定期定额投资实证研究

发布时间：2018-02-24 12:05

本文关键词： 定期定额投资基金定投次优风险　出处：《天津商业大学》2013年硕士论文　论文类型：学位论文

【摘要】：定期定额投资，是一种简单而又流行，被很多投资者青睐的投资方式。这种投资方式是指在相等的时间间隔内将数额相同的资金用于特定投资或投资组合。定期定额投资法被投资顾问广泛地推荐给投资者，近几年在中国市场上流行起来的基金定投就是一种典型的定期定额投资方式。但是西方国家学术界却对这种投资方式存在争议，，主流学术观点认为，与一次性投资相比，定期定额投资是次优选择，这一争议被称为“定期定额投资之谜”。国内的学术界甚至很少有关于定期定额投资的研究。本文将向投资者详细介绍这一争论，并试图揭开这一争论的谜底。本文指出，定期定额投资方式在风险（不利事件）发生时，可以在降低风险的同时提高收益，而负半方差是度量风险（不利事件）程度的指标。本文采用中国大陆全部A股上市公司作为样本，进行了实证研究，发现在其他条件不变的前提下，负半方差越高，定期定额投资的效果越好，验证了定期定额投资方式能够在规避风险的同时提高收益的假设。本文为解开“定期定额投资之谜”提出了新的视角、观点与实证证据。由于定期定额这中投资方式在中国证券市场上的典型应用就是基金定投，所以本文还对基金定投业务在我国的发展现状进行了阐述，并对投资者在基金定投业务中需要注意的问题给出了建议，以帮助投资者更好的决策。本文在此基础上得出结论认为定期定额投资方式无论是在降低风险方面还是在提高收益方面都优于一次购买的投资方式。但是，国内基金定投的投资者并不能因此就认为可以在任何情况下应用这一投资策略就一定可以获得高收益。而必须对基金定投适合的人群，投资的金额的选择，投资期限的确定以及基金定投的风险和规则有所了解再进行投资。虽然定期定额投资法在国外已经有很多研究，但对于定期定额投资法理论上的次优性和实务中长久以来的盛行之谜却依然没有合理的解释。而且，国内关于这方面的研究多是实务界理财人员给出的投资建议，相关的学术研究少之又少，大多集中在基金定投的应用上，很少提及定期定额投资法，未将其提升到理论高度，本文试图弥补这一空白，并采用国内股票市场的历史数据来揭开定期定额投资的争论之谜。
[Abstract]:Fixed fixed investment is simple and popular. A form of investment favored by many investors. This is the use of the same amount of money in a particular investment or portfolio at equal intervals. The fixed term investment law is widely recommended to investors by investment advisers. In recent years, the fund fixed investment which has become popular in the Chinese market is a typical fixed fixed investment method. However, there is controversy in the academic circles of the western countries about this kind of investment. The mainstream academic view is that, compared with one-off investment, Fixed quota investment is the second best choice, which is called "the riddle of fixed quota investment". There are few researches on fixed quota investment in our country. This paper will introduce this argument to investors in detail. And trying to unravel the mystery of this argument. This paper points out that when the risk (adverse event) occurs, the fixed quota investment can reduce the risk and increase the return. The negative semi-variance is an index to measure the degree of risk (adverse events). This paper uses all the A-share listed companies in mainland China as a sample to carry out empirical research, and finds that the higher the negative semi-variance is, the higher the negative semi-variance is when other conditions remain unchanged. The better the effect of fixed quota investment is, the better the hypothesis is that it can avoid risks and increase returns. This paper presents a new perspective, viewpoint and empirical evidence for solving the mystery of fixed quota investment. As the typical application of fixed quota in China's securities market is fixed investment, this paper also describes the current situation of the development of fixed investment business in China. In order to help investors make better decision, the paper gives some suggestions on the problems that investors should pay attention to in the investment business. On the basis of this, this paper concludes that the fixed term investment is superior to the first purchase in terms of reducing risk or increasing the return. Domestic fund investors cannot therefore assume that the investment strategy can be used in any case to achieve high returns. Instead, it is necessary to choose the right amount of investment for the right people to invest in the fund. Investment term determination and fund investment risk and rules have some knowledge of the investment. Although there has been a lot of research on the term quota investment law abroad, there is still no reasonable explanation for the theoretical sub-optimality of the periodic quota investment law and the long prevailing mystery in practice. Most of the domestic research on this aspect is the investment advice given by the financial management personnel in practice. The relevant academic research is very few. Most of them focus on the application of fixed fund investment, and seldom mention the regular quota investment law, and do not elevate it to the theoretical level. This paper tries to fill this gap and use the historical data of domestic stock market to unravel the controversy of fixed investment.
【学位授予单位】：天津商业大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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