【作者】 徐锦文；

【导师】 王韬；

【作者基本信息】 华中科技大学 ， 管理科学与工程， 2005， 博士

【摘要】 论文《社会保障基金保值增值研究》旨在研究我国社会保障基金保值增值的理论与实践问题。论文首先对社会保障基金保值增值问题的研究现实性进行了分析,导出研究主题。再对国外、国内的有关社会保障基金保值增值的主要文献以及社会保障基金保值增值主要理论等进行阐述,为论文研究奠定了基础。论文通过对国外代表性国家的社会保障基金筹集、投资管理及委托管理等方面的分析对社会保障基金保值增值的国际经验进行了归纳和分析。从筹资方式来看,国际上存在从现收现付制向基金积累制发展、从社会统筹制向个人账户制发展和多层次的社会保障基金筹集体系不断发展的三个发展趋势。从社会保障基金投资管理来看,都强调安全性。但随着老龄化趋势的进一步发展、社会保障基金收支压力的加大,许多国家逐步尝试社会保障基金投资渠道的扩大,提高投资资本市场的比例。随着金融市场的不断完善,金融投资品种的不断丰富以及金融衍生产品的出现,社会保障基金适合投资的品种越来越多,出现了多元化的投资方式。各国政府在社会保障基金委托管理过程中,都设置了组织机构,并进行了明确的分工。论文对我国社会保障基金保值增值进行了详尽的实证分析。随着我国经济的快速发展,通货膨胀的时有发生,银行存款将难以使社会保障基金得到有效的保值。我国国债利率一般略高于同期银行存款利率,但在通货膨胀不断加剧的情况下,国债也难以有效地保值。2003 年下半年开始,社会保障基金通过间接方式入市,从所投资的股票来看,分散性投资相当明显、注重业绩,强调安全性、重点关注大盘股,注重流通性等几个特征较为明显。从实际绩效来看,投资管理人通过较好的管理,取得了超过市场平均的收益水平。但是从绝对数值来看,社会保障基金通过投资股票所获得的收益率水平较低,没能有效的实现社会保障基金的保值增值。从所投资的可转换债券来看,取得了较好的投资效果,但规模较小,难以满足社会保障基金大规模投资的目的。通过对证券投资基金的风险收益比较来看,开放式投资基金由于以净值交易,流动性风险较小,是社保基金保值增值未来投资的重点品种之一。相对于国外社会保障基金,我国资本市场的环境更特殊。过分注重证券市场的筹资功能、股权分置、上市公司法人治理结构缺陷严重、证券监管体系还不完善等问题的存在,使得我国社会保障基金入市的风险更大。为了投资的安全性,可通过定性方法和定量方法,对社会保障基金入市的风险进行正确的评估。论文对如何运用β系数更多还原

【Abstract】 The paper is mainly to study the theories and practices of how to keep the value and increment of social security fund in our country. First, the paper analyzes the reality of the problem how to keep the value and increment of social security fund and draws research topic. Second, the paper demonstrates the leading literature and theory on the problem how to keep the value and increment of social security fund domestic and foreign and establishes the base of the research. Through analyzing the raise, investment management and relegation management of social security fund the paper concludes international experiences on this problem.As far as raise model, there are three trends as follow: from cash income and cash pay systen to fund accumulate system, from social plan as a whole to individual account, and establishing several arrangements to raise fund. As far as investment management, security requirement is very important.With the approach of an aged society and payment pressure increasing, many countries try to extend social security fund investment channel and lift the proportion invested in capital market.As the improvement of financial market, more and more financial investment tools are created and financial derivatives come into being, investment models have been diversified.Each government has set up special institutions to manage social security fund and divided the work clearly during the delegation management. The paper analyzes the problem of how to keep the value and increment of social security fund detailed. With the rapid developing of our country, inflation happens continuously so it is hard for social security fund to keep its keep value and increment through deposited in bank. Though national debt interest rate is little higher than bank interest rate, investing national debt can’t keep the value of social security effectively either on the condition of climbing inflation.Social security fund started to invest stock market indirectly in the second half of 2003. From the portfolio, diverse investment strategy, safety requirement, focus on operation achievement and liquidity risk are the most important characteristics.From the actual performance, investment managers have acquired average income over market level through active management. But as far as absolute income is concerned, social security fund can’t keep its value through investing stocks because the income rate is too low.Social security fund has acquired better achievement through investing convertible corporate debenture. But the investing scale is too small to fit so large social security fund investing demand. Compared risk and income of investing fund, open-fund will be one of the most important investing tools in the future because open fund is traded in net asset with little liquidity risk.Compared with foreign countries, the capital market of our country is special. Since there are so many problems with the security market, such as too much emphasis on the raising money function; stock rights divided, serious absence of corporate governance with listed corporations; incomplete supervision system and so on, social security fund in our country burns more risk than foreign countries.To insure investment security, we have to evaluate the risk of investing stocks directly through qualitative analysis and quantitative analysis.This paper still discusses how to manage investing risk using VAR. In order to decrease risk we can establish risk reserves, provide minimum rate of return guarantees, use all kinds of financial derivatives, intensify information disclosure system. To maximize the achievements of social security fund, we have to extend its investing channels. Meanwhile, we can improve the investing achievement by taking advantage of financial tools innovation.This paper analyzes the possibility and advantage of index investment, especially ETFs. At the same time the paper discusses trust tools, residential mortgage assets, foundation construction and financial tools in foreign capital market. The paper suggests using asset portfolio theory in asset assignment and using loss probability to improve social security fund investment model.Finally, we discuss how to set up macro monitor system and correlative infrastructures construction. The infrastructures construction includes enacting relative laws, training professionals quickly, establishing more lawyer office, accountant office, auditor office, asset evaluation institution, credit rating evaluation institution and investment consultation institution. This paper does active research from three ways. Firstly, we concluded the international experiences of how to keep value and increment of social security fund. Secondly, we discussed the reality of how to keep value and increment of social security fund in our country detailed. Thirdly, we do some elementary research on social security fund investment model using asset portfolio theory and loss possibility.In conclusion, the knowledge and research on how to keep value and increment of social security fund will develop with economy and financial surrounding’s developing.更多还原