中国开放式股票型基金经理能力研究

发布时间：2018-01-16 23:09

本文关键词：中国开放式股票型基金经理能力研究　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：基金作为一种利益共享、风险共担的集合投资方式,除了有大型机构投资者外也吸引了大量散户的资金,在中国的金融市场发挥着举足轻重的作用。自第一只开放式基金发行以来,开放式基金逐渐取代封闭式基金,成为基金市场发展的主流。根据投资目标的不同,开放式基金可分为股票基金、债券基金、货币市场基金、混合基金等种类。股票基金是以上市交易的股票为主要投资对象的基金。2004年至2011年,中国股市经历了上涨、下跌、震荡等情况,相应的,股票型基金也随着股市波动而波动。在各种情形下,分辨出真正能获得超额收益的基金是投资者关心的重中之重。本文利用Carhart四因素模型,研究中国开放式股票型基金的业绩表现,以及基金经理是否有能力获得超额收益。本文估计了Carhart四因素模型中规模因子、价值因子、动量因子,研究发现,四因素模型对中国的股票型开放式基金的收益具有较好的解释能力,但是规模因子和价值因子对股票型开放式基金的解释能力不强。股票型开放式基金并没有表现出超出市场基准水平的超额收益。市场中存在大量表现较差的基金经理,但也存在大量表现较好的基金经理。由于Carhart模型直接参数估计可能存在问题,本文进一步采用Block bootstrap方法研究表现较好的基金的真正能力。Block bootstrap方法的结果还说明,表现较好的基金经理不仅仅是靠运气,这些基金经理确实是有技术才能有如此表现。本文的研究为基金管理人和投资者提供了评价基金业绩的新方法,为投资者发现表现更好的基金,管理者更好地管理基金开拓了新的视野。同时,本文估计的Carhart四因素模型中的规模因子、价值因子和动量因子也可为学界、业界提供基础性的工作。
[Abstract]:Fund as a benefit sharing, risk-sharing collective investment, in addition to large institutional investors, but also attracted a large number of retail funds. Since the first open-end fund was issued, the open-end fund has gradually replaced the closed-end fund and become the mainstream of fund market development. Open-end fund can be divided into stock fund, bond fund, money market fund, mixed fund and so on. The stock fund is the fund that takes the listed stock as the main investment object. 2004 to 2011. The Chinese stock market has experienced rising, falling, fluctuating and so on. Accordingly, the stock fund also fluctuates with the stock market fluctuation. In all kinds of circumstances. Identifying funds that really earn excess returns is a top priority for investors. This paper uses Carhart four-factor model to study the performance of Chinese open-end equity funds. This paper estimates the scale factor, value factor and momentum factor in Carhart four-factor model. The four-factor model has a good ability to explain the income of China's equity open-end funds. But the scale factor and the value factor have not strong ability to explain the stock open-ended fund. The stock open fund does not show the excess return which exceeds the market benchmark level. There are a large number of poor performance funds in the market. Manager. However, there are also a large number of fund managers who perform well. There may be problems in estimating the direct parameters of the Carhart model. This paper further uses the Block bootstrap method to study the true ability of the better performance fund. Block bootstrap method results also show. It's not just luck that makes better managers; they do have the skills to do so. The research in this paper provides a new method for fund managers and investors to evaluate the performance of funds, for investors to find better performance of funds, managers better management of funds to open new horizons. The scale factor, value factor and momentum factor in the Carhart four-factor model estimated in this paper can also provide the basic work for the academic field and the industry.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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