中国基金绩效持续性因素分析

发布时间：2018-02-27 11:31

本文关键词： 基金持续性逻辑回归　出处：《天津大学》2015年硕士论文　论文类型：学位论文

【摘要】：基金绩效的动量效应,也即绩效的持续性,是指如果历史上表现优秀的基金在未来表现仍然优秀,则证明基金具有正向的动量效应,反之,则具有负向的动量效应,也即基金绩效的反转特性。早在上世纪60年代,国外学者就已经开始关注基金绩效的持续性现象,由于采样、实证方法和评价基准的不同,关于基金是否存在持续性仍然没有定论,但国外学者的大部分结果表明基金绩效在一定程度上存在持续性。经过近年来的快速发展,伴随着我国居民财富及财富管理需求的增加,在国家的政策鼓励支持下,我国基金行业取得了长足的发展。特别是近些年阳光私募基金的井喷式发展也为广大投资者提供了更多的财富管理工具。面对如此众多的资产管理工具,普通投资者将面临更为复杂的投资决策,如果没有规范一致的投资逻辑和框架,投资者可能会遭遇财富损失。研究基金的绩效持续性恰好为投资者的投资决策建立理论基础。通过对基金业绩持续性的研究观察,可以判断某种基金在未来的发展走向,从而影响对未来的投资方向和计划。对于具有绩效正向持续性的基金,投资者可以采取激进的追高策略,而对于具有负向持续性的基金,投资者则可以采取相对保守的反转策略。通过有效的交易择时,投资者可以获得更为满意的投资收益。本文在国内外研究成果的基础上,利用列联表法考察了2004年至2014年10年间股票型基金、混合型基金以及固定收益型基金的绩效持续性,实证结果表明我国不同类型的基金表现出不同的绩效持续性特征。同时,本文构造了二元面板逻辑回归模型,对影响基金绩效的可能因素进行了回归分析,实证结果显示,行情因素以及资产管理人的择股能力显著影响股票型基金的绩效持续性,而基金经理的择时能力则不显著,对于混合型基金和固定收益型基金,以上因素则不显著。最后,基于实证分析的结果,笔者提出了个人的政策建议,并对中国资产管理行业的未来进行了展望。
[Abstract]:The momentum effect of fund performance, that is, the persistence of performance, means that if the fund with excellent performance in history is still outstanding in the future, then it proves that the fund has a positive momentum effect, otherwise, it has a negative momentum effect. As early as -40s, foreign scholars have begun to pay attention to the persistence of fund performance, because of sampling, empirical methods and evaluation criteria. There is still no conclusion on whether the fund is sustainable or not, but most of the results of foreign scholars show that the fund performance is sustained to a certain extent. After the rapid development in recent years, With the increasing demand for wealth and wealth management in China, supported by national policies, The fund industry of our country has made great progress, especially the blowout development of sunshine private equity fund in recent years has also provided more wealth management tools for the majority of investors. In the face of so many asset management tools, Ordinary investors will face more complex investment decisions, without a coherent investment logic and framework, Investors may encounter a loss of wealth. The research on the performance sustainability of the fund exactly establishes the theoretical basis for the investor's investment decision. Through the research and observation of the fund performance sustainability, we can judge the future development direction of a certain fund. Thus affecting future investment direction and planning. For funds with positive performance sustainability, investors can adopt aggressive strategies to catch up, and for funds with negative sustainability, Investors can take a relatively conservative reversal strategy. Through effective trading timing, investors can obtain more satisfactory investment returns. The performance sustainability of stock funds, hybrid funds and fixed income funds from 2004 to 2014 was investigated by using the method of column tables. The empirical results show that different types of funds in China show different characteristics of performance persistence. This paper constructs a dual panel logic regression model and carries out regression analysis on the possible factors that affect the performance of the fund. The empirical results show that the market factor and the ability of the asset manager to select shares significantly affect the performance sustainability of the equity fund. However, the timing ability of fund managers is not significant, and the above factors are not significant for hybrid funds and fixed income funds. Finally, based on the results of empirical analysis, the author puts forward personal policy recommendations. The future of China's asset management industry is also prospected.
【学位授予单位】：天津大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.51

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