从基金竞次看居高不下的基金费率——基于空间计量模型的研究Race to Bottom and the High Expense Ratio of the Funds——Evidence from Spatial Econometrics Model
宗庆庆,左大勇,陈杰
摘要(Abstract)：
基金费率一直居高不下,一定程度上降低了我国基金盈利能力和吸引力。本文试图探究高基金费率的背后原因。文章通过2009—2011年347只开放式基金的数据,采用空间计量方法对基金销售支出的策略互动行为进行研究。实证结果表明,为了争取有限的销售渠道,基金在渠道费用方面存在着显著的互补型策略互动行为。"邻居"基金加权平均渠道费用支出增加1单位,会带来本基金的支出增加0.6单位左右。基金对有限的销售渠道的竞争,推高了支付给银行的渠道费用,阻碍了基金费率的合理下调。本文研究结果表明,拓宽基金的销售渠道有助于降低基金的运行成本,增加投资者财富,对基金业的健康发展具有十分重要的作用。
关键词(KeyWords)： 基金费率;渠道费用;空间计量;策略互动
基金项目(Foundation): 中国博士后科学基金资助项目(2014T70001)资助
作者(Author): 宗庆庆,左大勇,陈杰
DOI: 10.16513/j.cnki.cje.2015.01.004
参考文献(References)：
- 戴晓燕,王滨.2006.美国共同基金费率体系设计的趋势研究[J].新金融,(10):52-54.
- 陈楚.2011-01-17.新基金发行盲目扩张面临三大困惑[N].证券时报.
- 程俊琳.2012-07-26.销售市场江山难撼新基金托管回归大行[N].证券时报.
- 冯金余.2009.开放式基金赎回与业绩的内生性——基于中国动态面板数据的分析[J].证券市场导报,(3):28-34.
- 李科,陆蓉.2011.投资者有限理性与基金营销策略——基金大比例分红的证据[J].管理世界,(11):39-48.
- 李志生,徐谦,刘淳.2013.营销投入与基金资金流动——基于中国开放式基金的经验证据[J].清华大学学报(自然科学版),53(9):1192-1201
- 陆蓉,陈百助,徐龙炳等.2007.基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究[J].经济研究,(6):39-50.
- 王贺嘉,宗庆庆,陶佶.2013.竞次到底:地市级政府工业用地出让策略研究[J].南方经济,(9):37-51.
- 肖峻,石劲.2011.基金业绩与资金流量:我国基金市场存在“赎回异象”吗?[J].经济研究,(1):112-125.
- 杨坤,曹晖,宋双杰.2013.基金业绩与资金流量:明星效应与垫底效应[J].管理科学学报,16(5):29-38.
- 张建江,周长鸣.2009.开放式基金赎回问题的再研究[J].工业技术经济,(01):154-157.
- 周黎安.2007.中国地方官员的晋升锦标赛模式研究[J].经济研究,(7):36-50.周亚虹,宗庆庆,陈曦明.2013.财政分权体制下地市级政府教育支出的标尺竞争[J].经济研究,(11):127-139.
- 宗庆庆.2013.中国工业企业R&D投入的策略互动行为研究[J].财经研究,(10):46-59.
- Barber B M,Odean T,Zheng L.2005.Out of sight,out of mind:The effects of expenses on mutual fund flows[J].The Journal of Business,78(6):2095-2119.
- Bergstresser D,Poterba J.2002.Do after-tax returns affect mutual fund inflows?[J].Journal of Financial Economics,63(3):381-414.
- Brueckner J K,Saavedra L A.2001.Do local governments engage in strategic property-tax competition?[J].National Tax Journal,54(2):203-229.
- Capon N,Fitzsimons G,Prince R.1996.An individual level analysis of the mutual fund investment decision[J].Journal of Finance,(10):59-82.
- Chen J,Hong H,Huang M,et al.2004.Does fund size erode mutual fund performance?The role of liquidity and organization[J].The American Economic Review,94(5):1276-1302.
- Chevalier J,Ellison G.1999.Are some mutual fund managers better than others?Cross-sectional patterns in behavior and performance[J].The Journal of Finance,54(3):875-899.
- Cooper M J,Gulen H,Rau P R.2005.Changing names with style:Mutual fund name changes and their effects on fund flows[J].The Journal of Finance,60(6):2825-2858.
- Del Guercio D,Tkac P A.2002.The determinants of the flow of funds of managed portfolios:Mutual funds vs.pension fund[J].Journal of Financial and Quantitative Analysis,37(4):523-557.
- Dellva W L,Olson G T.1998.The relationship between mutual fund fees and expenses and their effects on performance[J],Financial Review,33(1):85-104.
- Fama Eugene F,French Kenneth R.2010.Luck versus skill in the cross-section of mutual fund returns[J].The Journal of Finance,65(5):1915-1947.
- Ferris S P,Chance D M.1987.The effect of 12B-1 plans on mutual fund expense ratios:A note[J].The Journal of Finance,42(4):1077-1082.
- Ippolito R A.1992.Consumer Reaction to Measures of Poor Quality:Evidence from the Mutual Fund Industry[J].Journal of Law and Economics,35(1):45-70.
- Jain P C,Wu J S.2000.Truth in mutual fund advertising:Evidence on future performance and fund flows[J].The Journal of Finance,55(2):937-958.
- Jensen M C.1969.Risk,The Pricing of Capital Assets,and the Evaluation of Investment Portfolios[J].Journal of Business,24(5):167-247.
- Kacperczyk M,Sialm C,Zheng L.2005.On the industry concentration of actively managed equity mutual funds[J].The Journal of Finance,60(4):1983-2011.
- Kelejian H H,Prucha I R.1998.A generalized spatial two stage least squares procedure for estimating a spatial autoregressive model with autoregressive disturbances[J].Social Science Electronic Publishing,17(1):99-121.
- Khorana A,Servaes H.2004.Conflicts of Interest and Competition in the Mutual Fund Industry[OB/OL][201502-09].Social Science Electronic Publishing.http://ssrn.com/abstract:240596.
- Lee L,Yu J.2010.Estimation of spatial autoregressive panel data models with fixed effects[J].Journal of Econometrics,154(2):165-185.
- Nanda V K,Wang Z J,Zheng L.2004.Family values and the star phenomenon;strategies of mutual fund families[J],Access and Download Statistics,17(3):667-698.
- Sirri E R,Tufano P.1998.Costly search and mutual fund flows[J].The Journal of Finance,53(5):1589-1622.
- Shukla R.2004.The value of active portfolio management[J].Journal of Economics and Business,56:331-346.
- Wermers R.2000.Mutual fund performance:An empirical decomposition into stockpicking talent,style,transactions costs,and expenses[J].The Journal of Finance,55(4):1655-1703.
- Yankow J J,Smythe T I,Lesseig V P,et al.2011.The impact of advertising on fund flows in alternative distribution channels[J].International Journal of Financial Research,2(1):2-22.
- ①目前我国同类型的基金收费几乎一样,比如主动管理的股票型基金95%以上都收取1.5%的管理费。
- ①包含各类基金,股票型基金、混合型基金和债券型基金,考虑到QDII基金、保本型基金和货币型基金数量和性质等方面的差异,予以去除。
- ①此处所用数据包括wind数据库中全部基金(除QDII、保本型等其他类型基金)。
- ②此处与描述性统计中存在差异的原因是图中所用的数据包含的基金样本大于本文实证的样本。
- ①本文实证研究中汇报的是变换法(transformation approach)最大似然估计结果,参看Lee and Yu(2010)。
- ②基金之间的竞争关系,主要是来自同类型的基金,而且Yankow et al(2011)也发现广告对于不同类型基金的资金流入的影响并不相同。
- ①个体效应F检验统计量为19.65,p值为0.00;Hausman检验统计量服从自由度为1的卡方分布,卡方统计量为71.74,p值为0.00。