保留并向国家有关部门或机构送交论文的复印件和电子版，允许论文被查阅和借阅。本人授权湖南大学可以将本学位论文的全部或部分内容编入有关数据库进行检索，可以采用影印、缩印或扫描等复制手段
2、保存和汇编本学位论文。本学位论文属于1、保密，在_年解密后适用本授权书。2、不保密。（请在以上相应方框内打“” ）作者签名：日期： 年 月 日导师签名：日期： 年 月 日硕士学位论文II摘 要中国基金行业的迅猛发展，让人们面临一个理解中国基金行业在中国经济中的重要作用的基础性问题：基金行业的规模效应。具体而言，也就是基金和基金家族管理的资产规模如何影响基金业绩。深入地研究这个问题，对投资者、基金业绩持续性问题、投资者和基金管理公司之间的委托代理关系以及基金管理人的报酬和激励机制的设计都具有重要意义。本文旨在研究基金规模和基金家族规模对基金业绩的影响的异质性，以此探讨基金规模和基金家族规模对基金
3、业绩的影响机理。本文认为，人们对企业本质的深入探讨和研究分析是推动基金业绩和规模的相关性理论不断前进和发展的内在动力。因此，本文将基金业绩和规模的相关性理论梳理为基于新古典理论的流动性假说，基于委托代理框架的管理能力假说以及基于交易成本经济学的软信息假说。本文使用从2005年6月到2009年12月的中国偏股型开放式共同基金作为样本，通过实证分析后发现在使用各种业绩基准组合进行风险调整和考虑基金费用的情况下，基金业绩和滞后一期的基金规模始终负相关，和滞后一期的基金家族规模始终正相关。最后本文探讨了基金业绩和规模的相关性理论在中国共同基金行业的适用性，依次对三大假说进行了实证检验。实证结果发现流动
4、性假说和管理能力假说均不能够解释中国基金业绩和规模的相关性，而基于交易成本经济学的软信息假说是基金业绩和规模相关性的主要原因。软信息假说的三个推论也得到了实证检验：基金业绩和基金经理数量负相关；明星基金的业绩和基金规模没有相关性，和基金家族规模依旧正相关，但是明星基金的业绩和基金经理数量的负相关性增强；基金的最优规模是变化的。关键词：基金业绩；基金规模；基金家族；软信息假说基金业绩和规模的相关性及其影响机理研究IIIAbstractThis paper investigates how fund size and fund family size influence fund performa
5、nce differently. And then this paper tries to explore the mechanism behind the heterogeneity of the influence. With rapid progress of mutual funds in China, people must tackle an issue that is fundamental to understanding the role of these mutual funds in Chinese economy - the economies of scale in
6、the mutual fund industry. Namely, how does performance depend on the size or asset base of the fund and the fund family? A better understanding of this issue would naturally have profound implications for investors, the issue of the persistence of fund performance, the agency relationship between ma
7、nagers and investors and the optimal compensation contract between them.I believe that thorough understanding of the economic nature of enterprises is the internal force driving the theories of the relationship between fund performance and fund size continuously moving ahead. Therefore this paper cl
8、asses the theories of the relationship between fund performance and fund size as follows: the Liquidity Hypothesis based on the Neo-Classical Theory, the Management Capability Hypothesis based on the Principal - Agency Framework and the Soft Information Hypothesis based on the Transaction Cost Econo
9、mics. With the data of Chinese open-ended stock mutual funds which spans June 2005 to December 2009 as the sample, this paper documents that fund returns, both before and after fees and expenses, always decline with lagged fund size and increase with lagged fund family size, even after accounting fo
10、r various performance benchmarks. Finally, this paper explores the applicability of the theories of the relationship between fund performance and fund size in the mutual fund industry in China and empirically examines the three hypotheses. Empirical results indicate that the Liquidity Hypothesis and
11、 the Management Capability Hypothesis cannot explain the relationship between fund performance and fund size in China, and the relationship is due to the Soft Information Hypothesis based on the Transaction Cost Economics. The three inferences from the Soft Information Hypothesis are also been empir
12、ical examined: with the number of fund managers increasing, fund performance declines; a star funds performance is not correlated with its size, and is still positively correlated with its fund family size, but the star funds performance is more sensitive to the number of fund managers than a general fund; the optimal fund size is changing.硕士学位论文IVKey Words: Fund Performance; Fund Size; Fund Family; Soft Information Hypothesis基金业绩和规模的相关性及其影响机理研究V目 录学位论文原创性声明和学位论文版权使用授权书.I摘 要.IIAbstract.III插图索引.VII附表索引.VIII第 1 章 绪 论.11.1 选题背景及意义.11.1.1 选题背景.11.1.2 选题意义.31.2 文献综述.
