我国债券型基金择时能力实证研究

发布时间：2018-05-12 02:06

本文选题：债券型基金 + 择时能力　；参考：《东北大学》2010年硕士论文

【摘要】：证券投资基金作为一种专家理财工具,具有集合投资、分散风险、变现能力强的特点,在发达国家已成为投资者的一种重要的投资工具。随着我国证券市场不断的发展和完善,我国证券市场投资基金的规模日趋扩大,基金数量越来越多,风格差别越来越大,投资者投资基金时可选择范围变得更大,选择难度也加大。在近期市场大幅震荡行情下,债券型基金受到投资者的青睐,债券型基金经理人的管理水平成为投资者关注的焦点。市场时机把握能力即择时能力是衡量基金经理人管理水平的重要指标,且目前关于股票和混合型基金的研究较多,研究债券型基金较少,因此研究债券型基金的择时能力,为投资者提供科学的投资决策依据具有重要意义。本文在系统阅读基金择时能力研究的理论基础,包括Markowitz均值方差理论、资本资产定价理论以及Fama和French三因素理论,并梳理基金择时能力实证研究方法,包括T-M模型、H-M模型、B-P模型、C-L模型、以“FF3”模型为基础的回归模型、GⅡ期权模型、Ferson和Schadt的条件模型以及Sharpe风格分析法。通过对评价基金择时能力的实证研究方法进行深入分析的基础上,发现我国学者对基金择时力的研究主要是采用国外的经典模型,很少涉及证券投资基金投资组合的分析,因此提出运用Sharpe风格分析法求解基金的投资组合从而评价基金的择时能力。本文以我国经济背景为依托,选择12只开放式债券型基金作为研究对象,从债券型基金的现金与债券之间的转换能力、通过在不同期限债券之间的转换来抓住市场时机的债券期限匹配能力、年度投资组合调整能力三个角度对基金择时能力进行研究,同时考察基金在评价期内的现金流动情况,并结合基金在市场上涨阶段和市场调整阶段的表现以及基金收益与大盘收益的关系对基金择时能力进行综合评价。研究发现南方宝元、兴业转债以及天治财富增长三只基金具有择时能力,其它样本基金不具有择时能力。
[Abstract]:As an expert financial tool, securities investment fund has been an important investment tool for investors in developed countries. With the continuous development and improvement of the securities market in our country, the scale of the investment funds in the securities market of our country is expanding day by day, the number of funds is more and more, the style difference is more and more big, the choice scope of investors' investment funds becomes bigger, The choice is also more difficult. In the recent market volatility, bond funds are favored by investors, bond fund managers' management level has become the focus of investor attention. The market timing ability is an important index to measure the management level of fund managers. At present, there are more researches on stocks and hybrid funds, less research on bond funds, so the paper studies the timing ability of bond funds. It is of great significance for investors to provide scientific basis for investment decision-making. This paper systematically reads the theoretical basis of the research on the timing ability of funds, including Markowitz mean variance theory, capital asset pricing theory and Fama and French three factor theory, and combs the empirical research methods of fund timing ability. It includes T-M model, H-M model, B-P model and C-L model, the regression model based on "FF3" model, the conditional model of Ferson and Schadt and the Sharpe style analysis method. Based on the deep analysis of the empirical research methods of evaluating the fund timing ability, it is found that the research on the timing ability of the fund is mainly based on the classical model of foreign countries, and seldom involves the analysis of the portfolio of the securities investment fund. Therefore, Sharpe style analysis method is used to solve the portfolio of the fund to evaluate the timing ability of the fund. Based on the economic background of our country, this paper chooses 12 open-end bond funds as the object of study, from the ability of conversion between cash and bonds of bond funds. Through the conversion between bonds with different maturities to grasp the bond maturity matching ability of market opportunity and the ability to adjust the annual portfolio, the paper studies the timing ability of the fund, and examines the cash flow of the fund during the evaluation period. Combined with the performance of the fund in the market rising stage and the market adjustment stage, and the relationship between the fund income and the market income, the comprehensive evaluation of the fund timing ability is carried out. The study found that the three funds of Southern Baoyuan, Societe Generale and Tianzhi Wealth growth have the ability of timing, while the other sample funds do not have the ability of timing.
【学位授予单位】：东北大学
【学位级别】：硕士
【学位授予年份】：2010
【分类号】：F224;F832.51

【参考文献】