中国证券投资基金业绩持续性的研究

发布时间：2018-01-10 12:25

本文关键词：中国证券投资基金业绩持续性的研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：本文研究了中国市场中证券投资基金的业绩持续性,业绩持续性指的是证券投资基金的业绩呈现出强者恒强、弱者恒弱的特征。证券投资基金作为中国资本市场中最为重要的机构投资者,从1991年开始发展至今,基金数量已达千余只。基金的历史业绩是投资者挑选基金、监管机构提高市场效率、基金经理提高基金业绩的重要参考,所以研究中国市场上基金业绩持续性具有重要的现实意义。相对于美国等发达国家,我国证券投资基金的发展历史比较短暂,国内针对证券投资基金业绩持续性的研究,主要集中于早期的封闭式基金以及短期的业绩持续性,缺乏对当今证券投资基金中长期业绩持续性的研究。本文选取了股票基金、债券基金、封闭式基金三类基金作为研究对象,以2005-2011作为样本期间,这一期间中国股市经历了一个相对完整的周期,对研究证券投资基金的业绩持续性提供了客观的现实基础。本文主要根据基金的原始收益率和詹森指数两个指标来衡量基金的业绩,采取了列联表与横截面回归两种方法,分别以六个月和一年为时间间隔,对上述三类基金做了测试。当时间间隔设定为一年期时,在原始收益率下,股票基金的业绩出现了明显的反转,债券基金的业绩反转与持续交替出现；在詹森指数下,两类基金的业绩都出现了轻微程度的持续,但是结果不太显著。无论在哪种情况下,封闭式基金的业绩都没有呈现出某种明显的趋势。以六个月为时间段的测试结果的规律相较而言不太明显,业绩的持续和反转显著程度有所减弱。在上述研究的基础上,本文提出了几个可能影响业绩持续性的因素并进行了实证分析： 1.管理者才能。根据基金经理的历史数据来看,市场上存在明星经理,他们管理下的基金可以持续的获得相对好的业绩。基金经理的从业年限和他们的业绩息息相关,从业时间长的基金经理业绩相对较好。投资者可以通过追随明星经理来取得稳定的高于市场平均水平的收益。 2.管理费。股票基金中除指数基金外管理费均为1.5%,所以本文仅测试了指数基金和债券基金的管理费与业绩之间的关系,在之前的横截面回归中增加了一个管理费变量。结果显示,指数基金的管理费与业绩无关,债券基金的管理费和业绩呈正相关,但程度也不是很显著。由于到目前为止,还没有一只股票或债券基金退市,所以在股票和债券基金中,不存在生存偏差；但是从2006年开始,陆续有封闭式基金到期退市,部分转为了开放式基金,封转开的基金在退市前的业绩略优于市场标杆,由此造成的生存偏差效应还需要进一步的研究。另外,诸如股票惯性假说和基金规模等有可能影响业绩持续性的因素,同样需要针对中国市场做进一步的分析。
[Abstract]:This paper studies the performance sustainability of securities investment funds in China market. Performance persistence refers to the performance of securities investment funds showing a strong permanent strength. As the most important institutional investors in China's capital market, securities investment funds have developed since 1991. The historical performance of funds is an important reference for investors to select funds, regulators to improve market efficiency and fund managers to improve fund performance. Therefore, the study of fund performance sustainability in the Chinese market has important practical significance. Compared with the developed countries such as the United States, the development history of China's securities investment funds is relatively short. Domestic research on the performance sustainability of securities investment funds mainly focuses on the early closed-end funds and short-term performance sustainability. Lack of research on the long-term performance sustainability of today's securities investment funds. This paper selects stock funds, bond funds, closed-end funds as the research object. Taking 2005-2011 as a sample period, the Chinese stock market experienced a relatively complete cycle, which provides an objective practical basis for the study of the performance sustainability of securities investment funds. This paper mainly measures the performance of the fund according to the original rate of return of the fund and Jensen index, and adopts two methods of column table and cross section regression, which take six months and one year as the time interval respectively. When the time interval is set to one year, the performance of the stock fund is reversed obviously under the original yield, and the performance of the bond fund alternates with the continuous; In the Jensen index, the performance of both funds has been slightly consistent, but the results have not been significant. In either case. The results of closed-end funds showed no obvious trend. The regularity of the test results over a six-month period was less obvious, and the degree of continuity and reversal of the results was weakened. On the basis of the above research, this paper puts forward several factors that may affect the performance persistence and makes an empirical analysis. 1. Managerial talent. According to the historical data of fund managers, there are star managers in the market. Funds under their management can consistently achieve relatively good performance. The number of years of service of fund managers is closely related to their performance. Long-term fund managers perform relatively well. Investors can follow star managers to achieve steady above-market returns. 2. Management fee. The management fee of stock fund is 1.5 except index fund, so this paper only tests the relationship between management fee and performance of index fund and bond fund. The results show that the management fee of the index fund is independent of the performance, the management fee of the bond fund is positively correlated with the performance, but the degree is not very significant. So far, there is not a stock or bond fund delisting, so in the stock and bond funds, there is no survival bias; However, since 2006, there have been closed funds expired and delisted, some of them have been turned into open-end funds, the performance of the closed funds before delisting is slightly better than the market benchmark. In addition, factors such as stock inertia hypothesis and fund size, which may affect performance sustainability, also need to be further analyzed in China market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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