The essay mainly explores the relationship of current fees, last period fees, size and the return of investment in 102 social security funds. It starts from the Encouraging Model and comes to the conclusion that the factor current fees and last period fees impact the return of investment positively. On the contrary, it finds that the size of fund impact the return of investment negatively.
The principal of agency problem mainly discusses the fact that how to develop a reasonable contract or contractual mechanisms to motivate the agency to achieve the goals of the client. It assumes that everyone in reality is rational and each of the rational individual will pursue the maximized interests under a certain condition. For example, one person himself/herself would like to seek the maximized utility and one enterprise would like to seek its maximized profit. Theoretically speaking, if a rational proxy has the same goal with a rational client, the rational proxy would provide the ideal result to his client even under the information asymmetry. But their goals conflict in most situations in reality. In addition, the deviation of their goals and the information asymmetry will lead more agency costs to achieve the proxy to realize the clients’ demand and goals. Therefore, here comes the problem, how much of the managerial fees can achieve the proxy agency to realize the clients’ goal?
The agency problem exists in fund investment management commonly. In China, the social security fund is composed of pension fund, company annuity and national social security fund. Besides the pension fund, the other two have stepped in the stock market investment process. Considering the weak universality of the company annuity, this essay chooses the national social security fund as the study sample. The different between the national social security fund and other funding is that the investment aim of national social security fund is to realize the value preservation and appreciation. In a word, the investment risk appetite is prudent.
There are two kinds of agency relations in investment process, the relationship between the policyholder and the client and the relationship between the client and the fund manager. The essay will conduct an empirical study in managerial fees and encouraging system under agency models between client and the fund manager due to the single client system applied in China. According to China Securities Regulatory Commission Fund [
The previous researches towards social security fund investment abroad are more abundant than that in China. Christoffersen [
In China, the researches towards social security fund contain the normative study and the empirical study. In the normative study, Yu Hong [
In conclusion, researches towards social security fund investment in domestic or abroad has gained achievements. However, most of the researches design encouraging models exploring management situation from the agency theory and seldom consider whether the encouraging indicators are reasonable. Therefore, this essay starts from this point to conduct an empirical study to examine functions of managerial fees in nowadays.
Bosera Asset Management Co., Ltd. is one of the largest fund houses in China, with its pension fund assets under management ranked in top tier. Authorized by the National Council of Social Security Fund, Bosera manages part of the National Social Security Fund portfolios. The essay chooses the social security fund 102 portfolio from Bosera and filters eight funding which are holding over one year as the study sample. The eight funding corporations are Chongqing Department Store (6007292), Daya Technology (000910), Huafa Stock (600325), Swan A (000418), Haida Group (002311), Huaqiao City A (000539), Weixin new-technology (002491) and Aokang International (603001) respectively. This essay chooses the eight funding data from 2012 to 2013 quarterly and finally comes the unbalanced panel data because of few missing data in Aokang International (603001).
The dependent variable in this study is the funding rate of return (ROE) and the independent variables are proportion of tradable shares possession (PCS), the current managerial fee (FEE) and the previous managerial fee (LFEE). The variables FEE and the LFEE comes out as LNFEE and LNLFEE after natural logarithm processing in order to elimination of the influence of dimension. The descriptive statistics of variables are shown in the following
Even though the sample experience a short period, the econometric theory shows that almost economic indicators, especially the panel data, are non-stationary. Therefore, it is necessary to conduct the unit root test before regression in case the spurious regression results. It is also called the stationary tests. Considering the difference of unit root test between panel data and time series data, it applies the Levin, Lin & Chut and ADF test. The results are shown in the
In
Obs | Mean | Median | Maximum | Minimum | Std. Dev. | |
---|---|---|---|---|---|---|
ROE | 64 | 8.390469 | 7.35 | 22.68 | 0.14 | 6.101258 |
PCS | 60 | 1.77663 | 1.8571 | 3.4464 | 0.2878 | 0.901554 |
LNFEE | 60 | 3.257702 | 3.274523 | 4.449786 | 1.183719 | 0.781281 |
LNLFEE | 59 | 3.207748 | 3.19891 | 4.449786 | 0.881782 | 0.817264 |
Obs | ROE | PCS | LNFEE | LNLFEE |
---|---|---|---|---|
2012Q1 | 3.53625 | 1.540028571 | 3.101506049 | 2.852142011 |
2012Q2 | 7.05625 | 1.788642857 | 3.231950994 | 3.101506049 |
2012Q3 | 10.57625 | 1.875785714 | 3.322729458 | 3.231950994 |
2012Q4 | 14.56875 | 2.006542857 | 3.442849588 | 3.322729458 |
2013Q1 | 2.735 | 1.7040875 | 3.17273824 | 3.442849588 |
2013Q2 | 6.09125 | 1.8297 | 3.24998222 | 3.17273824 |
2013Q3 | 9.69375 | 1.83605 | 3.277139552 | 3.24998222 |
2013Q4 | 12.86625 | 1.6452625 | 3.271246358 | 3.277139552 |
Variable | LLC | ADF Test | Test Form (c,t) | Results |
---|---|---|---|---|
ROE | −5.84217 (0.0000) | 26.0732 (0.0530) | (c, 0) | Stationary |
PCS | −190.145 (0.0000) | 42.4526 (0.0003) | (c, 0) | Stationary |
LNFEE | −545.588 (0.0000) | 64.9645 (0.0000) | (c, 0) | Stationary |
LNLFEE | −6.83299 (0.0000) | 34.9503 (0.0015) | (c, 0) | Stationary |
PS: The value in bracket under LLC is the adjoint probability p.
but others mean yes. In addition, the p is the indicator which judges the stationarity. Traditionally, If the p > 0.1, the data series is not stationary, and on the contrary, if the p < 0.1, it is convinced that the series is stationary. From
In principle, if the result of unit root test shows that all variables are stationary, the regression can be conducted directly. However, considering the significant is 5%, it is better to do the Cointegration Test. In the database form the Eviews 6.0 [
In order to explore the influence of PCS, LNFEE and LMLFEE in the fund ROE, this essay construct a regression model:
Meanwhile, it uses the Generalized Least Square Method (EGLS) in case the influence of heteroscedasticity in panel data. After the test process by Eviews 6.0, it would choose the mixed OLS model or fixed effects model or random effects model when pass the F Test and Hausman Test.
From
This essay studies the influence between funding managerial fees and funding rate of return. It comes out the result that current managerial fees and previous managerial fees affect the funding rate of return positively. But on the contrary, the proportion of tradable shares possession has inhibitory effect toward the rate of return. When facing frequent illegal cases in social security fund, it should solve the problem from the encouraging factor in agency, like moral, honor and legal encouraging. In the meanwhile, the bigger scale of funding is not conducive to the managers to make maximized interest by the side of clients. Therefore, it is better for the managers to choose the disperse and diverse portfolio in social security fund investment.
t-Statistic | Prob. | |
---|---|---|
ADF | −2.310424 | 0.0104 |
Residual variance | 0.039344 | |
HAC variance | 0.033783 |
Variable | Coefficient | Std. Error | t-Statistic | Prob. |
---|---|---|---|---|
C | −33.78468*** | 10.64862 | −3.172681 | 0.0026 |
PCS | −5.932632*** | 2.182092 | −2.718781 | 0.0091 |
LNFEE | 14.91366*** | 4.485815 | 3.324626 | 0.0017 |
LNLFEE | 1.108968** | 0.422132 | 2.627061 | 0.0115 |
Fixed Effects (Cross) | ||||
CQBH--C | 8.287510 | |||
DYKJ--C | 2.017374 | |||
HFGF--C | −12.50835 | |||
XTEA--C | −0.314939 | |||
HDJT--C | 1.579822 | |||
HQCA--C | −16.95733 | |||
WXXC--C | 14.10840 | |||
AKGJ--C | 10.10004 | |||
Panel Model | Statistic | d.f. | Prob. | |
F Test | 12.028493 | (7,48) | 0.0000*** | |
Hausman Test | 11.166420 | 3 | 0.0109** | |
R-squared | 0.780159 | Mean dependent var | 20.11546 | |
Adjusted R-squared | 0.734358 | S.D. dependent var | 48.48165 | |
S.E. of regression | 4.619282 | Sum squared resid | 1024.213 | |
F-statistic | 17.03392 | Durbin-Watson stat | 2.016639 | |
Prob (F-statistic) | 0.000000*** |
***1%, **5%, *10%.
1Yuan is the monetary unit of China, or sometimes marked as RMB.
2The numbers in the brackets means the stock exchange code in China’s Stock Exchange markets.
Jing Yi,Dong Lu,Yajun Deng, (2016) Empirical Study under the Encouraging Model to Managerial Fees of Social Security Fund Investment. American Journal of Industrial and Business Management,06,649-654. doi: 10.4236/ajibm.2016.65060