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; 1:北京大学光华管理学院应用经济学博士后流动站 2:北京大学经济政策研究所 3:兴业证券研究所 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

Abstract:

Keywords:

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;

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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。


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