基于DEA的证券投资基金绩效评价与影响因素分析

发布时间：2018-01-27 06:57

本文关键词： 基金绩效评价 DEA模型持续性效率影响因素 Tobit模型　出处：《吉林大学》2013年硕士论文　论文类型：学位论文

【摘要】：基金行业在我国是发展比较晚的但是充满活力的行业。到2001年，我国的第一支开放式基金-华安创新正式被批准成立，这使我国基金步入了一个全新的时期。随后，开放式基金在规模上的发展出现了迅速的增长。同时伴随着出现了一些问题。直到2003年10月《证券投资基金法》的颁布并开始实施，是我国基金业史上的一个至关重要的里程碑，从此进入了稳步地，崭新的发展阶段。在之后，开放式基金迅猛的发展过程中，其中股票型基金仍然占据着基金公司发布的产品中的主导地位。相对于股票，基金由于自身的优越性，越来越受个人和机构投资者的追捧。因此，为了使基金业在竞争激烈的市场中更健康稳定的发展，投资者更加理性准确的选择目标基金，因此有必要对基金的经营效率进行研究，对影响基金效率的重要因素进行实证分析，探讨基金业的经营情况，为基金管理公司和投资者提出相应的参考建议。本文首先运用数据包络分析方法（Data Envelopment Analysis,简称DEA）对27只基金2006-2012年的数据进行实证分析。文中通过选取17只股票型基金、10只混合型基金，对其加以讨论。实证研究结果显示，2006-2012年间27只基金的技术效率值和规模效率值的波动较大，这有很大的可能是与当时的全球宏观经济震荡波动有关。在2006年和2007年，基金整体的的平均效率值较高，，但是2008年几乎达到了7年来最低的平均效率值。2009年，整体的平均效率值又迅速的得到回升。2010年和2011年又一次的下探。2012年整体基本上表现为回升。另外，根据分类分析，对于不同类型的基金，其效率值在不同的年份也有一定的差异。基本上表现为，混合型基金的波动较股票型小一些，并且表现出一定的滞后效应。但是混合型并没有跟预期一样，表现出明显的强劲的抗风险能力以及稳定的运营效率。在对样本基金的效率值进行分析之后，通过效率值的7年间的排序对基金持续性进行了简要分析，得出基金的效率在样本期间并没有表现出一定的持续性。然后通过选择期初单位净值、费率、总份额变动率、基金规模和收益率等五个假设影响基金效率值的变量指标，利用受限因变量模型中的审查回归模型（Tobit）对其进行回归，考察对基金效率值产生影响的潜在因素。回归结果表明，期初单位净值对基金的技术效率和规模效率都有正相关性影响。但是基金规模对效率值有一定的负相关的影响，其他的几个影响因素都不是特别显著的对效率值产生影响。特别注意的是，常数项对效率值的影响在所有的分析中都是完全显著的。可以看出，除了上面的微观因素对效率值的影响之外，基金还受其他因素，比如宏观因素中的沪深300指数收益率，利率等等的影响。由上面的实证分析可以得出以下结论：首先，证券投资基金本质上虽然相对于股票，债券的风险较小，但是研究结果表明基金在几年间的运营效率值并没有表现完全有效，只是个别基金表现的相对有效些，且没有表现出稳定高效的持续性。由此建议投资者在选择基金时，不能只看基金的过去盈利情况，因为过去可能在一段时间盈利高，但是整体来看是波动的，并且盈利也不具有持续性。其次，通过对影响因素的回归结果显示，基金的内在的因素对基金的影响并不是特别明显，这就说明基金可能在受自身因素影响下，受宏观经济或者基金经理的选股能力、择时能力等多方面的影响因素比较多，从这方面考虑基金管理公司就要在培养高素质，经验丰富的基金经理方面投入更多。
[Abstract]:The fund industry in China is relatively late development but vibrant industry. By 2001, the first opening of China's Innovation Fund - Huaan officially approved the establishment of the fund in China has entered a new period. Subsequently, the open-end funds in the scale of development there is a rapid growth. At the same time, along with the emergence of some problems. Until October 2003 "securities investment fund law" promulgated and implemented, is one of the most important milepost in China's fund industry history, has now entered steadily, a new stage of development. In the development process, the open-end fund rapidly, including stock funds still dominated fund company released product. Compared to the stock fund, because of its advantages, more and more individuals and institutional investors. Therefore, in order to make the fund industry in the fierce competition in the market In the development of a more healthy and stable, investors are more rational choice of target fund accurately, so it is necessary to study the fund's operating efficiency, to analyze the important factors affecting the efficiency of fund, operation of the fund industry, put forward the corresponding suggestions for the fund management companies and investment.
This paper uses the method of data envelopment analysis (Data Envelopment Analysis, referred to as DEA) to make an empirical analysis on 27 fund 2006-2012 years. A total of 17 stock funds in this paper, 10 hybrid funds, to be discussed. The empirical results show that the technical efficiency of 2006-2012 years, 27 fund value and scale the efficiency value of volatility, which is very likely with the relevant global macroeconomic shock wave. In 2006 and 2007, the average efficiency of the fund's overall value is higher, but in 2008 reached almost 7 years to the lowest average efficiency value of.2009 years, the average efficiency value of the overall picked up quickly in.2010 and in 2011 once again dropping the.2012 overall rebound basically. In addition, according to the classification analysis for the different types of funds, the efficiency value in different years are different. This shows that the volatility of mixed funds is smaller than that of stock type, and shows a certain lag effect. However, the mixed type is not as strong as expected, showing strong strong anti risk ability and stable operation efficiency.
The efficiency of the sample value of the fund was analyzed after 7 years, through the efficiency value ranking gives a brief analysis on the foundation of sustainability, efficiency that fund in the sample period did not show some persistence. Then by choosing the initial net unit, total share rate, the rate of change in the variable index fund size and the yield of five assumptions affect the efficiency of fund utilization value, limited dependent variable model in censored regression model (Tobit) of the regression, study of funds efficiency value potential influence factors. The regression results show that the initial net unit there was a positive correlation between the impact on fund technical efficiency and scale efficiency. But the fund size on the efficiency value of the negative effect of some relevant factors, the other is not a particularly significant impact on the efficiency value. Special attention is constant on the efficiency value. All the analysis is quite significant. It can be seen that besides the influence of the above microscopic factors on the efficiency, the fund is also influenced by other factors, such as the yield and interest rate of the CSI 300 index in the macro factors.
From the above analysis we can draw the following conclusions: first, the securities investment fund in essence though relative to the stock, the bond risk is small, but the results of the study show that the efficiency of fund operations in the past few years the value of not completely effective, but the individual fund performance of more effective, and did not show continuous stable and efficient. It is suggested that the investors in the choice of funds, not only the fund's past earnings, because in the past in a period of time may be highly profitable, but overall is fluctuating, and earnings are not sustainable. Secondly, through analyzing the influence factors of the regression results show that the fund's internal factors impact on the fund is not especially, the fund may be affected by its own factors, affected by macroeconomic or the fund manager's stock picking ability, timing ability and other aspects of the factors affecting the ratio More, from this point of view, the fund management companies should invest more in training high quality and experienced fund managers.

【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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