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金融异象与基金业绩:基于风格、周期性、风险溢出的实证研究
时间:2011-03-29 浏览次数:1529次 无忧论文网
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投资学
金融定价理论与基金业绩金融定价理论与基金业绩
    风格投资策略是基金业普遍采用的投资策略,也是基金业绩分化的根本原因。基金的投资风格源于股票组合的特有属性,即上市公司的规模因素、账面市值比因素。股票市场上出现的金融异象可以解释基金的业绩表现。
    本文首先建立金融异象与基金业绩之间的内在逻辑关系,并在此基础上提出投资风格分析法,将基金业绩的研究纳入到风格分析的框架下,研究不同风格的开放式股票型基金业绩的持续性、差异性成因。其次,本文简要回顾了中国基金业近三年的发展情况,并提出了三阶段的研究思路,着重考察开放式股票型基金收益特征的阶段性。再者,为考察基金风格的不稳定性成因,本文将风险溢出思想引入实证研究中,考察不同风格基金组合之间的风格相关性,以此来解释投资风格不稳定性的形成原因,分析外部冲击对基金业绩的影响。
    本文以Fama and French(1993)提出的三因素模型为基础,利用中国A股市场上市公司日数据(剔除ST、PT)、开放式股票型基金收益序列,研究基金业绩的持续性、风格收益差异;在此基础上,本文创新性地提出基金的风险溢出效应假设,并构造实证模型进行研究,得出有解释力的结论。
    通过实证研究可以发现,(1)规模、账面市值比因素所代表的投资风格很好地解释了开放式股票型基金的收益成因。基金管理人按照某种风格实施的投资策略并没有获得明显的超额收益,投资收益也不具有持续性。(2)基金业绩表现出强烈的市场周期性,基金管理人并不具有获取阶段性超额收益的能力。投资风格短期内也具有不稳定的特征,基金业绩受到整体市场的影响较大。(3)不同风格的基金组合之间存在明显的风险溢出效应,这揭示了基金净值同涨共跌现象的形成原因。风险溢出效应也表明基金投资风格存在同质化现象。
    通过对实际情况的分析并结合实证研究,本文提出了关于丰富投资品种,推出风险管理工具,加强投资者教育等政策性建议。 [英文摘要]:         Style investing is a common investment strategy used in fund industry, which accounts for the differences in funds performance. Mutual funds use a style’s classification scheme that draws on academic research on the behavior of stock returns. Specifically, the style categories are based on two dimensions: market capitalization and value-growth orientation. Size and book-to-market variations help account for differences in fund performance.
        This paper establishes the logic relation between the finance anomalies and fund performance. First, we propose investment style analysis method based on finance anomalies theory to analyze persistence in fund performance in the framework of the above analysis method. Second, we make a brief review on recent development of China’s fund industry development and divide the development period into three stages for further research. Then, we focus on the fund performance’s periodical characteristics. Third, we introduce risk spillover concepts into the fund performance analysis to find the correlation in the styles which helps explain the style shifts and the effect of external innovative.
        Fama and French’s three-factor model do a good job in the time series regression work using all the listed stocks(exclude ST、PT categories) in China’s A share market and open-end fund returns data. Originally, we construct risk spillover variables to test our assumption and get sound results.
        The empirical result contains three main conclusions. (1)Size、boot-to-market do a good job in explaining open-end fund returns. Taking style investment strategy can’t gain abnormal returns and maintain fund performance’s persistence. (2) Fund’s performance show strong short-term return cycle characteristics and Funds’ Managers don’t show obvious ability of obtaining abnormal return. In short-term, style shifts happens and market trend mainly affects funds’ performance. (3) Risk spillover effect appears in different funds’ performance which explains style cluster phenomenon and differences in fund returns. 
        According to the analysis of empirical results, this paper puts forward the suggestions about enriching investment products, enhancing investor’s education, building up reliable fund ratings system and enlarges asset management scope.    
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