我国阳光私募基金选股选时能力和投资倾向研究

发布时间：2018-06-19 21:13

本文选题：阳光私募 + 选股能力　；参考：《浙江财经学院》2013年硕士论文

【摘要】：阳光私募基金是借助信托公司发行，经过监管机构备案，资金实现第三方银行托管，有定期业绩报告的投资于股票市场的基金。由于借助信托公司平台发行保证了私募认购者的资金安全，而且它比一般地下私募证券投资基金更为规范化和透明化，又有着公募证券投资基金并不具备的灵活性与高收益性，因此阳光私募基金在最近几年得到了快速的发展，成为了民间金融一股不可忽视的投资力量。所以无论是从投资者的角度还是从监管者的角度出发，在研究阳光私募基金这个课题上都已显得十分迫切和必要。究竟它是否具有显著的选股选时能力，有何种投资倾向，对证券市场会造成怎样的影响，而监管者们又如何对其进行有效监管，从而实现投资者的权益保护，这一系列的问题都是当前必须面对和着手解决的。而本文正是从选股选时能力和投资倾向两方面对阳光私募基金进行研究，力图了解它的行为绩效与投资倾向，进一步完善目前学术界对阳光私募基金这一民间金融重要领域的研究，具有一定的理论意义；同时，一方面可以为那些有意向投资于阳光私募基金的中高端客户提供一些有价值的投资参考，另一方面也为后续研究阳光私募基金的行为模式及其对证券市场的影响，以探讨一系列有益于监督管理的建议打下坚实基础，具有一定的实践意义。本文对阳光私募基金的选股选时能力和投资倾向进行了理论方面与实证方面的深入研究。理论方面，主要介绍了国外关于证券投资基金选股选时能力和投资倾向的经典理论模型；实证方面，本文对我国2008年前成立的且目前仍在存续期内的81只非结构化阳光私募基金从2008年1月至2012年5月的月度数据分别进行了选股选时能力和投资倾向方面的实证研究。在选股选时能力研究中，本文采用TM-FF3、B-FF3和TM-B-FF3模型分别对我国阳光私募基金进行了全区间和分阶段的实证检验。在全区间检验中，本文不仅对单个基金的时间序列数据进行了实证研究，而且同时也对基金整体的面板数据进行了相应的实证检验。实证结果表明，无论是从单只基金角度还是从基金整体角度出发，，阳光私募基金都表现出了显著的市场时机把握能力，但在证券选择能力上的表现却很一般。在分阶段检验中，本文发现在上升期时，阳光私募基金表现出了显著的选股选时能力；在震荡期时，其仅表现出相对显著的选股能力，但并没有表现出选时能力；在下降期时，其表现出了显著的选时能力，但在选股能力上的表现却很差。此外，在阳光私募基金选股选时能力的模型解释力上，本文发现B-FF3模型明显要优于TM-FF3和TM-B-FF3模型。在投资倾向研究中，本文采用Fama和French的三因素模型对我国阳光私募基金同样进行了全区间和分阶段的实证检验。实证结果表明，无论是从单只基金角度还是从基金整体角度出发，阳光私募基金都比较倾向于投资小盘股和成长股。在分阶段检验中，本文发现在上升期时，阳光私募基金倾向于投资小盘股和成长股，但这种倾向并不十分明显；在震荡期时，其同样倾向于投资小盘股和成长股，并且表现出了很强的显著性；在下降期时，其却倾向于投资小盘股和价值股。
[Abstract]:The sunshine private fund is issued by the trust company, records by the regulatory agency, the funds are managed by the third party bank, and the fund is invested in the stock market with regular performance reports. The fund is guaranteed by the trust company platform, and it is more standardized than the ordinary private equity investment fund. And transparency, and the flexibility and high income that public securities investment funds do not have, so the sunshine private fund has developed rapidly in recent years, and has become an investment force that can not be ignored in private finance.
Therefore, whether it is from the perspective of the investor or the supervisor, it is very urgent and necessary to study the topic of the sun private equity fund. In order to realize the protection of the investor's rights and interests, this series of problems must be faced and solved at present. This paper is to study the sunshine private fund from two aspects of the time selection ability and investment tendency, trying to understand its behavior performance and investment tendency, and further improve the current academic circles on the sunshine private fund. The research on the important field of folk finance has some theoretical significance. At the same time, it can provide some valuable investment reference for the middle and high-end customers who have the intention to invest in the sunshine private fund. On the other hand, it also explores the behavior pattern of the sunshine private fund and its impact on the securities market. A series of useful suggestions for supervision and management have laid a solid foundation and have practical significance.
This paper makes a thorough research on the theoretical and empirical aspects of the selection and selection of the stock selection ability and investment tendency of the sunshine private fund. In theory, it mainly introduces the classic theoretical model of the choice of stock selection time and investment tendency of securities investment fund in foreign countries. The 81 unstructured sunshine private funds in the period from January 2008 to May 2012 respectively carried out an empirical study on the ability of selecting time and the tendency of investment.
In the study of time selecting and selecting ability, this paper uses TM-FF3, B-FF3 and TM-B-FF3 models to carry out an inter regional and sub stage empirical test on China's sunshine private equity fund. In the inter region test, this paper not only conducts an empirical study on the time series data of a single fund, but also carries out the panel data of the fund as a whole. The empirical results show that, both from the perspective of a single fund or from the point of view of the fund as a whole, the sunshine private fund shows a significant market timing ability, but the performance of the securities selection is very common. In the phased test, the sun private fund shows the present rise period. In the period of concussion, it only showed a relatively significant stock selection ability, but did not show the ability to select time. In the decline period, it showed significant time selection ability, but the performance of stock selection was very poor. In addition, in the model of choosing time for choosing the ability of the sunshine private fund selection, this paper made a conclusion. The present B-FF3 model obviously outperforms TM-FF3 and TM-B-FF3 models.
In the study of investment tendency, this paper uses the three factor model of Fama and French to test the sunshine private fund in China. The empirical results show that the sunshine private fund is more inclined to invest small stocks and growth stocks from the perspective of single fund or from the perspective of the fund as a whole. In the phased test, this paper finds that the sunshine private fund tends to invest in small stocks and growth stocks during the rise period, but this tendency is not very obvious. In the period of shock, it also tends to invest in small stocks and growth shares, and shows a strong significance; in the downfall, it tends to invest in small stocks and value stocks.
【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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