中国社保基金股市投资窗饰行为研究
首发时间:2019-05-06
摘要:本文把基金"窗饰行为"的研究延伸至我国具有重要影响力的社保基金,探讨由委托-代理模式形成的社保基金是否也存在这一非理性行为。利用不完全信息的动态博弈分析框架以及基于2004年三季度至2017年三季度社保基金重仓股票历史数据的数理统计检验,本文有如下发现:(1)社保基金在牛市和熊市都具有选择"窗饰"的可能,但两个时期形成的原因不同;(2)在熊市行情下,社保基金的股市投资过程存在组合窗饰行为,分析认为是社保基金投资管理人跟随社保基金会的高风险偏好而做出的行为;(3)在牛市行情下社保基金股市投资存在业绩窗饰行为,这是由于市场环境复杂导致惩罚成本减小,社保基金投资管理人自主选择的激进投资行为。最后,本文针对社保基金投资行为的有效监督提出了对策与建议。
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Research on the Window Dressing Behavior of Social Security Funds in Stock Market Investment
Abstract:This paper extends the research on the fund\'s "window behavior" to the Social Security Fund which has important influence in China, and discuss whether the Social Security Fund has this irrational behavior. Using the dynamic game framework of incomplete information and the mathematical statistics based on the historical data of the social security fund\'s heavy stocks from the third quarter of 2004 to the third quarter of 2017, this paper has the following findings: (1) The social security fund has the possibility of selecting "window ornaments" in both the bull market and the bear market, but the reasons for the formation of the two periods are different; (2) Under the bear market, there is a portfolio window dressing behavior in the stock market investment of social security funds. It is the behavior of the social security fund investment manager following the high risk preference of the social security fund; (3) Under the bull market, the social security fund stock market investment has a performance window decoration behavior, which is due to the complicated market environment, reducing the penalty cost, and the Social Security Fund investment manager chooses the aggressive investment behavior. Finally, this paper puts forward some countermeasures and suggestions for the effective supervision of social security fund investment behavior.
Keywords: the Social Security Fund Stock market investment;Windows-dressing behavior Principal agent conflict
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