我国基金评级投资参考价值的实证研究

发布时间：2018-02-13 22:57

本文关键词： 股票型基金晨星评级基金业绩列联表法随机效应模型　出处：《暨南大学》2012年硕士论文　论文类型：学位论文

【摘要】：随着我国资本市场的不断发展,全体国民财富的逐渐积累和投资意识的不断提高，作为理财重要方式的开放式基金受到越来越多的关注。投资者如何挑选合适的基金？本文通过研究第三方评级机构的评级结果与基金后续的表现之间的关系，讨论如何正确看待基金评级结果,这一研究将具有重要的实践意义。本文分六章，第一章介绍了国内基金的发展历史，说明本文的研究内容，研究方法和意义。第二章简要介绍了国内外其他学者对基金评级研究的文献，第三章详细论述各基金评级机构的评级方法，第四章和第五章为实证检验部分，第六章分析实证结果和归纳意见。通过实证分析发现，在所选取的78只基金中，从2009年12月31日到2011年12月31日，通过Spearman秩检验模型，证实基金评级结果具备良好的持续性。随着时间的延长，同一批基金整体的平均星级会显著减小，样本整体的星级趋向集中。通过列联表检验模型，发现后续业绩表现与基金评级结果显著相关，研究表明基金评级数据具备一定的参考价值，即三星级（包含三星级）以上的基金业绩明显优于一星级、二星级基金的业绩。通过随机效应模型，，证实基金星级对基金业绩的影响作用有限，应理性看待基金评级的结果。
[Abstract]:With the continuous development of China's capital market, all of the nationalwealth accumulated gradually and continuously improve the awareness of investment, as an important way of open fund management has attracted more and more attention. How investors choose the appropriate fund? Through the study of relationship between third party rating agencies rating results and the subsequent performance of the fund, discuss how to treat the fund rating results are correct, this study has important practical significance.
This paper is divided into six chapters, the first chapter introduces the development history of the domestic fund, explains the research content of this thesis, research methods and significance. The second chapter briefly introduces the other scholars at home and abroad to study the literature fund rating rating method, the third chapter discusses the fund rating agencies, the fourth chapter and the fifth chapter is the empirical part. The empirical results and summarize the views the sixth chapter analysis.
The empirical analysis shows that in the 78 fund selected, from December 31, 2009 to December 31, 2011, through the Spearman rank test model, proved the ratingshave good sustainable. With the extension of time, the same batch of star fund average overall will significantly reduced, the overall sample star tends to concentration. By contingency table to test the model, found the follow-up performance and fund ratings were significantly correlated, studies show that fund rating data have a certain reference value, namely the three-star (including three-star) above the fund performance is better than the one star, two star fund performance. Through the random effects model, confirmed the star fund on fund performance limited role that should be a rational view of the fund rating.

【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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