相对业绩排序下基金经理的风险调整行为研究

发布时间：2018-01-21 17:54

本文关键词： 基金投资组合非系统性风险系统性风险选股择时能力　出处：《上海师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：由于委托代理问题的存在，基金投资者无法了解基金经理的投资行为是否是为了实现投资者利润最大化，基金经理可能为了自身的利益而改变基金投资组合的构成，使基金收益的波动性增大，从而有损基金投资者的利益。本文的研究重点是基金投资组合的风险结构在业绩排名激励下所发生的变化，并且深入分析了基金经理的选股择时能力以解释基金投资组合非系统性风险与系统性风险发生变动的原因。本文拓展了基金业绩排名对基金经理投资风险调整行为研究的理论与方法，具有一定的理论与现实意义。国内外学者关于投资基金在业绩排序期前后风险变化的研究成果已相当丰富，，但是最后得出的结论有一定的冲突。已有的研究主要集中于分析基金总风险在业绩排名激励下的变动情况，而没有对非系统性风险和系统性风险做区别的分析，但是两者在基金风险变化中的地位不同，分别体现了基金经理的不同能力。本文的创新之处在于利用资本资产定价模型将基金风险加以分解，分别研究基金非系统性风险与系统性风险在业绩排名激励下发生的变动，为了深入解释风险变动的原因，文章选取詹森指数、H-M和T-M模型分析了基金经理的选股择时能力，以此来分析基金经理的风险调整行为是否是理性的，是否有利于基金份额持有者的利益。本文选取50只积极成长型开放式基金作为样本，收集了它们从2008年至2012年的收益数据，利用资本资产定价模型将基金投资组合的风险分解为系统性风险和非系统性风险，运用列联表法研究了不同基金业绩排序标准下，基金总风险、系统性风险和非系统性风险在排名前后期发生的变化。结论表明，投资基金的风险并没有随业绩排名的变化而变化，前期业绩较好的基金并没有在后期降低基金组合的风险，而业绩较差的基金也没在后期增加投资组合的风险以追求超额收益。投资基金的风险，不管是基金的总风险、系统性风险还是非系统性风险，都表现出强烈的市场倾向性，当大盘上升时，风险趋于上升；当大盘下跌时风险趋于降低。基金经理的风险调整行为是其能力的体现呢？本文采用詹森指数、H-M模型、T-M模型对基金经理的选股择时能力进行了分析，研究结果表示基金经理没有明显的市场时机把握能力和对有价值股票的选择能力，其投资行为有很强的盲目性。最后，针对我国基金投资中存在的不理性和不合理现象，文章分析了我国基金经理激励机制方面存在的不足，提出了健全基金市场投资的合理化建议，使基金经理和基金投资者在市场投资行为中的信息不对称情况得以改善，保障基金投资者的利益。
[Abstract]:Because of the existence of principal-agent problem, fund investors can not understand whether the investment behavior of fund managers is to maximize the profits of investors. Fund managers may change the composition of the fund portfolio for their own benefit, which will increase the volatility of the fund returns. This paper focuses on the changes of the risk structure of the fund portfolio under the incentive of performance ranking. Furthermore, the paper deeply analyzes the stock timing ability of fund managers to explain the reasons for the changes of non-systemic risk and systemic risk in the fund portfolio. This paper extends the fund performance ranking to the adjustment of fund managers' investment risk. To study the theory and method. It has certain theoretical and practical significance. Domestic and foreign scholars on investment funds in the performance ranking period before and after the risk changes have been quite rich research results. However, there are some conflicts in the conclusion. The existing studies mainly focus on the analysis of the total risk of the fund under the incentive of performance ranking, but not on the non-systemic risk and systemic risk. But they have different status in the change of fund risk, which reflects the different ability of fund manager. The innovation of this paper is that the capital asset pricing model is used to decompose the fund risk. In order to explain the causes of risk change, the paper chooses Jensen index to study the changes of non-systemic risk and systemic risk under the incentive of performance ranking respectively. The H-M and T-M models analyze the stock timing ability of fund managers, so as to analyze whether the risk adjustment behavior of fund managers is rational and beneficial to the interests of fund share holders. This paper selects 50 active growth open-end funds as samples and collects their income data from 2008 to 2012. Using the capital asset pricing model, the risk of the fund portfolio is decomposed into systemic risk and non-systemic risk, and the total risk of the fund under different performance ranking criteria is studied by using the column table method. The changes of systemic risk and non-systemic risk in the first and later stages of the ranking. The conclusion shows that the risk of investment funds does not change with the change of performance ranking. The funds with better performance did not reduce the risk of the fund portfolio in the later period, and the funds with poor performance did not increase the risk of the portfolio in the later period to pursue the excess return. The risk of the investment fund. Whether it is the total risk of the fund, the systemic risk or the non-systemic risk, When the market is rising, the risk tends to rise; when the market falls, the risk tends to decrease. The risk adjustment behavior of fund managers is the embodiment of their ability? In this paper, the Jensen index H-M model and T-M model are used to analyze the stock timing ability of fund managers. The results show that fund managers have no obvious market opportunity grasp ability and the ability to select valuable stocks, their investment behavior is very blind. Finally. In view of the irrational and unreasonable phenomenon in China's fund investment, this paper analyzes the deficiencies in the incentive mechanism of fund managers in our country, and puts forward some reasonable suggestions on how to perfect the fund market investment. The information asymmetry between fund managers and fund investors in the market investment behavior can be improved to protect the interests of fund investors.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】