我国基金家族的明星策略研究

发布时间：2018-03-03 20:23

本文选题：溢出效应　切入点：明星策略　出处：《浙江大学》2012年硕士论文　论文类型：学位论文

【摘要】：如今,基金管理公司已成为我国证券投资市场的重要参与主体,基金也成为投资者的重要投资选择。为了深入探究基金市场的运行规律和基金家族的经营策略,更好地保护投资者的权益和提高整个资本市场的运行效率,本文从研究基金家族的资金流与基金评级的关系着手,逐步深入地研究了明星基金的明星效应和溢出效应的存在性,以及基金家族明星策略的有效性和运作机制等问题。本文主要采用定量分析与模型检验相结合的方法对问题进行分析。首先,分别从基金家族和基金个体层面分析了资金流与基金评级的关系,验证了明星基金的明星效应与溢出效应的存在性。然后,构建logit模型研究了基金家族明星策略的存在性和有效性问题。接下来,为了深入探讨基金家族实行明星策略的运行方式,本文通过研究基金家族的交叉补贴行为,为其明星策略的具体运作方式提供解释依据。本文创新性地分析了家族共同持股程度对明星策略的影响,并从交叉补贴行为的角度进行实证分析和讨论,探究了基金家族明星策略的具体运作方式。另外为了分析不同市场环境下基金家族和投资者的行为特点,本文对2006年到2011年间股票市场所经历的牛市和熊市环境分别进行了实证检验。综合来看,本文的研究主要得到以下成果：(1)验证了我国基金市场中明星基金存在显著的明星效应和溢出效应。(2)基金家族在明星基金溢出效应的诱惑下,采用了明星策略,并发现家族共同持股程度、业绩标准差和成员基金数量与家族内产生明星基金的概率显著正相关,且共同持股程度的显著性最高。(3)发现基金家族内存在交叉补贴行为,认为较高的家族共同持股程度、成员基金数量能够提高交叉补贴的灵活性,较高的家族业绩离差也一定程度上源于交叉补贴行为,这为解释家族特征变量与明星基金产生概率的内在联系机制提供了有力依据。
[Abstract]:Nowadays, the fund management company has become an important participant in China's securities investment market, and the fund has also become an important investment choice for investors. In order to better protect investors' rights and interests and improve the efficiency of the whole capital market, this paper studies the existence of star effect and spillover effect of star funds step by step from the study of the relationship between fund family capital flow and fund rating. As well as the fund family star strategy effectiveness and the operation mechanism and so on question. This paper mainly adopts the method of combining quantitative analysis and model checking to analyze the problem. Firstly, the relationship between fund flow and fund rating is analyzed from fund family and fund individual level. The existence of star effect and spillover effect of star fund is verified. Then, logit model is constructed to study the existence and effectiveness of star strategy of fund family. In order to probe into the running mode of the star strategy of the fund family, this paper studies the cross-subsidization behavior of the fund family, and provides the explanation basis for the specific operation mode of the fund family's star strategy. This paper innovatively analyzes the influence of the degree of family joint ownership on star strategy, and makes an empirical analysis and discussion from the perspective of cross-subsidy behavior. In order to analyze the behavior characteristics of fund family and investors in different market environment, this paper explores the specific operation of fund family star strategy. This paper empirically tests the bull market and bear market environment in stock market from 2006 to 2011. To sum up, the research results of this paper are as follows: 1) it verifies that star fund has significant star effect and spillover effect in our country's fund market.) under the temptation of star fund spillover effect, the fund family adopts star strategy. It was found that the degree of joint ownership, the standard deviation of performance and the number of member funds were significantly positively correlated with the probability of producing star funds in the family, and the degree of co-ownership was the most significant. It is considered that the number of member funds can improve the flexibility of cross-subsidy with higher degree of joint ownership, and the higher deviation of family performance is also due to the behavior of cross-subsidy to some extent. This provides a powerful basis for explaining the relationship between the family characteristic variables and the probability of star funds.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

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