中国开放式基金风险转移及对绩效的影响研究

发布时间：2018-05-14 12:42

本文选题：风险转移 + 开放式基金　；参考：《西南财经大学》2013年硕士论文

【摘要】：证券投资基金是证券市场发展的必然产物,在发达国家已有上百年的历史,在中国也发展了二十多年。回顾证券投资基金在我国二十多年的发展历史,它大致经历了三个阶段：早期探索阶段、试点发展阶段、快速发展阶段。1997年11月14日颁布的《证券投资基金管理暂行办法》和2004年6月1日颁布的《证券投资基金法》是两个重要的转折点。但在证券投资基金高速发展的同时,也存在很多问题。因此,必须使基金的运作行为规范化,其中最关键的就是要对基金的风险与绩效等问题进行研究。 Ippolito (1992)、Chevalier和Ellison (1997)等大量研究认为基金流量与基金绩效的关系(FPR)是正相关且非对称的,投资者的投资对基金经理产生了一种隐性激励,即绩效好的基金有大量现金流入,但是绩效差的基金并没有大量现金流出。由于这种隐性激励,基金经理可能为了增加预期投资者资金的投入或者操纵基金的业绩排名而从战略上改变基金的风险水平。Brown等(1996)、Chevalier和Ellison (1997)等大量研究认为这类风险转移会降低基金绩效,对投资者是不利的,应该避免。因为风险转移会引起交易成本,限制投资机会,让基金经理从投资最有潜力的证券中分散注意力,并且低能力的基金更有风险转移的倾向。但是也有一些研究认为基金进行风险转移并不一定会损害投资者的利益。Huang等(2010)认为基金经理为了获得较大的资金流入而与其他基金竞争会发生的风险转移,这种风险转移可能不会使投资者受到影响。Ippolito (1989)、Ferson和Schadt (1996)等大量研究认为基金经理利用自己优秀的能力进行投资交易,改变基金资产组合的构成,会间接发生风险转移,这种风险转移可能有益于投资者。可见,发生风险转移后的基金绩效结果与进行风险转移背后的经济动机有很大的关系。之前有大量文献研究基金经理进行风险转移的动机,但很少有人研究风险转移是高投资能力的信号还是错误投资动机的信号。因此,有必要研究风险转移对证券投资基金绩效的影响,分析风险转移的途径和原因,从而根据风险转移的情况判断基金绩效的变化。本文选取了2004年至2010年中国开放式基金的数据,研究了基金风险转移对基金绩效的影响,以及风险转移低绩效的途径和原因。论文一共分为六章。第一章是引言；第二章是文献综述；第三章是模型和数据,介绍了本文所采用的六种风险转移的度量、五种基金绩效的度量,基于Fama-Macbeth回归方法的两步骤多元回归模型；第四、五章是实证分析,分别研究了风险转移对基金绩效的影响以及产生影响的途径和原因。第六章对全文进行总结。给出本文的主要结论,对投资者的投资建议,并指出了几点可能的研究方向。在风险转移对基金绩效的影响的研究中,本文做了以下四个方面的工作。首先,根据风险转移大小对基金分类,计算了各分类下的基金特征均值。接着,为了考察风险转移对基金绩效的影响,分别计算风险转移分类下的基金绩效结果。然后,为了考察风险转移影响的持续性,按照1、2、3个月前的风险转移大小分类,并测量了各类基金绩效结果,分析了基金进行风险转移对长期基金绩效的影响。为了进一步考察风险转移状态的持续性,计算了风险转移分类下的五类基金在之前4个月和之后8个月的风险转移度量值。最后,为了考察风险转移及其他基金特征与基金绩效的相关性,基于Fama-Macbeth回归方法,建立了两步骤多元回归模型,分析风险转移及其他基金特征与基金绩效的相关关系。在风险转移低绩效的途径和原因的研究中,本文做了以下三个方面的工作。首先,为了考察基金进行风险转移的方式,测量了风险转移分类下的五类风险基金的现金比例、系统风险、非系统风险、规模因子、价值因子、动量因子、控股数量这7个指标的月均值与年均值之差。然后,为了考察风险转移的主要途径,分别计算了按六种风险转移度量分类下,各类基金的绩效。最后,为了考察风险转移低绩效的原因,在风险转移分类下,基金特征指标值和交易成本指标值的大与小分别对基金绩效的影响。本文的研究主要得到了以下几个方面的结论。(1)风险转移会降低基金绩效,且增加风险水平对基金绩效的负影响更显著。因此,风险转移是基金经理的错误交易动机和低能力的信号。(2)风险转移是基金绩效的先行指标,可预测差的基金绩效。(3)风险转移低绩效的主要途径是增加基准偏离程度、增加股票所带来的风险、增加非系统性风险,其他途径是减少现金持有比例、增加系统性风险。(4)费用比率高、持续时间短、规模小、上年绩效低的基金更倾向于进行风险转移,且对风险转移低绩效的敏感性更高；交易成本不是风险转移的低绩效的原因。本文还可以从以下四个方面深入研究。进一步探测风险转移的形成期和消失期的长度；增加投资行业集中指数(ICI)作为除所持股票数量外的另一个反映非系统性风险的指标；进一步挖掘其他的风险度量方式；考虑采用更多不同的基金绩效度量方式进行对比研究,以排除绩效度量的模型误差。总体而言,本文的创新之处主要体现在如下三个方面。首先,国内没有人做过关于风险转移对基金绩效的影响的研究,在国外,最早的相关研究文献是Huang等(2010),研究了美国的共同基金风险转移与其绩效的关系。因此,本文的研究在国内尚属首次研究风险转移对基金绩效的影响。其次,本文使用当前波动率与历史波动率之差作为度量风险转移的指标,比传统的直接使用所控股票的风险变化水平的度量以及通过比较前后两个不重叠时期段的基金收益率的波动率的度量更能准确的反应基金改变风险水平的程度。本文还采用了多种风险的风险转移度量方法：基于现金的风险转移度量、基于股票的风险转移度量、基于系统性风险的风险转移度量和基于非系统性风险的风险转移度量、基于基准偏离风险的风险转移度量。最后,传统使用Fama-Macbeth回归方法的所用的时间序列回归方程与横截面回归方程是相同的,本文从研究需要出发,在Fama-Macbeth回归方法的基础上,建立了时间序列回归方程与横截面回归方程不同的两步骤多元回归模型。其中被解释变量是基金绩效,时间序列回归方程的解释变量是基金绩效的度量,而横截面回归方程的解释变量是风险转移及基金特征等基金绩效的影响因素。
[Abstract]:The securities investment fund is the inevitable product of the development of securities market . It has been developed for more than 20 years in developed countries . It has experienced three stages : early exploration stage , pilot development stage and rapid development stage .

A large number of studies , such as Ippolito ( 1992 ) , Chemists , and Estates ( 1997 ) , believe that the relationship between fund flows and fund performance ( FPR ) is positive and asymmetric , and investors ' investment has generated a hidden incentive to fund managers , that is , a good performance fund has a large amount of cash inflows , but poor performance funds do not have a large amount of cash outflows . As a result of this implicit incentive , fund managers may not be affected by the risk transfer of fund managers . Mr . Brown et al . ( 1996 ) , Ferson and Schadt ( 1996 ) believe that fund managers use their own outstanding capabilities to invest in transactions , change the composition of fund portfolios , and may indirectly risk transfers , which may benefit investors .

Therefore , it is necessary to study the impact of risk transfer on the performance of securities investment fund , analyze the ways and reasons of risk transfer , and judge the change of fund performance based on the situation of risk transfer .

This paper selects the data of China Open Fund from 2004 to 2010 , and studies the impact of fund risk transfer on fund performance and the ways and reasons of low risk transfer performance . The thesis is divided into six chapters . The first chapter is introduction ;
The second chapter is the literature review .
The third chapter is the model and the data , introduces the measure of six kinds of risk transfer , the measure of five fund performance , the two - step multiple regression model based on Fama - Macbeth regression method .
The fourth and fifth chapters are positive analysis , respectively study the impact of risk transfer on fund performance and the ways and reasons for its impact . Chapter 6 summarizes the whole text . It gives the main conclusions of this paper , puts forward some suggestions for investors ' investment , and points out some possible research directions .

In order to examine the effect of risk transfer on fund performance , the paper calculates the fund performance results under the classification of risk transfer . Then , in order to investigate the impact of risk transfer on fund performance , the paper calculates the risk transfer measure value of five kinds of funds before and after four months and eight months . In order to investigate the persistence of risk transfer , the paper establishes two step multiple regression models , analyzes the correlation between risk transfer and other fund characteristics and fund performance .

In the study of the ways and reasons for the low performance of risk transfer , the paper has done the following three aspects : Firstly , in order to examine the way of the risk transfer of the fund , the difference between the monthly mean value and the annual mean value of the five risk funds under the risk transfer classification is measured . Then , in order to examine the main ways of the risk transfer , the performance of the various funds is calculated according to the six risk transfer measures . Finally , in order to examine the causes of the low performance of the risk transfer , the impact of the fund characteristic index value and the transaction cost index value on the performance of the fund is calculated under the risk transfer classification under the classification of risk transfer .

( 3 ) Risk transfer is the leading indicator of fund performance and can predict poor fund performance . ( 2 ) Risk transfer is the leading indicator of fund performance , which can predict poor fund performance . ( 3 ) The main approach to risk transfer is to increase the base deviation degree , increase the systemic risk .
Transaction cost is not the cause of low performance of risk transfer .

In this paper , the length of the formative period and the disappearance period of the risk transfer can be further studied in the following four aspects :
Increase the investment industry concentration index ( ICI ) as an indicator reflecting the non - systemic risk in addition to the number of shares held ;
Further excavation of other risk measures ;
Consider using more different fund performance metrics to conduct comparative studies to exclude model errors of performance metrics .

In general , the innovation in this paper is mainly embodied in the following three aspects : Firstly , no one has done the study on the impact of risk transfer on fund performance . In the foreign countries , the earliest relevant research literature is Huang et al . ( 2010 ) , which is based on the risk transfer measure of the stock , the two - step multiple regression model which is based on the risk transfer measure of the systemic risk and the risk transfer measure based on the non - systemic risk .

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

【参考文献】