基于投资者情绪的我国开放式基金绩效评价研究

发布时间：2018-04-28 18:46

本文选题：投资者情绪 + 开放式基金　；参考：《西南财经大学》2012年硕士论文

【摘要】：回顾我国证券市场20多年的发展历程,我国成功吸取了国外证券市场的成熟经验,并且有效结合了我国国情制定相关政策。但是,任何新生事物的成长都需要一个相对漫长的过程,目前我国证券市场仍然存在不少问题。诸多学者研究证实,我国证券市场尚未成为强势有效市场。这就为噪音交易者的产生提供了条件,例如,市场存在内幕交易,股票价格对市场信息反映不充分,导致个人投资者对股票价格产生错误预期；缺乏做空机制,短期内理性投资者不能通过套利手段纠正非理性交易者交易行为对证券价格的影响,从而导致市场大涨之后伴随大跌,大跌之后又是一波强势反弹。行为会融学认为,市场中存在大量的噪音交易者,噪音交易者基于主观信念和错误预期进行证券投资。噪音交易者的投资行为使得股票偏离其理论价格,同时由于套利的有限性,理性交易者的套利行为不能消除噪音交易者对证券价格的影响。国内外学者已经开始研究如何度量噪音交易者对证券市场价格的影响程度,在行为金融学中这部分研究内容属于投资者情绪理论。学者们的研究证实,不同类型股票对投资者情绪的敏感程度不同。在投资者情绪高涨阶段,投资者情绪敏感程度高的股票价格会高于其理论价值,其未来长期收益将会大幅下降,投资者情绪敏感程度低的股票未来长期收益将会高于投资者情绪敏感程度低的股票；在投资者情绪低落阶段,投资者情绪敏感程度高的股票价格会低于其理论价值,其未来长期收益将会上升,投资者情绪敏感程度低股票的未来长期收益将会低于投资者情绪敏感程度高的股票。近几年我国开放式证券投资基金数量大幅增加,机构投资者日益成为我国证券市场重要投资力量。证券投资基金作为证券市场上的投资者,其投资行为也会受到投资者情绪的影响。因此,证券投资基金在市场中有着什么样的情绪行为,基金在投资不同情绪敏感程度股票时,会不会因为这种投资行为的影响而产生不同的绩效结果呢? 本文在行为金融学投资者情绪理论的框架下,使用主成分分析方法构建2001年1月～2010年12月的投资者情绪指数,以2004年1月～2010年12月的股票型开放式基金作为研究样本,考察其情绪行为,比较不同基金情绪行为的绩效表现,并给出相关建议和文章未来的研究方向。全文共分五部分,各部分内容安排如下。第一部分是导论。导论部分主要是介绍本文研究的市场背景和理论背景,提出相关研究的理论和实践意义,同时说明研究内容、研究思路、研究框架和文章的主要创新点。第二部分是相关研究文献综述。这部分主要从三方面对相关研究文献进行综述,主要包括投资者情绪相关文献、传统的基金绩效评价相关文献、投资者情绪对基金绩效的影响研究相关文献。第三部分是理论基础。理论基础部分主要介绍本文研究的理论来源并进行理论分析得出实证研究思路。由于投资者情绪理论源于噪音交易者理论——DSSW模型,基金绩效评价源于线性因子评价方法。因此,本文首先介绍DSSW模型以及如何引出投资者情绪理论的,然后介绍基金绩效评价的理论基础—线性因子评价相关理论,最后结合投资者情绪理论与因子评价方法进行理论分析得出实证研究思路,指出本文需要实证研究的内容。第四部分是实证研究。实证研究部分首先说明研究变量、样本选择和数据来源；其次构造我国投资者情绪指数,计算沪深A股股票的投资者情绪敏感程度,求出样本基金的情绪,研究基金情绪行为：然后通过Carhart四因子对我国股票型开放式基金完成绩效计算：最后比较基金不同情绪行为的绩效表现。第五部分是本文研究结论和建议。这部分首先总结本文通过理论分析和实证研究得到的主要结论并提出相关建议,然后给出本次研究存在不足和需要改进的地方,最后提出文章未来的研究方向。本文在国内外学者相关研究的基础上,得出的研究结论是：我国股票型开放式基金偏好在投资者情绪低落时期投资于情绪敏感度低的股票,在投资者情绪高涨时期投资情绪敏感度高的股票。本文推测基金的这种行为可能源于两个方面原因：一、基金投资行为具有非理性成分,当市场情绪高涨时,基金盲目投资于受噪音交易者追捧的股票,表现出与噪音交易者相同的投资行为；二、基金这种投资行为是为了迎合市场投资者情绪,吸引基金投资者,增加基金净流量,提高基金托管费用收入。从绩效考察结果来看,短期内投资于情绪敏感程度低的股票的基金绩效低于投资于情绪敏感程度高的股票基金的绩效；长期内投资于情绪敏感程度低股票的基金未来绩效高于投资于情绪敏感程度高股票基金的未来绩效,基金未来绩效与基金情绪呈现一定程度的负相关关系。因此,对于投资组合来说,投资于情绪敏感度低的股票将是一种占优于投资于情绪敏感度高的股票的策略。本文的创新点体现在以下三个方面：首先,国内使用五个以上的代理变量来构建投资者情绪指数的文献不多,本文使用封闭式基金折价率、消费者信心指数、新增开户数、市场换手率、IPO首日收益率和IPO首日换手率6个代理变量剔除宏观经济影响来进行研究,更多合理的代理变量包含了更多的投资者情绪信息,越能反映出全面的市场投资者情绪。其次,本文在构造投资者情绪的基础上研究了投资者情绪与基金绩效的关系,得出了长期内基金情绪与基金未来绩效负相关的结论,本文尝试利用我国数据将投资者情绪和基金绩效评价联系起来研究。最后,文章通过理论分析和实证研究给出了投资组合投资于情绪低的股票是一种优选策略的建议。本文未来继续研究的方向有以下两个方面：一方面,本文考察了基金投资组合的情绪行为,得出了投资情绪敏感度低的股票是一种占优策略的结论,因此如何具体实施这种占优的策略将是未来研究的重点方向。另一方面,本文推测基金的情绪行为可能源于两个方面原因：一、基金投资行为具有非理性成分,二、基金这种投资行为是为了迎合市场投资者情绪,增加基金净流量,增加基金托管费用收入。上述结论是本文在研究考察基金不同情绪行为的绩效表现过程中基于基金情绪行为提出的假说,这部分内容也可以作为文章以后的研究方向。
[Abstract]:Reviewing the development of China's securities market for more than 20 years, China has successfully absorbed the mature experience of the foreign securities market, and effectively combines the national conditions of our country to formulate relevant policies. However, the growth of any new thing needs a relatively long process. At present, there are still a lot of problems in the stock market of our country. China's securities market has not become a strong and effective market. This provides the conditions for the generation of noise traders, for example, there are insider trading in the market, and the stock price is insufficient to reflect the market information, which leads to the wrong expectation of the individual investors on the stock price, the lack of short mechanism, and the short term rational investors cannot pass the arbitrage means. Rectify the influence of irrational traders' trading behavior on the price of securities, resulting in a sharp drop in the market after a big rise, and a strong rebound after the crash.
There are a lot of noise traders in the market, and the noise traders are investing in securities based on subjective beliefs and false expectations. The investment behavior of noise traders makes the stock deviate from its theoretical price, and because the arbitrage is limited, the hedge behavior of rational traders can not eliminate the price of the noise traders on the securities price. Scholars at home and abroad have begun to study how to measure the degree of noise traders' impact on the price of the securities market. In behavioral finance, this part of the research belongs to investor sentiment theory. Scholars' research confirms that different types of stocks have different sensitivity to investor sentiment. The stock price with high emotional sensitivity will be higher than its theoretical value, its future long-term income will be greatly reduced, and the long-term earnings of low investor emotional sensitivity will be higher than that of investors with low emotional sensitivity; in the stage of low investor sentiment, the stock price of high emotional sensitivity of investors will be lower than that of investors. For its theoretical value, its future long-term earnings will rise, and the future long-term earnings of low investor sentiment sensitive stocks will be lower than those with high emotional sensitivity to investors.
In recent years, the number of open securities investment funds has increased greatly in China, and institutional investors have become an important investment force in our securities market. As investors in the securities market, the investment behavior of securities investment funds will be influenced by investor sentiment. When investing in stocks with different emotional sensitivities, will the fund produce different performance results due to the influence of such investment behavior?
Under the framework of behavioral finance investor sentiment theory, this paper uses the principal component analysis method to construct the investor sentiment index from January 2001 to December 2010, and takes the stock type open-end fund from January 2004 to December 2010 as the research sample to investigate its emotional behavior and compare the performance performance of different fund emotional behaviors. The paper is divided into five parts. The contents of each part are arranged as follows.
The first part is introduction. The introduction part mainly introduces the market background and theoretical background of this study, puts forward the theoretical and practical significance of the related research, and also explains the research content, research ideas, research framework and the main innovation points. The second part is related literature review. This part mainly from three aspects of relevant research literature. This review mainly includes the literature of investor sentiment, the related literature of traditional fund performance evaluation, the research related literature on the influence of investor sentiment on fund performance. The third part is the theoretical basis. The theoretical basis part mainly introduces the theoretical sources of this study and carries out theoretical analysis to obtain empirical research ideas. The theory of person's emotion originates from the noise trader theory DSSW model, the performance evaluation of the fund is derived from the linear factor evaluation method. Therefore, this paper first introduces the DSSW model and how to lead to the investor sentiment theory, and then introduces the theoretical basis of the performance evaluation of the Fund - the theory of the linear factor evaluation, and finally combines the investor sentiment theory. The fourth part is empirical research. The empirical research part first illustrates the research variables, sample selection and data sources; secondly, we construct the investor sentiment index in China to calculate the emotional sensitivity of the investors in the Shanghai and Shenzhen stock A shares. To find out the emotion of the sample fund and study the emotional behavior of the Fund: then through the Carhart four factor to complete the performance calculation of China's Stock Open-end Fund: the final comparison of the performance performance of the different emotional behavior of the fund. The fifth part is the conclusion and suggestion of this paper. This part is first summarized through theoretical analysis and empirical research. The main conclusions and suggestions are put forward, and then the deficiencies and improvements in this research are given. Finally, the future research directions of the article are proposed.
On the basis of relevant studies of domestic and foreign scholars, this paper draws the conclusion that our stock type open-end funds invest in stocks with low emotional sensitivity in the period of low investor sentiment, and invest in stocks with high emotional sensitivity during the period of high investor sentiment. This paper presumed that this behavior of the fund may be derived from two parties. The reasons are as follows: first, the fund investment behavior has the irrational component. When the market sentiment is high, the fund is blindly investing in the stock pursued by the noise trader, showing the same investment behavior as the noise trader. Two, the fund investment behavior is to cater to the market investor sentiment, attract fund investors and increase the net flow of funds. High fund trusteeship income.
From the results of the performance survey, the fund performance of stocks with low emotional sensitivity in the short term is lower than the performance of stock funds with high emotional sensitivity; the future performance of funds invested in low emotional sensitivity stocks is higher than the future performance of stock funds with high emotional sensitivity, and the future performance of the fund is also higher. It has a certain degree of negative correlation with the emotion of the fund. So, for the portfolio, investing in stocks with low emotional sensitivity will be a strategy that is better than investing in stocks with high emotional sensitivity.
The innovation point of this paper is embodied in the following three aspects: first, there are few documents in the domestic use of more than five agent variables to build investor sentiment index. This paper uses closed-end fund discount rate, consumer confidence index, new open account number, market turnover rate, IPO first day profit rate and IPO first day turnover rate 6 agent variables to remove macroscopical variables. The more reasonable agent variables include more investor emotional information and more comprehensive market investor sentiment. Secondly, this paper studies the relationship between investor sentiment and fund performance on the basis of investor sentiment, and concludes that long-term fund emotion is negatively related to future performance of the fund. The conclusion of this paper is to study the relationship between investor sentiment and fund performance evaluation using China's data. Finally, through theoretical analysis and empirical research, the article gives a suggestion that investment portfolio investment in low emotional stocks is a preferred strategy.
There are two aspects of the future research in this paper. On the one hand, this paper examines the emotional behavior of the fund portfolio, and draws a conclusion that the stock with low emotional sensitivity is a dominant strategy. Therefore, how to implement this dominant strategy will be the key direction of the future research. On the other hand, this paper speculates the fund. The emotional behavior may be derived from two reasons: first, the investment behavior of the fund is irrational and two. The investment behavior of the fund is to cater to the sentiment of the market investors, increase the net flow of the fund and increase the fund's trusteeship income. The hypothesis put forward by the fund's emotional behavior can also serve as the future research direction of the article.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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