我国封闭式基金规模经济问题的面板数据分析..doc

金融学 　　我国封闭式基金规模经济问题的面板数据分析 张宗成 罗真 （华中科技大学金融工程研究所， 武汉， 430074） 摘 要：本文运用非平衡面板数据的计量方法，利用33只封闭式基金1999－2002的93个有效年度数据并借鉴学术界通用的对数转换模型对我国封闭式基金的规模经济问题进行了较为深入的实证考察。本文的主要结论如下：第一，在小型基金、大型基金和全体样本基金三个分组中，基金平均费用存在完全不同的水平和趋势；第二，在大型基金组中，我们发现了显著的规模经济，相反，在小型基金中则存在明显的规模不经济；第三，对所有样本基金进行考察，其费用弹性的估计值小于1，这说明我国封闭式基金总体上存在规模经济；第四，代表性封闭式基金的平均成本曲线在所有样本基金净资产范围内是随其增加而下降的，而平均费率值在约50亿元处取最小值， 国内目前还没有净资产超过这一规模的封闭式基金，因而我国封闭式基金在管理上还有很大潜力可挖。 关键词：封闭式基金；非平衡面板数据；规模经济 The Economies of Scale for China’s Closed-end Funds: A Panel Data Analysis Zhang zongcheng Luo zhen （Financial Engineering Research Institute of Huazhong University of Science Technology, Wuhan, 430074） Abstract: This paper investigates the economies of scale for closed-end funds using a translog expenses function. Additionally, panel data technique is applied, using the OLS, fixed effects and random effects models. The paper ends with some interesting results providing statistical evidence on the existence of scale economies associated with closed-end funds in China. The main finds are: Firstly, important differences in levels and trend for average expenses have been found across the different fund groups. Secondly, important economies of scale in large funds are found, as well as a few economies of scale in full funds and important diseconomies of scale in small funds. Thirdly, when scale economies are calculated for the whole fund sample, the estimator of the expense elasticity is less than one. This implies the existence scale economies. Finally, the average cost curve of a typical fund is downward sloping over nearly the entire range of fund assets. Average expense ratio is minimized at about RMB5 billion in assets. No closed-end funds are that large. Keywords: Closed-end Funds, unbalanced panel data, economies of scale Ⅰ 引 言 基金行业成本的平均水平反映了该行业经营效率的高低，基金管理费的水平高低也直接影响基金投资者与基金公司相互利益关系，如何看待基金的管理费水平、如何把握基金管理成本的影响因素及其发展趋势，一直是基金业发展历程中的热门话题之一。根据成本理论，基金规模的快速扩张，应该会产生明显的规模经济，从而使得行业平均成本呈现下降趋势。事实上, Baumol、Goldfield、 Gordon和Koehn