中国证券市场开放式基金投资风格变化研究

发布时间：2018-01-24 15:41

本文关键词： 开放式基金投资风格风格变换 Gruber模型　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：自2001年我国第一只开放式基金成立以来,我国开放式基金业飞速发展,并业已成为我国投资基金业的主流。随着中国证券市场的不断成熟,市场环境也日趋复杂,当投资者不具备投研能力进行投资时,将资金交给合乎自己风险偏好的开放式基金打理,不失为一种资产增值的好手段。而基金的风格则是投资者判断是否适合自己需求的一大标准。通常基金的募集契约书中都会标注其投资目的和范围,同时,基金的名称也会给投资者带来一定的影响,这两点构成了基金的名义风格。但是很多基金的投资风格在现实操作中发生了变化,这为基金投资者的决策带来了一定的难度。因此,研究如何正确判断基金风格,了解基金风格变化的原因及其与基金业绩之间的关系,具有一定的现实意义。首先,本文简要的介绍了中国基金业的发展及开放式基金的特点。随后本文列举了现有基金投资风格的定义,并提供了本文对基金投资风格的定义,介绍了现在常用的基金风格分类手段。然后,本文分析了现有投资风格判断方法的优缺点,挑选Gruber回归模型作为本文的实证研究手段。实证发现,基金投资风格趋同于大盘成长型,风格变化现象严重,且与市场波动情况呈正相关。同时,我们也发现基金风格的变化并不能为基金带来超过行业水平的收益率。最后,本文讨论了影响基金风格变化与趋同的因素,本文认为基金投资风格变化现象受中国市场发展状况、投资者的投资理能力以及基金管理者的业绩压力影响较大。
[Abstract]:Since the establishment of the first open-end fund in 2001, China's open-end fund industry has developed rapidly and has become the mainstream of China's investment fund industry. The market environment is becoming more and more complex, when investors do not have the ability to invest in research, the funds will be in line with their own risk appetite of open-end funds to take care of. It is a good way to increase the value of assets, and the style of funds is a big criterion for investors to judge whether they are fit for their own needs. Usually, the purpose and scope of the fund's investment are indicated in the contract of raising the fund. At the same time, the name of the fund will also bring some influence to the investors. These two points constitute the nominal style of the fund. However, the investment style of many funds has changed in the actual operation, which brings some difficulty to the decision-making of the fund investors. It is of practical significance to study how to judge the fund style correctly, to understand the reason of the fund style change and the relationship between the fund style and the fund performance. First of all, this paper briefly introduces the development of the Chinese fund industry and the characteristics of open-end funds. Then, this paper lists the definition of the existing fund investment style, and provides the definition of the fund investment style in this paper. This paper introduces the current commonly used fund style classification methods. Then, this paper analyzes the advantages and disadvantages of the existing investment style judgment methods, and selects the Gruber regression model as the empirical research means. At the same time, we also find that the change of fund style can not bring the fund more than the industry level of return. Finally, this paper discusses the factors that influence the change and convergence of fund style. This paper holds that the phenomenon of fund investment style change is affected by the development of Chinese market. The investor's investment management ability and the fund manager's performance pressure influence is bigger.
【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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