消极投资策略研究

发布时间：2018-03-04 03:30

本文选题：有效市场假说　切入点：消极投资　出处：《天津商业大学》2013年硕士论文　论文类型：学位论文

【摘要】：我国股市从1990年12月正式营业至今，期间经历过涨涨跌跌、起起伏伏,投资者如何在动荡的股市中获利，这是广大投资者最为关心的问题。本文根据有效市场假说，结合当前投资学教程中有关消极投资策略的内容，由于消极投资策略的模糊性，本文对于选股择时问题进行深入研究，提出详尽消极选股选时策略，弥补当前消极投资策略只有选股而没有选时的缺陷的基础上，阐述消极选股策略的优越性，详尽介绍消极选时策略的优越性，并对消极投资策略在我国具体应用提出建议。本文第一章为绪论。介绍研究背景、提出问题、研究方法、研究内容、框架及研究意义等等。第二章为理论综述。本章分四大部分进行理论综述分别是有效市场假说、消极投资、投资组合理论以及时机选择决策与风险。有效市场假说是消极投资策略的理论基础，对有效市场假说，按照提出、发展、成熟这一主线对该理论及其意义进行综述。投资组合理论是本文提出的消极选股策略的理论基础。时机选择决策的文献是消极选时策略的基础。第三章提出消极投资策略。基于有效市场理论，通过阐述消极投资策略的思想渊源，分析当前积极分析方法（技术分析、基本面分析）的效果，提出消极投资策略。第四章为消极择股投资策略的优越性。本章将从成本、风险、获得价值增值和指数收益、分享经济增长成果四个方面阐述消极选股策略的优越性得出买入并持有指数基金为典型的消极择股策略。第五章为消极选时投资策略的优越性。本章将从消极选时的风险降低作用、获得时间价值和风险利用三方面阐述消极选时策略的优越性得出分批买入为最优的消极选时策略，其中以2010年至2012年指数基金数据为样本，通过实证的分析方法对消极选时策略的风险利用作用加以论述。第六章对消极投资策略在我国具体应用提出建议，由于我国股市自身特征及发展的不完善，，本章对于指数基金的选取和适用的投资者加以论述。第七章为结论。本文的创新点在于：（1）本文指出了目前消极投资策略的不足。消极投资策略是传统正统的最佳投资方案，但其却只有选股问题却回避选时问题，本文指出这一重大缺陷，指出当前投资学理论的一个修改建议：消极投资策略是消极选股加消极选时。（2）本文提出了具体的消极投资策略即分批买入并持有指数基金，消除当前《投资学》中有关消极投资策略选股选时的模糊性。（3）本文对消极选时的风险利用作用进行实证，证明消极选时策略的优越性。
[Abstract]:From December 1990 to now, the stock market of our country has experienced ups and downs, ups and downs, ups and downs, and how investors can profit from the turbulent stock market, which is the most concerned issue for the majority of investors. This paper is based on the efficient Market hypothesis. Combined with the contents of the passive investment strategy in the current course of investment science, because of the ambiguity of the passive investment strategy, this paper makes a thorough study on the timing of stock selection, and puts forward the detailed negative stock timing strategy. On the basis of making up the defect that the negative investment strategy is only selecting stocks but not selecting stock, this paper expounds the superiority of negative stock selection strategy, introduces the superiority of negative stock selection strategy in detail, and puts forward some suggestions for the concrete application of negative investment strategy in our country. The first chapter is the introduction. It introduces the research background, puts forward the question, the research method, the research content, the frame and the research significance and so on. The second chapter is the theory summary. This chapter divides into four parts to carry on the theoretical summary respectively is the efficient market hypothesis. Negative investment, portfolio theory, timing decision and risk. Efficient market hypothesis is the theoretical basis of negative investment strategy. Portfolio theory is the theoretical basis of negative stock selection strategy put forward in this paper, and the literature on timing decision is the basis of negative timing strategy. Investment strategy. Based on efficient market theory, By expounding the ideological origin of negative investment strategy and analyzing the effect of current positive analysis methods (technical analysis, fundamental analysis), the paper puts forward the negative investment strategy. Chapter 4th is the superiority of negative stock selection strategy. Risk, value appreciation and exponential gains, Four aspects of sharing economic growth achievements expound the superiority of negative stock selection strategy. Buy and hold index fund is a typical negative stock selection strategy. Chapter 5th is the superiority of negative stock selection strategy. This chapter will focus on negative selection. The risk reduction effect of. The advantage of negative timing strategy is expounded from three aspects of obtaining time value and risk utilization. The optimal negative timing strategy of buying in batches is obtained, in which the index fund data from 2010 to 2012 are taken as samples. This paper discusses the role of negative timing strategy in risk utilization through empirical analysis. Chapter 6th gives some suggestions on the application of negative investment strategy in China, due to the imperfect characteristics and development of China's stock market. This chapter discusses the selection and application of index fund investors. Chapter 7th is the conclusion. The innovation of this paper lies in: (1) this paper points out the shortcomings of the current passive investment strategy. Passive investment strategy is the traditional orthodox best investment plan, but it only has the stock selection problem but avoids the timing problem. This paper points out this major defect. It is pointed out that a modified suggestion of the current investment theory is that the passive investment strategy is negative stock selection plus negative selection. 2) this paper proposes a specific passive investment strategy, that is, buying and holding index funds in batches. To eliminate the fuzziness of stock selection of passive investment strategy in present "investment science", this paper makes an empirical study on the risk utilization role of negative selection, and proves the superiority of negative timing strategy.
【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】：F275;F832.51

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