基于四因素模型的基金业绩持续性研究

发布时间：2018-08-19 13:28

【摘要】：证券投资基金是一种利益共享、风险共担的集合证券投资方式。通过发行基金单位,集中投资者的资金,由基金托管人托管,由基金管理人管理和运用资金从事股票、证券等金融工具投资,证券投资基金发展到今天已成为世界范围内一种重要的投资渠道和理财工具。我国的基金业虽然起步较晚,但发展十分迅速。在短短十多年里,无论是基金发行的数量还是基金管理资产的规模都呈现出几何式的增长。随着投资者参与基金投资的热情越来越高,基金业绩好坏的评判成为越来越多人关心的问题。基金业绩是否能超越市场表现、过去表现优异的基金能否在未来依旧获得较好的收益成为广大投资者关注的焦点。正因为如此,基金业绩评价和基金业绩的持续性研究应运而生。由于国外证券投资基金发展时间较长,相关理论和实践相对成熟,实证研究也非常深入,已经形成了系统化的业绩评价理论和体系。国内业界在这些理论体系的基础上对从业绩持续性角度寻找绩优基金方面也做了大量的相关研究,然而由于方法不同也得出了相异的结论。本文归纳整理了证券投资基金业绩评价理论和业绩持续性方面的主要方法,在分析研究Fama和French三因素模型的基础上,借鉴国外研究经验并结合我国证券市场的实际情况和特点,构建了四因素模型。通过实证研究,从绝对收益和风险调整收益等不同角度对基金前后业绩进行对比及相关性分析,最后总结了模型对于基金投资的实践意义。第一章为导论和文献综述。这部分内容主要阐述了本文的研究背景和意义,具体介绍了国内外学者在基金业绩评价和业绩持续性研究方面的理论成果。然后,介绍了本文的研究思路和研究方法,并对创新之处进行了总结归纳。第二章是对证券投资基金业绩评估理论的概述,介绍了证券投资基金业绩评价理论及其方法,并对基金业绩持续性研究相关内容进行了阐述,其中包括评价理论及方法、影响因素及研究意义。第三章是对证券投资基金的概述,介绍了证券投资基金的概念、分类以及我国基金业近几年的发展情况,具体包括基金市场总量、资产份额、投资回报以及部分基金业绩比较。第四章四因素模型的构建。这部分中首先详细介绍了Fama Freneh三因素模型的理论体系和假设条件,在此基础上提出了四因素模型,并对不同因素选取的变量进行了分析和介绍。这部分中还介绍了本文选取的研究样本和业绩衡量方法。第五章是本文的核心内容。这部分运用前文所构建的四囚素模型对样本数据进行回归得到风险调整收益,根据风险调整收益对基金进行分组和排序。通过观察基金在绝对收益、风险调整收益、短期以及长期等不同维度上前后业绩的对比,从而寻找模型对于基金业绩持续性的解释能力。最后总结了本文的结论和对基金投资的启示。
[Abstract]:Securities investment fund is a kind of collective securities investment mode which shares interests and shares risks. Through the issuance of fund units, the funds of the investors shall be centralized and managed and used by the fund managers to invest in stocks, securities and other financial instruments. Securities investment fund has become an important investment channel and financial tool all over the world. Although the fund industry of our country starts late, it develops very quickly. In more than a decade, both the number of fund issuance and the size of fund assets under management have shown geometric growth. With the increasing enthusiasm of investors to participate in fund investment, the evaluation of fund performance has become an issue of more and more concern. Whether fund performance can outperform market performance, and whether funds with excellent performance in the past can still achieve better returns in the future has become the focus of investors. Because of this, fund performance evaluation and fund performance research emerge as the times require. Due to the long development of foreign securities investment funds, the relative mature theory and practice, the empirical research is also very deep, has formed a systematic performance evaluation theory and system. On the basis of these theoretical systems, the domestic industry has also done a lot of research on looking for outstanding funds from the perspective of performance sustainability. However, different conclusions have been drawn because of the different methods. This paper summarizes the main methods of performance evaluation theory and performance persistence of securities investment funds. On the basis of analyzing and studying the three factor models of Fama and French, this paper draws lessons from foreign research experience and combines the actual situation and characteristics of China's securities market. A four-factor model is constructed. Through the empirical research, this paper compares and analyzes the performance of the fund before and after from the perspective of absolute income and risk-adjusted income, and finally summarizes the practical significance of the model for fund investment. The first chapter is introduction and literature review. This part mainly expounds the research background and significance of this paper, and introduces the theoretical achievements of domestic and foreign scholars in the field of fund performance evaluation and performance sustainability. Then, this paper introduces the research ideas and research methods, and summarizes the innovation. The second chapter is an overview of the performance evaluation theory of securities investment funds, introduces the performance evaluation theory and methods of securities investment funds, and describes the relevant contents of the performance sustainability research, including the evaluation theory and methods. Influencing factors and significance of research. The third chapter is an overview of the securities investment fund. It introduces the concept and classification of the securities investment fund and the development of the fund industry in China in recent years, including the total amount of the fund market, the share of assets, the return on investment and the comparison of the performance of some funds. The fourth chapter is the construction of four-factor model. In this part, the theoretical system and hypothetical conditions of Fama Freneh three-factor model are introduced in detail, and then the four-factor model is put forward, and the variables selected by different factors are analyzed and introduced. This part also introduces the selected research samples and performance measurement methods. The fifth chapter is the core content of this paper. In this part, we use the four-element model to regress the sample data to get the risk-adjusted income, and group and sort the fund according to the risk-adjusted income. By observing the comparison between the performance of the fund in different dimensions, such as absolute income, risk-adjusted return, short-term and long-term, so as to find out the explanatory ability of the model for fund performance sustainability. Finally, the conclusion of this paper and the inspiration to fund investment are summarized.
【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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