全球基础设施投资基金研究：投资者偏好和委托代理问题

基于2005年1月至2019年6月间公开发售的2246支来自全球的基建基金数据,本文研究基建基金投资者偏好和委托代理问题。研究结果表明:投资者偏好客户忠诚度较高、投资于国际市场、团队管理型的基建基金;在基建基金公司层面,投资者存在跟风投资行为,且随着信息不透明度和收益不确定性加剧;投资者与基金管理人存在委托代理问题,体现为基金费率与预期业绩不匹配。该现象源于基金管理人利用投资者较高的预期收益设置费率,可以由基金特征因素和年份效应解释,尤其是投资于国际市场、收益分配或非团队管理等特征。本文结论对创新基础设施融资模式、稳定资金来源和微观审慎监管具有重要借鉴意义。

Research on Global Infrastructure Funds: Investor Preferences and Principal-Agent Problem

Infrastructure investment can create enormous economic and social benefits,and there exists a large gap in infrastructure financing globally.Infrastructure fund is a critical way to improve the liquidity of infrastructure projects and enhance the professional management ability of investment.The paper fills the gap in the academic research of infrastructure funds,namely investigating investor preferences andpossible conflict of interest between investors and fund companies.This paper utilizes a unique infrastructure fund dataset from Thomson Reuters Eikon,which includes 4,843 international infrastructure funds sold publicly between January 2005 and June 2019.In terms of methodology,the paper employs models of fund flow determinants from literature of mutual funds to study investors’preferences and flow chasing behavior,and utilizes models of fund expense ratio to analyze conflict of interest between investors and fund companies.In addition,the paper introduces several infrastructure fund or fund company characteristics to identify the driving factors behind the phenomena.Robustness tests are also carried out.Evidences indicate investors’preferences toward fund companies with higher customer fidelity,or with global geographical focus,after controlling for fund level variables.The article also uncovers a flow-chasing pattern of investor behavior on fund company level,and finds it intensified with the opacity of information and uncertainty of returns.Moreover,principal-agent problem exists since infrastructure funds are able to charge higher fees even with worse before-fee performance,which can be explained by fund characteristics and year effects,especially with the funds having global focus,being income-distributed or not team-managed.Policy implications are provided for developing efficient and stable infrastructure financing market and for investor protection.First,deepen financial supply-side reform and promote financial innovation,expand the sources of capital for infrastructure,enhance sustainability and stability of infrastructure financing.Second,prevent and resolve major financial risks that might be caused by expanding infrastructure financing,strengthen the requirements on information disclosure,reduce investors’sensitivity to fluctuations of short-term returns,and mitigate the conflict of interests between investors and asset management institutions.Efforts should also be made to strengthen the education of investors,adopt targeted regulatory measures in regards to some fund characteristics to prevent market risks that might be caused by investors’irrational behaviors.