我国开放式股票基金业绩的内在影响因素研究

发布时间：2018-06-21 16:17

本文选题：开放式股票基金 + 基金业绩　；参考：《华侨大学》2013年硕士论文

【摘要】：我国股票市场自从设立之后，个人投资者主导的市场投机氛围浓厚,为避免暴涨暴跌，稳定市场，2001年证监会提出超常规发展机构投资者的战略，而证券投资基金积少成多、集中理财、专业投资的特性使其担当起稳定大市的重任，并受到了各项政策和法律法规的支持，由此基金业在我国得以蓬勃发展。纵观这几年我国基金业的发展，开放式基金已成为基金业的主流，而股票基金则占据了开放式基金的半壁江山，开放式股票基金作为一种集合证券投资方式越来越成为投资者投资的热点和重点，，因此对开放式股票基金业绩进行评价成为基金管理公司、投资者及监管当局的一个重要议题。已有研究表明，处于同一时期的不同基金在业绩上存在着较大的差异，这种差异主要是由基金自身的内在因素造成的。本文在借鉴国内外研究的基础上，结合我国基金的现状和开放式股票基金的特点，探讨了不同指标的基金业绩与基金费用、基金规模、持股周转率、基金存续期及基金经理变更频率之间的关系。本文按照银河证券基金分类体系的规定，选取2005年12月31日前成立的43只开放式股票基金为研究样本，以2006年1月1日到2012年12月31日为评价期，每半年为1个时段，总共有14个时段，采用面板数据回归方法探讨不同指标业绩与各影响因素之间的关系。本文分别以基金的风险未调整收益、特雷诺指数、夏普指数、詹森指数、Fama-French三因子调整收益为因变量，以交易费用占收益比、总费用占收益比、基金规模对数、持股周转率、基金存续期、基金经理变更频率为自变量，采用面板数据回归分析，得出以下结论：基金业绩与基金规模、基金存续期显著负相关，与基金持股周转率显著正相关；基金业绩与交易费用占收益比正相关，但不是非常显著；基金业绩与总费用占收益比没有明显的关系；基金经理变更频率对基金的风险未调整收益、特雷诺指数、夏普指数没有明显影响，对詹森指数和Fama-French三因子调整收益有一定的负向影响，但不是非常显著。
[Abstract]:Since the establishment of the stock market in China, the speculative atmosphere dominated by individual investors has been strong. In order to avoid soaring and plummeting and to stabilize the market, the Securities Regulatory Commission in 2001 put forward the strategy of developing institutional investors in an extraordinary way, while the securities investment funds accumulated a small amount of money. The characteristics of centralized financial management and professional investment make it take on the important task of stabilizing the market, and it is supported by various policies and laws and regulations, so the fund industry can flourish in our country. Looking at the development of the fund industry in China in recent years, the open-end fund has become the mainstream of the fund industry, and the stock fund has occupied half of the open-end fund. As a kind of pooled securities investment, open-end stock fund has become the focus of investors' investment. Therefore, it is an important issue for fund management companies, investors and regulatory authorities to evaluate the performance of open-end stock funds. Previous studies have shown that there are great differences in the performance of different funds in the same period, which are mainly caused by the internal factors of the funds themselves. On the basis of domestic and foreign research, combined with the current situation of Chinese funds and the characteristics of open-end stock funds, this paper discusses the fund performance and fund cost, fund scale, shareholding turnover of different indicators. The relationship between the duration of the fund and the change frequency of the fund manager. According to the classification system of Galaxy Securities Fund, this paper selects 43 open-end stock funds established before December 31, 2005 as the research sample, and takes the period from January 1, 2006 to December 31, 2012 as the evaluation period, every six months as a period. In a total of 14 periods, the panel data regression method was used to study the relationship between the performance of different indicators and the influencing factors. This paper takes the risk unadjusted income of the fund, Traineau index, Sharp index, Jensen index and Fama-French adjusted income as the dependent variables, taking the transaction cost as the income ratio, the total cost as the income ratio, the logarithm of the fund size, and the stock holding turnover. The paper uses panel data regression analysis to draw the following conclusions: fund performance is negatively correlated with fund size, fund duration is significantly negative, and fund ownership turnover is significantly positive; Fund performance is positively correlated with the ratio of transaction cost to income, but it is not very significant; there is no obvious relationship between fund performance and the ratio of total cost to income; the change frequency of fund manager has no adjusted return on the risk of the fund, Traineau index, Sharp index has no obvious influence on Jensen index and Fama-French three-factor adjustment income, but it is not very significant.
【学位授予单位】：华侨大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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