基金风格漂移对重仓股波动率的影响研究

发布时间：2018-04-25 15:12

本文选题：投资风格 + 风格漂移　；参考：《浙江工商大学》2013年硕士论文

【摘要】：自监管层提出超常规发展机构投资者的思路以来,我国基金业获得了长足的发展,基金因其风险共担、利益共享的特征受到广大投资者的欢迎,目前证券投资基金已经成为中国老百姓理财的首选产品。基金业的蓬勃发展,基金市场的繁荣促进了基金业的创新,我国的基金品种从最初单一的股票型、债券型、混合型、货币型发展到现在包含QDII、LOF、ETF、分级基金在内的种类较为齐全的基金类别体系。基金业的创新不仅体现在基金类别上,还体现在基金的运营和管理上,近年来风格投资理念逐渐在基金投资界流行起来,基金投资风格的概念在投资领域已被广大基金市场参与者所接受。然而在基金的运作过程中,基金经理的更换、基金经理业绩考核压力、投资行为的羊群效应都可能使基金改变之前设定的投资风格,即发生所谓的风格漂移现象。我们知道基金主要投资于股票和债券的,基金风格变动必然会涉及持仓股票的变更。本文研究基金风格漂移对股票型基金重仓股波动率的影响。本文选取银河标准股票型基金为样本,以2012年第四季度为研究区间,基于Sharpe多因子模型识别基金的真实投资风格,并利用SDS方法测算发生漂移基金的漂移程度。之后,构建截面回归模型静态分析长期中基金漂移程度与基金重仓股波动率的关系；为了动态分析基金风格漂移对于重仓股的影响,我们构建了漂移基金指数,然后构建向量自回归模型并通过脉冲响应函数进行分析。最后得出以下结论：一、我国股票型基金存在大规模的风格漂移现象,基金经理因业绩压力存在改变风格投资策略的动机。构建Sharpe风格识别模型对样本基金进行实证分析,发现完整研究区间内53.5%的基金发生风格漂移。具体而言成长型基金漂移比例为42.25%,价值型基金漂移比例为58.82%,平衡型基金漂移比例高达90.91%。二、滚动时态的Sharpe因子模型研究发现,基金投资风格稳定性较差。在此基础上了考察了完整时期发生风格漂移基金的风格漂移得分(SDS),发现样本基金风格漂移得分大多分布在(0.5,0.9)区间内,说明基金的风格漂移程度较大。三、长期来看,基金风格漂移与基金重仓股波动率之间不存在显著的关系。但是短期来看,基金风格漂移会引起基金重仓股的波动,这种冲击影响持续时间较短,基本上四个交易日以后冲击影响就消失了。
[Abstract]:Since the supervisor put forward the idea of developing the institutional investors, the fund industry in our country has made great progress. Because of its risk-sharing and benefit-sharing characteristics, the fund has been welcomed by the vast number of investors. At present, the securities investment fund has become the first choice product of Chinese people's financial management. The booming development of fund industry and the prosperity of fund market promote the innovation of fund industry. The monetary type has developed into a complete fund category system, including QDII / LOFETF and classified funds. The innovation of fund industry is not only reflected in the category of fund, but also in the operation and management of fund. In recent years, the idea of style investment has gradually become popular in the field of fund investment. The concept of fund investment style has been accepted by the fund market participants in the field of investment. However, in the process of fund operation, the change of fund manager, the pressure of fund manager's performance appraisal, and the herd effect of investment behavior may make the fund change the investment style set before, that is, the phenomenon of so-called style drift. We know that the fund mainly invests in stocks and bonds. Changes in fund style are bound to involve changes in positions. This paper studies the influence of fund style drift on the volatility of heavy stocks in equity funds. This paper selects the Galaxy standard stock fund as the sample, takes the fourth quarter of 2012 as the research interval, recognizes the real investment style of the fund based on the Sharpe multi-factor model, and calculates the drift degree of the drift fund by using the SDS method. Then, we build cross-section regression model to analyze the relationship between the degree of fund drift and the volatility of heavy stocks in the long run, and in order to dynamically analyze the influence of fund style drift on heavy stocks, we construct the drift fund index. Then the vector autoregressive model is constructed and analyzed by impulse response function. Finally, the following conclusions are drawn: First, there is a large-scale style drift phenomenon in equity funds in China, and fund managers have the motivation to change style investment strategy because of performance pressure. The Sharpe style identification model is constructed to analyze the sample funds, and it is found that 53.5% of the funds in the complete research interval have style drift. Specifically, the proportion of growth fund drift is 42.25, the value fund drift ratio is 58.82, the balance fund drift ratio is as high as 90.91. Secondly, the Sharpe factor model of rolling tenses shows that the stability of fund investment style is poor. On this basis, the style drift score of the style drift fund in the whole period is investigated. It is found that the sample fund style drift score is mostly distributed in the range of 0.50.9), which indicates that the style drift degree of the fund is large. Third, in the long run, there is no significant relationship between the drift of fund style and the volatility of heavy stocks. But in the short term, the drift of fund style will cause the volatility of heavy stocks, the impact of this impact is relatively short, basically four trading days after the impact of the impact disappeared.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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