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我国股票型开放式证券投资基金绩效归因实证研究
时间:2011-03-15 浏览次数:1364次 无忧论文网
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投资学
证券投资基金绩效证券投资基金绩效
          2006年以来我国股市开始走强,上证指数由2005年底的1161点上涨到2007年底的5261点,涨幅达到了353%,股票市值由103198亿元增长到400864亿元。股市的繁荣带动了基金业的发展,基金净值总额由4757亿元增长到32786亿元。2006年下半年以来,人们购买基金的热情空前高涨,屡屡出现投资者排长队购买基金的盛况,而基金公司也为投资者带来了丰厚的收益。在这样的背景下,对基金业绩的分析与研究成为大家关注的热点。基金业绩研究大体可以分为两个方面,一方面是对绩效的衡量,从而判断基金是否取得超额收益,另一方面是分析基金收益的来源,即对基金业绩进行归因分析,从而更深入地了解基金的优势与不足。本文就从基金绩效归因分析方面入手,研究我国股票型开放式证券投资基金的业绩来源。
          本文首先总结了基金业绩归因分析的理论成果和发展历程,然后将这些成果应用于我国基金业,通过综合运用T-M、H-M、C-L、GII、以及Fama分解模型对我国股票型开放式证券投资基金业绩归因进行实证研究,并给出相关分析与结论。通过各个不同模型的分析与比较得到一些基本结论:样本所取的我国股票型开放式证券投资基金在整体上有优于市场的表现,但并不突出,如果将成本因素考虑在内,则样本基金将无法表现出优于市场的业绩;对业绩归因的考察发现,基金没有显示出明显的择时能力,多数基金表现出一定的选股能力,但如同基金的整体表现一样,也并不突出。按照有效市场理论,在半强势有效市场中,公开渠道取得的信息已经充分反应在股票价格中,专业的机构投资者也无法战胜市场。结合实证结果可见,中国股票市场表现出一定的非效率性,基金公司由于一定的专业研究水平,表现出略高于市场平均水平的选股能力,这也与我国的实际情况相吻合。 [英文摘要]:           The Shanghai index rose from 1161 points to 5261 points from the end of 2005 to the end of 2007, the total market value of stocks rose from 10.3198 trillion yuan to 40.0864 trillion yuan, the total net value of mutual funds rose from 475.7 billion yuan to 3.2786 trillion yuan.The Fund's performance analysis and research has been of concern to more areas. Fund Performance Study can be roughly divided into two areas, one is the measure of performance to decide whether the fund excess revenue, on the other hand is the source of income of the Fund, namely, the fund performance attribution analysis.
          This paper summarizes the Fund's performance attribution analysis results and the theoretical development process, and then apply these results on the fund industry in China, through the integrated use of T-M, H-M, C-L, GII, as well as Fama decomposition model on China's stock open-end funds Performance attribution, gives correlation analysis and conclusions. Through the analysis of the different models get some basic conclusions. Taken samples of China's stock open-end funds on the whole are better than the market's performance, but not outstanding. the study of the performance attribution show that the Fund does not indicate market timing ability, the majority of the Fund demonstrate some security selceting ability , but not prominent. According to effectively market hypothesis, in the semi-strong efficient market, open information has been fully reflected in stock prices, the professional institutional investors cannot beat the market. Empirical results indicate that, the Chinese market is not a semi-strong efficient market.the fund company as a professional institution, show slightly higher than the average level of stock market,this is also the reality of our stock market.    
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