中国证券投资基金绩效归因分析的实证研究

发布时间：2018-01-23 05:48

本文关键词： 证券投资基金绩效归因分析 Brinson模型 Carino模型　出处：《上海交通大学》2013年硕士论文　论文类型：学位论文

【摘要】：随着我国证券市场的持续健康发展，自1998年至今，我国证券投资基金得到了飞跃式的发展，已经成为我国主要机构投资者和绝大多数中小投资者金融投资的重要工具之一，不仅为广大投资者搭建了“集合投资、专家理财”的平台，更推动了证券市场的健康稳定发展和金融体系的健全完善。证券投资基金的绩效以及影响因素的研究也成为了社会各界关注的焦点。在研究国内外基金绩效分析理论、模型和研究成果的基础上，针对我国研究学者在以Brinson模型为基础的绩效归因分析方面的研究较少的情况，本文运用以Brinson模型为基础的理论，引入Carino多期绩效归因模型，更深入地对我国基金进行实证研究，，扩大研究范围和研究期间。本文选取11只开放式基金2008年至2012年的数据进行分析，评价样本基金的业绩表现，以及基金经理的资产配置能力和个股选择能力，并通过面板数据分析方法，分析牛市、熊市、基金规模、投资风格和CPI等因素对基金经理的资产配置和个股选择行为的影响，以期使基金投资者对于基金的投资业绩有更深层次的认识，对基金公司内部绩效评估研究和衡量基金经理能力方面有所帮助，并通过基金业绩影响因素分析，促进基金经理认识不足之处并加以改进，更为监管部门提供基金行业的共性特征，作为监管依据，促进监管法规的颁布以维护基金行业的健康稳健发展。实证分析结果显示，样本基金中大部分基金创造出了超额收益，其中个股选择贡献带来的正收益，弥补了资产配置引起的负收益。基金经理普遍具有股票选择能力，但其资产配置决策受到基金合同限制，表现为股票的资产配置贡献不明显；债券的资产配置贡献和个股选择贡献均表现为负数，基金经理缺乏对债券的研究；受赎回款需按时支付的压力和卖空机制的缺乏，货币及其他资产的表现抵消了部分股票的个股选择贡献。证券市场在牛市阶段，基金经理更加重视股票资产配置，而个股选择对超额收益的贡献度未有明显变化。在熊市阶段，基金经理对于股票资产配置和个股选择均很重视，两者对于超额收益的贡献度均有提高。基金规模越大，分散投资的作用越明显，个股选择对超额收益的贡献度越小。基金投资风格和我国的CPI情况与股票资产配置贡献和股票个股选择贡献之间未表现出显著相关。
[Abstract]:With the continuous and healthy development of China's securities market, since 1998, China's securities investment funds have been developed by leaps and bounds. It has become one of the important tools of financial investment for the main institutional investors and most of the small and medium-sized investors in our country. It not only sets up a platform of "collective investment and expert financial management" for the vast number of investors. It also promotes the healthy and stable development of the securities market and the sound improvement of the financial system, and the research on the performance and the influencing factors of the securities investment funds has also become the focus of attention from all walks of life. On the basis of studying the theory, model and research results of fund performance analysis at home and abroad, the research on the performance attribution analysis based on Brinson model in China is less. Based on the theory of Brinson model, this paper introduces the Carino multi-period performance attribution model to make a more in-depth empirical study on Chinese funds and expand the scope and duration of the research. This paper analyzes the data of 11 open-end funds from 2008 to 2012, and evaluates the performance of the sample funds, as well as the asset allocation ability of fund managers and the ability of stock selection. And through the panel data analysis method, analyzes the bull market, the bear market, the fund scale, the investment style and the CPI and so on the factor and so on the fund manager asset allocation and the individual stock choice behavior influence. In order to make the fund investors have a deeper understanding of the fund's investment performance, it is helpful to the research of the fund company's internal performance evaluation and the measurement of fund manager's ability, and through the analysis of the influencing factors of the fund's performance. To promote fund managers to understand the shortcomings and improve them, to provide the common features of the fund industry, as the basis of supervision, to promote the promulgation of regulatory regulations to maintain the healthy and steady development of the fund industry. The empirical results show that most of the funds in the sample funds have created excess returns, among which the positive returns from the contribution of individual stock selection. Fund managers generally have the ability of stock selection, but their asset allocation decisions are restricted by the fund contract, which shows that the contribution of equity allocation is not obvious. The contribution of asset allocation and stock selection of bonds are both negative, and fund managers lack of research on bonds; The pressure on foreclosures to pay on time and the lack of shorting mechanisms have offset the selections of some stocks by the performance of currencies and other assets. In the bull market, fund managers pay more attention to the allocation of stock assets, while the contribution of individual stock selection to excess returns has not changed significantly. Fund managers attach great importance to the allocation of stock assets and the choice of individual stocks, both of which have increased their contribution to excess returns. The larger the size of the fund, the more obvious the role of diversification. The contribution of individual stock selection to excess return is smaller. There is no significant correlation between the investment style of fund and the CPI situation of our country and the contribution of stock asset allocation and stock stock selection.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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