中国股票市场异象的特征及其与股票型基金风格漂移的关系研究

发布时间：2018-03-21 23:39

本文选题：风格投资　切入点：风格漂移　出处：《天津大学》2012年博士论文　论文类型：学位论文

【摘要】：股票市场异象在对经典金融理论进行猛烈抨击的同时，也推动了行为金融理论的发展和风格投资的盛行。根据风格投资的动因，风格漂移与市场异象之间似乎存在内生性关系：保持与市场异象一致的投资风格，捕捉市场异象带来的超额收益，既是风格投资的主要动机，也是保证风格投资策略成功的关键。然而，我国风格投资践行者的风格漂移与股票市场异象之间似乎并不存在理论上的一致性：一方面，价值溢价、规模溢价和动量溢价等市场异象不断被实证研究所揭示，市场异象为风格投资者提供了系统性获利机会；另一方面，风格投资的主要追随者—股票型基金却存在普遍的风格错配现象，在风格投资实践中遭遇了重重挫折。在此背景下，对市场异象的特征及其与基金风格漂移之间的关系进行系统研究，既能够为基金业预测、利用市场异象提供科学的理论指导，也有利于揭示基金业内普遍存在的风格错配的深层次原因，对于把握股票市场的规律和提高风格投资的水平都有较为现实的意义。本文从我国基金业内盛行的风格投资行为出发，重点对占据基金市场主体的股票型基金的风格投资行为及风格漂移现象进行考察，总结了我国股票型基金的风格投资实践的行为特征，并对股票型基金风格投资业绩进行了实证分析；结合CAPM及四因子模型在我国A股市场的适用性检验，基于大样本对我国股票市场的有效性进行了实证分析，在此基础上识别出我国股票市场中的主要异象，理论和实证分析均发现价值溢价、规模溢价和动量溢价是我国股票市场存在的主要异常现象，并利用数理建模和实证分析抽象出主要市场异象在持续性、波动性和周期性等方面的基本特征；进一步，检验市场异象与风格投资（风格漂移）之间的关联性、一致性和因果关系，从市场异象的视角揭示了我国股票型基金的风格错配现象的动因；最后，基于我国市场异象的波动性和周期性特征，提出了基于市场异象可预测性的风格轮换策略，，通过对风格轮换策略与风格一致性策略的投资业绩进行仿真比较，提出了改进我国股票型基金风格投资行为的对策建议。
[Abstract]:At the same time, it also promotes the development of behavioral finance theory and the popularity of style investment. According to the motivation of style investment, There seems to be an endogenous relationship between style drift and market anomalies: maintaining investment styles consistent with market anomalies and capturing excess returns from market anomalies are the main motivations for style investment. It is also the key to the success of stylistic investment strategies. However, there seems to be no theoretical consistency between style drift and stock market anomalies: on the one hand, market anomalies such as value premium, scale premium and momentum premium are constantly revealed by empirical studies. Market anomalies provide systematic profit opportunities for style investors; on the other hand, there is a widespread style mismatch phenomenon in equity funds, which is the main follower of style investment. In this context, there are many setbacks in the practice of style investment. A systematic study of the characteristics of market anomalies and the relationship between market anomalies and fund style drift can provide scientific theoretical guidance for fund industry prediction and utilization of market anomalies. It is also helpful to reveal the deep reasons of style mismatch in the fund industry, and it is of practical significance to grasp the law of stock market and improve the level of style investment. Starting from the style investment behavior prevailing in the fund industry in China, this paper focuses on the style investment behavior and the style drift phenomenon of the stock fund which occupies the main part of the fund market. This paper summarizes the behavioral characteristics of the style investment practice of the stock fund in China, and makes an empirical analysis of the performance of the equity fund style investment, and tests the applicability of the CAPM model and the four-factor model in the A-share market of our country. Based on the empirical analysis of the effectiveness of China's stock market based on large samples, the main anomalies in China's stock market are identified, and the value premium is found in both theoretical and empirical analysis. Scale premium and momentum premium are the main abnormal phenomena in China's stock market, and the basic characteristics of the main market anomalies in persistence, volatility and periodicity are abstracted by mathematical modeling and empirical analysis. This paper examines the relevance, consistency and causality between market anomalies and style investment (style drift), and reveals the causes of style mismatch of equity funds in China from the perspective of market anomalies. Based on the characteristics of volatility and periodicity of market anomalies in China, a style rotation strategy based on market vision predictability is proposed. The investment performance of style rotation strategy and style consistency strategy are simulated and compared. This paper puts forward some countermeasures and suggestions to improve the style investment behavior of equity funds in China.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2012
【分类号】：F832.51;F224

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