基金销售市场双边道德风险、理财经理过度自信与投资者利益保护
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摘要
将行为金融理论引入基金投资者利益保护研究,构建基金销售市场中的行为委托代理模型,考察固定报酬激励方式和销售佣金激励方式下,基金管理公司与理财经理之间的双边道德风险问题,探究投资者利益受损的深层原因,揭示过度自信对投资者利益保护机制设计产生的影响。结果表明,基金管理公司与理财经理之间存在由双边道德风险问题引发的相互"搭便车"现象,双方的投入程度均与对方的投入程度呈反方向变动,与监管部门对对方的处罚力度亦呈反方向变动。并且,过度自信能够促使理财经理提高努力水平,监管部门对理财经理的处罚力度应随其过度自信程度的提高而降低,但同时为防范"搭便车"行为,应加大对基金管理公司的处罚力度,以保证对投资者所遭受的损失给予最大限度补偿。
Open-end mutual funds have increased dramatically in China. How to protect the interests of fund investors effectively is an urgent issue for financial regulators to solve today. This paper focuses on fund investor protection based on double-side moral hazards in fund sale market and broker's overconfidence. In this paper, we combine the research of investor protection with behavioral finance theory, and set up a behavioral principal-agent model in fund sale market from the view of the supply side. In our analysis, we focus on the double-side moral hazard problem in fund sale market between fund management companies who develop products and an overconfident broker who sell products. The objective of this paper is to explore the underlying causes of fund investors' losses, and investigate the effect of brokers' overconfidence on the design of investor protection mechanism.The model that we analyze proceeds as follows. We take a fund management company who is responsible for developing financial products to be the principal, and an overconfident broker who is responsible for distributing the products to the public by providing advice to potential clients as the agent. The company has responsibility to provide good quality opportunities for fund investors, and higher quality to increase the probability that investors can benefit from making a purchase. The broker's job is to sort consumers and make recommendations based on a noisy signal about their type. In the condition of information asymmetry, how the company and biased broker fulfill their responsibilities is unobservable. Market participants face coordination problems that arise in settings with double-sided moral hazards. The authorities set a regulation that holds the company and the broker responsible when an investor does not make a right investment decision. This may happen if an investor incorrectly purchases inappropriate products. In our model, the penalty that the regulation dictates is set optimally based on the incentives that the company and the broker are expected to have when choosing their optimal actions. In the meanwhile, the optimal regulation is set to maximize total welfare in the market. The results show that the fund management company and the broker have a tendency to free ride on each other's effort provision due to double-sided moral hazard. Increasing penalties to each party not only increases her own effort, but also decreases its counterparty's incentives to offer better services because of free riding. Thus, the regulation must consider not only the direct influence that penalties have on the company's or broker's actions, but also the indirect influence they have result from double-sided moral hazard. Moreover, we find that the broker tends to exert more effort under the influence of overconfidence. Thus, penalty placed on the biased broker should be decreased. At the same time, in order to prevent free-riding problem and give investors the maximum compensation, the government should increase the penalty to the fund management company. In the end the validity of conclusions is illustrated through case studies. Our paper bridges the literatures of investor protection, double-side moral hazard and those on overconfidence in fund sale markets. This paper also contributes to a growing theoretical research on household finance and delegated portfolio management.
Open-end mutual funds have increased dramatically in China. How to protect the interests of fund investors effectively is an urgent issue for financial regulators to solve today. This paper focuses on fund investor protection based on double-side moral hazards in fund sale market and broker's overconfidence. In this paper, we combine the research of investor protection with behavioral finance theory, and set up a behavioral principal-agent model in fund sale market from the view of the supply side. In our analysis, we focus on the double-side moral hazard problem in fund sale market between fund management companies who develop products and an overconfident broker who sell products. The objective of this paper is to explore the underlying causes of fund investors' losses, and investigate the effect of brokers' overconfidence on the design of investor protection mechanism.The model that we analyze proceeds as follows. We take a fund management company who is responsible for developing financial products to be the principal, and an overconfident broker who is responsible for distributing the products to the public by providing advice to potential clients as the agent. The company has responsibility to provide good quality opportunities for fund investors, and higher quality to increase the probability that investors can benefit from making a purchase. The broker's job is to sort consumers and make recommendations based on a noisy signal about their type. In the condition of information asymmetry, how the company and biased broker fulfill their responsibilities is unobservable. Market participants face coordination problems that arise in settings with double-sided moral hazards. The authorities set a regulation that holds the company and the broker responsible when an investor does not make a right investment decision. This may happen if an investor incorrectly purchases inappropriate products. In our model, the penalty that the regulation dictates is set optimally based on the incentives that the company and the broker are expected to have when choosing their optimal actions. In the meanwhile, the optimal regulation is set to maximize total welfare in the market. The results show that the fund management company and the broker have a tendency to free ride on each other's effort provision due to double-sided moral hazard. Increasing penalties to each party not only increases her own effort, but also decreases its counterparty's incentives to offer better services because of free riding. Thus, the regulation must consider not only the direct influence that penalties have on the company's or broker's actions, but also the indirect influence they have result from double-sided moral hazard. Moreover, we find that the broker tends to exert more effort under the influence of overconfidence. Thus, penalty placed on the biased broker should be decreased. At the same time, in order to prevent free-riding problem and give investors the maximum compensation, the government should increase the penalty to the fund management company. In the end the validity of conclusions is illustrated through case studies. Our paper bridges the literatures of investor protection, double-side moral hazard and those on overconfidence in fund sale markets. This paper also contributes to a growing theoretical research on household finance and delegated portfolio management.
引文
[1]山立威,申宇.基金营销与资金流动:来自中国开放式基金的经验证据[J].金融研究,2013,391(1):192-206.
[2]Busenitz L W,Barney J B.Difference between entrepreneurs and managers in large organizations:biases and heuristics in strategic decision-making[J].Journal of Business Venturing,1997,12(1):9-30.
[3]Menkhoff L,Schmidt U,Brozynski T.The impact of experience on risk taking,overconfidence,and herding of fund managers:Complementary survey evidence[J].European Economic Review,2006,50(7):1753-1766.
[4]La Porta R,Lopez-de-Silanes F,Shleifer A,et al.Law and Finance[J].Journal of Political Economy,1998,106(3):1113-1155.
[5]Johnson S,La Porta R,Lopez-de-Silanes F,et al.Tunneling[J].American Economic Review,2000,90(1):22-27.
[6]姜付秀,支晓强,张敏.投资者利益保护与股权融资成本—以中国上市公司为例的研究[J].管理世界,2008,(2):117-125.
[7]沈艺峰,肖珉,林涛.投资者保护与上市公司资本结构[J].经济研究,2009,44(7):131-142.
[8]Calin B I,Gervais S.Legal protection in retail financial markets[R].NBER Working Paper,no.14972,2009.
[9]Inderst R,Ottaviani M.How to pay for advice:A framework for consumer financial protection[J].Journal of Economic Literature,2012,105(2):393-411.
[10]赵煊.认知偏误对金融消费者保护的影响—以零售金融产品为例[J].经济研究,2011,46增(1):127-133.
[11]Bhattacharya S,Pfleiderer P.Delegated portfolio management[J].Journal of Economic Theory,1985,36(1):1-25.
[12]Sheng J,Wang X,Yang J.Incentive contracts in delegated portfolio management under VAR constraint[J].Economic Modelling,2012,29(5):1679-1685.
[13]Corbett C J,De Croix G A,Albert Y H.Optimal shared-saving contracts in supply chains:Linear contracts and double moral hazard[J].European Journal of Operational Research,2005,163(3):653-667.
[14]游静.基于双边道德风险的多主体信息系统集成报酬机制设计[J].管理工程学报,2010,24(2):84-88.
[15]Levmore S.Commissions and conflicts in agency arrangements:Lawyers,real estate brokers,underwriters,and other agents’rewards[J].Journal of Law and Economics,1993,36(1):503-539.
[16]Kumpan C,Leyens P.Conflicts of interest of financial intermediaries[J].European Company and Financial Law Review,2008,5(1):72-100.
[17]刘新民,温新刚,吴士健.基于过度自信的双边道德风险规避问题[J].上海交通大学学报,2010,44(3):373-377.
[18]De Bondt W F M,Thaler R H.Financial decision-making in markets and firms:A behavioral perspective[A].In:Handbooks in Operations Research and Management Science[C].New York:Elsevier Science Publishers,1995.385-410.
[19]Gervais S,Odean T.Learning to be overconfident[J].Review of Financial Studies,2001,14(1):1-27.
[20]Griffin D,Tversky A.The weighing of evidence and the determinants of confidence[J].Cognitive Psychology,1992,24(3):411-435.
[21]张征争,黄登仕.不同风险偏好的过度自信代理人薪酬合同设计[J].管理工程学报,2009,23(2):104-110.
[22]王健,庄新田.考虑基金经理过度自信的最优激励契约[J].系统工程学报,2009,24(5):631-635.
[23]让-雅克.拉丰,大卫.马赫蒂摩.激励理论委托-代理模型(第一卷)[M].北京:中国人民大学出版社,2002.
[24]Palomino F,Sadrieh A.Overconfidence and delegated portfolio management[J].Journal of Financial Intermediation,2011,20(2):159–177.
[25]黄健柏,杨涛,伍如昕.非对称过度自信条件下委托代理模型[J].系统工程理论与实践,2009,29(4):92-102.
(1)本文的研究对象仅限定为基金销售环节中的投资者利益保护问题研究,未涉及基金赎回等其他环节。
(1)本文关于委托代理双方成本函数的设定沿用了标准委托代理模型的处理方法。
(2)该假设是基于多数投资者倾向于信任并接受金融精英和权威人士意见的现实情形的考虑。
(3)该假设的目的是为避免投资者在任何情况下均选择不接受理财经理建议、宁愿遭受损失获得补偿的情况出现。
(1)实际应用中,监管部门对基金管理公司和理财经理的处罚措施并不仅限于损害赔偿,本文中的处罚力度?F和?B可看作当投资者遭受损失时,委托代理双方所付出代价的等价货币量。
(2)根据式(13)和式(14),当a?1 2时,???1,2?。
[2]Busenitz L W,Barney J B.Difference between entrepreneurs and managers in large organizations:biases and heuristics in strategic decision-making[J].Journal of Business Venturing,1997,12(1):9-30.
[3]Menkhoff L,Schmidt U,Brozynski T.The impact of experience on risk taking,overconfidence,and herding of fund managers:Complementary survey evidence[J].European Economic Review,2006,50(7):1753-1766.
[4]La Porta R,Lopez-de-Silanes F,Shleifer A,et al.Law and Finance[J].Journal of Political Economy,1998,106(3):1113-1155.
[5]Johnson S,La Porta R,Lopez-de-Silanes F,et al.Tunneling[J].American Economic Review,2000,90(1):22-27.
[6]姜付秀,支晓强,张敏.投资者利益保护与股权融资成本—以中国上市公司为例的研究[J].管理世界,2008,(2):117-125.
[7]沈艺峰,肖珉,林涛.投资者保护与上市公司资本结构[J].经济研究,2009,44(7):131-142.
[8]Calin B I,Gervais S.Legal protection in retail financial markets[R].NBER Working Paper,no.14972,2009.
[9]Inderst R,Ottaviani M.How to pay for advice:A framework for consumer financial protection[J].Journal of Economic Literature,2012,105(2):393-411.
[10]赵煊.认知偏误对金融消费者保护的影响—以零售金融产品为例[J].经济研究,2011,46增(1):127-133.
[11]Bhattacharya S,Pfleiderer P.Delegated portfolio management[J].Journal of Economic Theory,1985,36(1):1-25.
[12]Sheng J,Wang X,Yang J.Incentive contracts in delegated portfolio management under VAR constraint[J].Economic Modelling,2012,29(5):1679-1685.
[13]Corbett C J,De Croix G A,Albert Y H.Optimal shared-saving contracts in supply chains:Linear contracts and double moral hazard[J].European Journal of Operational Research,2005,163(3):653-667.
[14]游静.基于双边道德风险的多主体信息系统集成报酬机制设计[J].管理工程学报,2010,24(2):84-88.
[15]Levmore S.Commissions and conflicts in agency arrangements:Lawyers,real estate brokers,underwriters,and other agents’rewards[J].Journal of Law and Economics,1993,36(1):503-539.
[16]Kumpan C,Leyens P.Conflicts of interest of financial intermediaries[J].European Company and Financial Law Review,2008,5(1):72-100.
[17]刘新民,温新刚,吴士健.基于过度自信的双边道德风险规避问题[J].上海交通大学学报,2010,44(3):373-377.
[18]De Bondt W F M,Thaler R H.Financial decision-making in markets and firms:A behavioral perspective[A].In:Handbooks in Operations Research and Management Science[C].New York:Elsevier Science Publishers,1995.385-410.
[19]Gervais S,Odean T.Learning to be overconfident[J].Review of Financial Studies,2001,14(1):1-27.
[20]Griffin D,Tversky A.The weighing of evidence and the determinants of confidence[J].Cognitive Psychology,1992,24(3):411-435.
[21]张征争,黄登仕.不同风险偏好的过度自信代理人薪酬合同设计[J].管理工程学报,2009,23(2):104-110.
[22]王健,庄新田.考虑基金经理过度自信的最优激励契约[J].系统工程学报,2009,24(5):631-635.
[23]让-雅克.拉丰,大卫.马赫蒂摩.激励理论委托-代理模型(第一卷)[M].北京:中国人民大学出版社,2002.
[24]Palomino F,Sadrieh A.Overconfidence and delegated portfolio management[J].Journal of Financial Intermediation,2011,20(2):159–177.
[25]黄健柏,杨涛,伍如昕.非对称过度自信条件下委托代理模型[J].系统工程理论与实践,2009,29(4):92-102.
(1)本文的研究对象仅限定为基金销售环节中的投资者利益保护问题研究,未涉及基金赎回等其他环节。
(1)本文关于委托代理双方成本函数的设定沿用了标准委托代理模型的处理方法。
(2)该假设是基于多数投资者倾向于信任并接受金融精英和权威人士意见的现实情形的考虑。
(3)该假设的目的是为避免投资者在任何情况下均选择不接受理财经理建议、宁愿遭受损失获得补偿的情况出现。
(1)实际应用中,监管部门对基金管理公司和理财经理的处罚措施并不仅限于损害赔偿,本文中的处罚力度?F和?B可看作当投资者遭受损失时,委托代理双方所付出代价的等价货币量。
(2)根据式(13)和式(14),当a?1 2时,???1,2?。
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