基金经理个人特征对股票型基金风险的影响

发布时间：2018-05-03 01:07

本文选题：基金经理 + 基金风险　；参考：《吉林大学》2013年硕士论文

【摘要】：证券投资基金是资本市场重要的投资工具，经过多年的探索和实践，我国基金市场正在日趋成熟，基金已经成为被投资者普遍认可并接受的投资工具。另一方面，基金是一种集合投资、专业理财的投资方式，投资者、基金管理公司和基金经理之间以信任为基础，形成了层层的委托代理关系，基金经理在其中是至关重要的一环。基金经理管理着基金资产，决定投资方向和投资策略，对基金资产价值的变化有着不可替代的责任。对于股票型基金来说，基金经理在众多的股票中挑选能够升值保值的组合，由于受到基金规模的影响，每只基金可选择股票的数量是有限的，每只基金投资的股票种类的和投资比例不可能完全相同，从而各个基金的风险有所不同，基金经理对仓位的选择可能与他们的风险偏好程度有关，而风险偏好程度则可能受到来自于基金经理本身的个人特征的影响，因此基金经理的个人特征可能影响基金的风险。二十世纪六七十年代兴起的行为金融学的一部分研究也证实投资者本身的特征有可能影响投资心态。2008年，世界性金融危机波及我国资本市场，投资环境低迷，股票市场进入了熊市阶段，，基金市场业绩大幅下滑。在熊市中，风险控制问题自然而然地成为一个投资者十分关心的问题，如果基金经理能在熊市阶段表现出十分出色的风险控制水平，将为自身和基金管理公司赢得更多的信任。对于处于熊市中的市场来说，基金的风险控制有利于稳定投资者情绪，从而影响整个市场市场的平稳运行，影响经济回暖和发展的步伐。本文从生理特征、教育背景、技能水平和职业生涯四个方面刻画基金经理个人特征，研究他们对股票型基金的系统风险、总风险和极端风险的影响，对基金经理个人特征与基金风险关系的问题给出一个全面的思考。在数据处理方面，本文在处理基金经理频繁更换的问题时采用了与以往国内学者不同的方法，同时兼顾了样本数量和任期连续的问题；在数据估计时，为了使数据包含的信息尽量完整地呈现出来，本文采用了带有固定时间效应的非平衡面板数据模型，同时以时间截面回归的方法确认估计结果的可靠性。根据本文的研究结果，女性、技能水平较高的基金经理表现出较好的风险控制水平。有CPA资质的基金经理在控制系统风险方面表现较好，有CFA资质的基金经理在极端风险控制方面表现较好。其他基金经理个人特征，比如从业时间的长短、是否有国外工作学习的经验或者是否参加MBA项目等，与基金风险的关系不显著。
[Abstract]:Securities investment fund is an important investment tool in the capital market. After many years of exploration and practice, the fund market of our country is maturing day by day, the fund has become the investment tool that is generally accepted and accepted by the investors. On the other hand, the fund is a kind of investment mode of collective investment, professional financial management, investors, fund management companies and fund managers based on trust, forming layers of principal-agent relationship. Fund managers are a vital part of it. The fund manager manages the fund assets, decides the investment direction and the investment strategy, has the irreplaceable responsibility for the change of the fund assets value. For equity funds, fund managers choose a portfolio of stocks that can appreciate and maintain their value. Because of the size of the fund, the number of stocks each fund can choose is limited. The type and proportion of stocks invested by each fund cannot be exactly the same, so the risk varies from fund to fund, and fund managers' choice of positions may depend on the degree of their risk appetite. The degree of risk preference may be affected by the personal characteristics of the fund manager, so the personal characteristics of the fund manager may affect the risk of the fund. Some studies on behavioral finance, which emerged in the 1960s and 1970s, also confirmed that the characteristics of investors themselves may have an impact on the investment mentality. In 2008, the global financial crisis spread to China's capital market and the investment environment was low. Stock market entered bear market stage, fund market achievement drops sharply. In a bear market, risk control naturally becomes an issue of great concern to investors. If fund managers can display a very good level of risk control during the bear market, they will win more trust for themselves and fund management companies. For a market in a bear market, the risk control of the fund is conducive to stabilizing investor sentiment, thus affecting the smooth operation of the market as a whole, and affecting the pace of economic recovery and development. This paper describes the personal characteristics of fund managers from the aspects of physiological characteristics, educational background, skill level and career, and studies their influence on systematic risk, total risk and extreme risk of stock fund. This paper gives a comprehensive consideration on the relationship between fund manager's personal characteristics and fund risk. In the aspect of data processing, this paper adopts a different method when dealing with the problem of frequent turnover of fund managers, while taking into account the problem of sample size and continuous tenure. In order to make the information contained in the data as complete as possible, a non-equilibrium panel data model with fixed time effect is adopted in this paper, and the reliability of the estimation results is confirmed by the method of time section regression. According to the results of this study, female fund managers with higher skill level showed better risk control level. Fund managers with CPA qualifications perform better in controlling system risks, while those with CFA qualifications perform better in extreme risk control. Other fund managers' personal characteristics, such as the length of employment, whether they have foreign work and study experience or whether they participate in MBA projects, are not significantly related to fund risk.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】