证券投资基金的股票和债券投资对策研究

发布时间：2018-07-03 15:00

本文选题：证券投资基金 + 股票投资　；参考：《天津理工大学》2013年硕士论文

【摘要】：从我国《证券投资基金管理暂行办法》的颁布到《证券投资基金法》的正式实施，从以传统的封闭式基金为主流到迅速取代其位置的开放式投资基金的出现，在短短的十几年内，证券投资基金无论是投资规模还是产品结构都得到了快速的发展，已经成为证券市场上不可或缺的重要力量。由于我国证券投资基金尚处于探索发展的起步阶段，基金管理人缺乏相应的管理知识和管理经验，在进行投资决策时存在着随意性、不规范性和盲目性的投资行为，使得我国一般的投资基金年回报率普遍低于一年期定期储蓄的收益率，进而影响了中小投资者的收益水平和基金公司的整体业绩。因此基金管理人如何在此状况下调整和规范自己的投资方式，以期给投资者带来满意的回报是目前我国证券投资基金发展中急需关注的课题。本论文针对此问题，，在总结国内外已有的研究成果的基础上，从一个新的角度，即证券投资基金的两大投资市场——股票市场和债券市场出发，为基金管理人提出了新的投资决策方法并结合实际分析验证了该方法的有效性，该模型的应用对提高基金管理人获得超额投资收益的能力有很好的指导意义。本论文主要研究内容概括如下： 1．综述国内外对影响证券投资基金业绩的基金经理人选股能力和择时能力的理论研究、股票和债券投资决策方法研究的现状，在总结分析研究现状的基础上指出研究中存在的不足及本论文所要研究的方向，提出了分别应用于股票投资的ANP模型和债券投资的债券收益率曲线模型。 2．以基本面分析为出发点，分析说明了基本面分析对证券投资基金的作用，从宏观环境、行业环境、经营管理、财务状况和盈利预测五个方面建立了用于评价上市公司投资价值的ANP模型，在系统研究各指标因素之间的关联关系以及通过一致性检验后，确定了各指标的综合权重。 3．以上海证券交易所的债券为研究背景，设计出了四种基于与到兑付日期时间长短做自变量的回归分析模型，通过各种统计检验后，初步确定了有效模型。应用预测方式，对模型的有效性做了进一步分析，最终得出一元三次回归模型用于构建各交易日的债券收益率曲线模型拟合效果最优的结论。 4．针对股票和债券投资模型进行实证研究。在股票投资操作方面，从中小板股票中选出评价样本，将评价指标进行统一线性量化后，结合ANP模型的指标权重得出最终评价结果，根据结果进行投资选择；在债券投资操作方面，根据所提出的债券收益率曲线的两个作用，分别依据债券实际收益率距债券收益率曲线的位置，以及对新上市债券开盘价格的预测，提出购买或规避债券的投资对策建议，从而验证了模型的实用性。
[Abstract]:From the promulgation of the interim measures on the Management of Securities Investment funds in China to the formal implementation of the Securities Investment Fund Law, from the traditional closed-end funds as the mainstream to the emergence of open-end investment funds, which quickly replaced their position, In a short period of ten years, both the investment scale and the product structure of the securities investment funds have been developed rapidly, which has become an indispensable and important force in the securities market. Because China's securities investment funds are still in the initial stage of exploration and development, fund managers lack the corresponding management knowledge and management experience, and there are arbitrary, non-normative and blind investment behaviors in investment decision-making. The annual rate of return of general investment funds in China is generally lower than that of one-year periodic savings, which in turn affects the income level of small and medium-sized investors and the overall performance of fund companies. Therefore, how to adjust and standardize the investment mode of the fund manager in this situation in order to bring satisfactory return to the investors is an urgent problem in the development of the securities investment fund in our country. This paper aims at this problem, on the basis of summarizing the existing research results at home and abroad, starting from a new angle, that is, the stock market and the bond market, two major investment markets of the securities investment fund, the stock market and the bond market. A new investment decision method is proposed for fund managers and the effectiveness of this method is verified by practical analysis. The application of this model has a good guiding significance to improve the ability of fund managers to obtain excess investment returns. The main research contents of this paper are summarized as follows: 1. Summarize the theoretical research of stock selection ability and timing ability of fund managers which affect the performance of securities investment funds, the present situation of stock and bond investment decision-making methods. 2. On the basis of summarizing and analyzing the present situation of the research, the paper points out the deficiency of the research and the research direction of this paper. The ANP model applied to stock investment and the bond yield curve model of bond investment are put forward. 2. Taking the fundamental analysis as the starting point, the paper analyzes the effect of the fundamental analysis on the securities investment fund, from the macro environment, An ANP model is established to evaluate the investment value of listed companies from five aspects: industry environment, management, financial situation and profit forecast. 3. Taking the bond of Shanghai Stock Exchange as the research background, four regression models based on independent variables to the date and time of payment are designed. The effective model is preliminarily determined. The validity of the model is further analyzed by using the prediction method. Finally, the paper draws the conclusion that the univariate cubic regression model is used to construct the bond yield curve model for each trading day. 4. The empirical research on the stock and bond investment model is carried out. In the aspect of stock investment operation, the evaluation sample is selected from the small and medium-sized board stock, the evaluation index is uniformly linear quantized, the final evaluation result is obtained by combining the index weight of ANP model, and the investment selection is carried out according to the result. In the aspect of bond investment operation, according to the two functions of the bond yield curve, the position of the bond real yield to the bond yield curve and the prediction of the opening price of the newly listed bonds are respectively used. The investment countermeasures of buying or evading bonds are put forward to verify the practicability of the model.
【学位授予单位】：天津理工大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】