中国博彩型股票对基金业绩的影响

发布时间：2018-01-11 18:38

本文关键词：中国博彩型股票对基金业绩的影响　出处：《华中科技大学》2013年硕士论文　论文类型：学位论文

【摘要】：借鉴Kumar(2009)的研究，本文按照收益偏度、特质波动与股价水平三个维度将股票分为博彩型与非博彩型，首先考察了博彩和非博彩型股票的收益率。其次考察了如下两个问题：机构投资者是规避还是偏好参与博彩？参与博彩型股票是否影响了其业绩？研究发现：第一、通过从博彩、非博彩型股票被机构投资者持有的市值占流通股市值比以及机构投资者持有博彩、非博彩型股票占投资股票总市值的比例，考察机构投资者的博彩偏好，结果表明机构投资者整体上表现为博彩规避，这说明其投资理念是理性的；第二、在考察基金持有博彩和非博彩型股票是否会影响基金业绩时，得出结论持有更多的博彩型股票显著降低了机构投资者的业绩，而持有更多的非博彩型股票会提升基金的业绩。第三、基金持有非博彩型和博彩型股票比例之差也会显著影响基金业绩。而基金持有博彩、非博彩型股票比重之比在普通股票基金数据中对基金业绩有显著影响，但是在混合偏股基金中没有显著影响，，因此认为此变量的显著性不稳定，结果不够可信。本研究具有明晰的政策含义，即机构投资者在做出投资策略时，应当遵循稳健的投资风格，尽可能规避博彩型股票；对于投资者而言，在选择参与机构投资者（如基金）时，也可以通过博彩特征对其加以评估。
[Abstract]:Using Kumaran 2009 as a reference, this paper divides stock into betting type and non-gambling type according to the three dimensions of income bias, trait fluctuation and stock price level. First, we examine the yield of betting and non-gambling stocks. Secondly, we examine the following two questions: is institutional investors averse or prefer to participate in gambling? Does participating betting stocks affect their performance? The study found that: first, through gambling, non-gambling shares held by institutional investors by the market value ratio of outstanding shares market value as well as institutional investors holding gambling, non-gambling stocks in the total investment stock market value proportion. The results show that institutional investors' gambling evades as a whole, which shows that their investment concept is rational. Second, in examining whether holding betting and non-betting stocks will affect the performance of the fund, it is concluded that holding more betting stocks significantly reduces the performance of institutional investors. And holding more non-betting stocks will improve the performance of the fund. Third, the difference between the proportion of non-betting and gambling shares will significantly affect the performance of the fund. The ratio of non-betting stocks has a significant impact on the performance of the fund in the data of ordinary stock funds, but it has no significant effect on the mixed equity funds, so the significance of this variable is considered to be unstable. The results are not credible enough. This study has clear policy implications, that is, institutional investors should follow a sound investment style when making investment strategies, and avoid gambling stocks as much as possible; For investors, they can also be evaluated by their betting characteristics when choosing institutional investors (such as funds).
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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