中国开放式债券型基金业绩持续性影响因素的实证研究

发布时间：2018-03-05 06:47

本文选题：开放式债券型基金　切入点：业绩持续性　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：作为证券投资基金的主要组成部分,公募基金逐渐成为中国金融业中一种重要的理财工具,是大众投资者投资于资本市场的重要渠道,有着组合投资、风险分散和专家管理等优势。中国的公募基金行业与欧美等成熟市场相比起步较晚,截至2012年底,我国基金行业的资产净值合计为28663.78亿元。而2012年在中国股市相对疲软的背景下,债券型基金迅速扩容,呈现出井喷式增长,债券类资产成为了居民投资中的一大重要组成部分。本文的分析重点是基金业绩的持续性,又称热手效应,为了解基金的未来业绩与其历史业绩的相关性以及影响基金业绩持续性的重要因素,本文以2007年12月31日之前成立30只的中国的开放式债券型基金作为研究对象,引入西方经典理论和研究成果,回顾国内开放式基金业绩持续性的影响因素的研究现状,以同类型可比基金的相对业绩排名作为业绩的衡量基准,采用斯皮尔曼相关系数检验的方法对2008年至2012年间的数据进行持续性检验。并且,笔者还结合我国公募基金行业的发展演变、基金的基本情况、基金经理特征等因素构造多元回归分析的模型研究我国开放式债券型基金的业绩持续性的影响因素。实证的研究结果说明我国开放式债券型基金业绩的持续性较强,而基金的规模和具体类型、基金的管理体制、基金经理的名校经理、专业背景、以及是否拥有CFA等职业资格证书对基金业绩的持续性影响显著,对结论进行分析后希望以此对投资者进行基金投资的选择、基金管理公司的经营管理和基金行业监管机构的发展完善提出相关建议。
[Abstract]:As the main component of the securities investment fund, the public offering fund has gradually become an important financial tool in China's financial industry. It is an important channel for the public investors to invest in the capital market and has a portfolio investment. China's public offering fund industry started relatively late compared with mature markets such as Europe and the United States. As of end of 2012, In 2012, under the background of relative weakness of Chinese stock market, bond funds expanded rapidly, showing blowout growth, and bond assets became an important part of residents' investment. This paper focuses on the sustainability of fund performance, also known as the hot hand effect, in order to understand the future performance of the fund and its historical performance, as well as the important factors affecting the performance sustainability of the fund. This paper takes 30 open-end bond funds established before December 31st 2007 as the research object, introduces the western classical theories and research results, and reviews the research status of the influencing factors of the performance sustainability of the open-end funds in China. Using the relative performance ranking of comparable funds of the same type as a measure of performance, using the Spelman correlation coefficient test to test the data for the period from 2008 to 2012. The author also studies the influencing factors of the performance sustainability of the open-end bond fund in China by combining the development and evolution of the public offering fund industry, the basic situation of the fund, the characteristics of the fund manager and other factors to construct the model of multiple regression analysis. The empirical results show that the performance of open-end bond funds in China is strong, and the size and specific types of funds, fund management system, fund managers of famous school managers, professional background, And whether the professional qualification certificate such as CFA has a significant impact on the performance of the fund. After analyzing the conclusion, we hope to make the choice of the fund investment for the investors. The management of fund management companies and the development and improvement of fund industry regulators put forward relevant suggestions.
【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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