【作者】 于佳；

【导师】 张彤玉；

【作者基本信息】 南开大学 ， 政治经济学， 2012， 博士

【摘要】 中国私募股权投资行业从1998年开始，短短十几年间获得了惊人的发展。私募股权投资机构从无到有，数量快速增加，目前已发展到数千家；资金构成从外币为主到双币并行；基金的组织形式从公司制为主到有限合伙制为主；投资人构成从政府为主到民间资本大量介入；退出渠道从海外上市为主到国际国内上市双通道并行，且通过并购退出的案例逐年增多；投资案例数量从每年几十个增加到几千个，退出案例数量从每年几个增加到几百个，中国私募股权投资市场已成为全球最活跃的股权投资市场之一。但在表面繁荣的背后，由于发展时间短，制度仍处于不断完善中，很多不规范的现象时有发生，中国私募股权投资行业的风险也日益呈现。随着发生风险的概率不断加大，越来越多的投资人迫切希望获得相关的理论和实践指导，但国内从投资人角度对私募股权投资的理论探讨还极为匮乏，尤其是私募股权基金的投资组合及筛选评估等若干问题仍没有权威的理论和实践研究。由于私募股权投资行业不同于其他的金融投资，具有较强的数据私密性、回报的非正态分布特性、较长的存续期和以IRR(Internal Rate of Return)为基础的绩效衡量标准等特征，使已有的理论在应用于该行业的研究时，具有一定的局限性。同时，作为一个复杂的系统工程，私募股权基金的评价和考量是多因素协同效应作用的结果，因此要求所考虑的因素也趋于多元化。笔者在深入研究现代投资组合理论和投资私募股权基金的交易成本、风险敞口、委托代理等问题的基础上，结合中国的投资实践，提出了系统完整的私募股权投资组合策略和私募股权基金评价模型，并佐以大量的实证研究，试图为国内投资人提供可资借鉴的理论和实践工具，以此提高投资私募股权基金的效率，有效规避风险。本文主要从三个维度展开分析，其一，从投资人视角出发，提供股权投资领域的投资选择工具，帮助投资人构建私募股权基金的投资组合策略。笔者通过分析现代投资组合理论应用于私募股权投资行业的局限性，在充分考虑私募股权投资行业特性的基础上，建设性地提出了私募股权投资组合的多维策略选择，构建了多维动态驱动模型，为投资人制定投资组合策略提供了有效的理论基础和实用模型。其二，全面阐述私募股权基金的评价方法与投资决策机制，明确投资人进行基金投资的衡量工具与标准，帮助投资人在科学评价私募股权基金的基础上做出投资决策。笔者通过分析私募股权基金评价的一般方法及局限性，充分考虑投资私募股权基金的关键要素，构建了私募股权基金的六因子评价模型，并详尽地论述了投资私募股权基金的谈判策略和核心条款的选择。其三，构建了私募股权基金的绩效预测模型，并通过对委托代理、博弈等问题的充分研究和分析，提出投资后的管理要素和管理方法，使投资人有效规避由于信息不对称产生的逆向选择和道德风险，以保障绩效的顺利达成。本研究的拟创新性主要体现在以下三个方面：第一，国内从投资人角度对私募股权基金的研究甚少，仅有的少量研究也只是对私募股权基金评价的某一方面进行探讨，没有系统的研究成果，也没有关于私募股权基金投资组合策略方面的研究。本文首次从投资人角度对中国私募股权基金的投资组合策略和投资评价标准进行系统地分析，提出全面的解决方案。第二，在国外，Pierre-YvesMathonet与Thomas Meyer是第一次从投资人角度对私募股权基金的投资组合策略和评价方法进行系统完整研究的学者，他们主要基于欧美私募股权投资行业的数据基础，提出了投资组合的方法和基金评级系统，笔者在他们研究的基础上加以改进和完善，考虑更多关键的影响要素，提出新的投资组合策略和基金评价体系，创新性地构建了多维动态驱动模型和六因子评价模型，使该研究更为系统完整，并且首次以中国为研究基础，对私募股权投资组合策略和私募股权基金的评价基准加以分析。第三，国内外对于私募股权基金的绩效预测研究很少，尤其没有相关的定量研究，少量研究都处于定性研究的层面，笔者在充分考虑私募股权基金业绩主要影响因素的前提下，首次通过定性与定量结合的分析方法，构建了私募股权基金的绩效收益预测模型。本文基于投资人视角对中国私募股权基金构建了一个系统完整的投资管理体系，尤其是以上三个方面的研究目前在国内都属首次提出，具有较强的理论创新性，同时，在大量实证研究基础上构建的投资管理模型，对投资人具有较大的实用价值，对于提高投资人的投资决策效率和风险管理水平、促进中国私募股权投资市场的健康稳定发展，具有重要的现实意义。更多还原

【Abstract】 Beginning with1998, China’s private equity investment industry has gaineddramatically development within a decade----PE investment entities establishedfrom scratch, currently the number of PE investment entities has increased to couplethousands; capital structure has switched from foreign currency only to both foreigncurrency and RMB; Major PE funds structure changed from LLC to LLP; Majorinvestors switched from government entities to private entities; exit strategieschanged from overseas IPO only to the combinations of overseas and domestic IPOsalong with buyouts; portfolio companies increased from tens to hundreds annually;exit portfolio companies increased from less than ten to couple hundreds. China hasbecome one of the most active PE investment markets in the world. But, under thesurface of prosperity, due to the short period of time, regulation and legislation arestill in the process of completion and perfection, there happened lot of regulationviolations and conducts not conformed to common industry standards, the risk ofindustry level increased noticeably. With the probability increase of failure risk,more and more investors are eager to obtain some relevant theories and practiceguidance, but the reality is that there are very few researches focusing on PEinvestment based on investor’s point of view especially lacking of authoritativepractice research focusing on PE investment allocation, management, selection andevaluation.With lot of differences from other financial investment industry, PE industryhas its own unique characteristics. There will be lot of obvious shortages if we applytraditional established theories with PE industry. This is caused by several reasonssuch as PE Industry features of data confidentiality, abnormal distribution ofrisk-adjusted return, problems with IRR (Internal Rate of Return) based performanceevaluation and fund life issues etc. In the same time, as a complicated systematicengineering, PE fund evaluation and consideration are the results of collaboration ofmulti-factor. Therefore, multi-factor and multi-dimension are required to be considered. Based on intensive research on PE fund transaction cost, risk exposure,principal agent and so on, combining with investment practice in China, the authorproposed scientific and practical model of “PE fund investment strategies andintegrated PE fund evaluation” evidenced by many real case researches for thepurposes of providing theoretical and practical guidance for Chinese domesticinvestors in order to improve the efficiency of PE fund selection and reducepotential future risks.The thesis expanded its analysis from three dimensions:1. Based on investor’sperspective, PE investment selection tool was provided to help investors to build upPE investment fund portfolio strategy. The author analyzed the restriction ofapplying modern portfolio theory (MPT) with PE industry, also considered theunique characteristics of PE industry, constructed multi-dimension strategy selectionfor building up PE investment portfolio, first time built up “DynamicMulti-Dimension Driven PE Fund Investment Portfolio Model”, provided boththeory and practical model of PE portfolio construction for investors.2.Comprehensively expound PE fund evaluation methods and its investment decisionmaking mechanism, explicitly provided PE fund evaluation tools and standards tohelp investors to build up portfolio funds based on scientific evaluation.. The authoranalyzed the restriction of general PE fund evaluation methods, also considered thekey elements of a PE fund; constructed “Six-Factor Based PE Fund EvaluationModel”, also detailed PE fund investment negotiation strategy and key clausesselection were presented.3. Built up “PE fund performance projection model”.Proposed post investment managing elements and methods by the researches andanalysis of agency by agreement and LP-GP game playing to enable investors toreach their investment goal and reduce their adverse selection and moral riskscaused by asymmetric information obtained.Innovativeness of the thesis was showed by the following four aspects:1.Firsttime analyzed China’s PE fund portfolio strategy and evaluation mechanism fromthe investor’s point of view and solution was provided.2. First time proposed “PEfund multi-dimension strategy election” and built up “Dynamic Multi-DimensionDriven PE Fund Investment Portfolio Model”.3. First time proposed “Six-Factor Based PE Fund Evaluation Model”.4. Fully considered the PE fund performancefactors, first time built up “PE fund performance projection model”.This thesis built up a complete and systematic China’s PE fund investment andmanagement system based on investor’s perspective especially the above-mentionedfour researches are first of its kinds in China. They have strong theoreticalInnovativeness. Meantime, these investment management models also have practicalvalue due to their abundant real case analysis. These theories and models havepractical value and will be benefit for improving investor’s investment decisionmaking process and risk management skills, promoting China’s healthy and stablePE investment market.更多还原