我国证券投资基金窗饰行为的实证研究

发布时间：2018-02-04 17:19

本文关键词： 委托-代理理论窗饰行为转换收益率　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

【摘要】：有效市场理论提出之后,众多学者对市场有效性进行了检验,许多有悖于EMH的异常现象被发现,其中包括换月效应。作为换月效应的一种解释,基金的窗饰行为也受到学者的普遍关注。基金的窗饰行为分为两种,一种是对投资组合的窗饰,一种是对投资业绩的窗饰,本文的研究对象属于后者,并设计了转换收益率这一指标来衡量基金对收益的窗饰程度。本文首先从委托-代理理论出发,结合基金投资者对基金公司和基金经理给予的显性激励和隐性激励,对基金公司和基金经理采取窗饰行为的动机进行分析,而后又分别对以下三个问题进行实证研究：第一,从整体上来讲,我国基金业是否存在窗饰行为?第二,哪些基金的窗饰行为更为严重?第三,在基金所拥有的投资组合中,哪些股票更容易成为基金在期末进行窗饰的对象? 本文的研究结果表明：第一,从整体上来讲,我国基金业在年末存在显著的窗饰行为,但是没有充足的证据证明其会在季末对基金业绩进行窗饰；随着旗下基金数量的增长,基金公司会从中挑选出一两只基金进行窗饰,打造明星基金；第二,我国开放式基金在年末的窗饰行为较为严重,而没有充足的证据证明封闭式基金会对业绩进行窗饰；相对于前期表现平庸的基金,前期收益率较高或者较低的基金在期末的窗饰行为都更为严重；基金公司对旗下首只基金有较强的打造明星基金的动力,其在年末的窗饰行为显著大于非首只基金；考虑到管理费用和窗饰的难度,大规模基金和小规模基金在年末的窗饰程度显著大于中规模基金；为了降低窗饰风险,基金公司多选择前期波动率较高的基金进行窗饰；第三,当基金公司旗下多只基金抱团重仓一只股票时,该只股票在年末的窗饰程度较高；此外,一只股票的流动性越好、流通市值越低、前期表现越差、前期波动性越大,其在年末被窗饰的可能性也越大,转换收益率越高。
[Abstract]:After the efficient market theory was put forward, many scholars have tested the market efficiency, and many abnormal phenomena contrary to EMH have been found, including the lunar exchange effect, as an explanation of the moon exchange effect. The fund's window decoration behavior also receives the scholar's universal concern. The window decoration behavior of the fund is divided into two kinds, one is the window decoration of the investment portfolio, the other is the window decoration of the investment performance. The research object of this paper belongs to the latter. And designed the conversion rate of return as an indicator to measure the degree of the return of the fund window decoration. Firstly, this paper starts from the principal-agent theory. Combined with the explicit and implicit incentives given by fund investors to fund companies and fund managers, this paper analyzes the motivation of fund companies and fund managers to take window decoration behavior. Then the following three issues are studied: first, on the whole, is there a window decoration behavior in China's fund industry? Second, which funds are more serious? Third, in the portfolio owned by the Fund, which stocks are more likely to be the end of the Fund window decoration object? The results of this paper show that: first, on the whole, the fund industry in our country has significant window-decoration behavior at the end of the year, but there is no sufficient evidence to prove that it will carry on the window decoration to the fund performance at the end of the season; With the growth of the number of funds, fund companies will pick out one or two funds for window decoration to create star funds; Second, China's open-end funds at the end of the window decoration behavior is more serious, but there is no sufficient evidence to prove that closed-end funds on the performance of window decoration; Compared with the funds with mediocre performance, the funds with higher or lower returns at the end of the period are more serious. Fund company to its first fund has a strong power to build star fund, its window decoration behavior at the end of the year is significantly larger than the first fund; Considering the cost of management and the difficulty of window decoration, the degree of window decoration of large fund and small fund is significantly higher than that of middle scale fund at the end of the year. In order to reduce the risk of window decoration, fund companies choose funds with high volatility in the early stage to carry out window decoration; Third, when the fund company's many funds group heavy positions of a stock, the stock in the end of the window decoration degree is high; In addition, the better the liquidity of a stock, the lower the circulation of market value, the worse the performance, the greater the volatility, the more likely it is to be windowed at the end of the year, and the higher the conversion rate.
【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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