基金投资风格漂移对投资者行为影响研究

发布时间：2019-05-08 01:44

【摘要】：明确的基金投资风格是投资者根据自己偏好选择基金的基本前提，也是进行投资的依据和基准。但是国内外大量的实证分析都表明基金投资风格存在漂移现象。投资风格的漂移违背了投资者当时购买基金的投资理念及初衷，可能会导致投资者基于自身风险偏好的目标收益不能实现，使投资组合面临新的风险，但也可能带给投资者超越其目标的收益。另一方面，投资者行为的研究对监管机构、基金管理公司和投资者都有重要的意义，已有的文献中从宏观环境、基金收益率、规模、分红等角度进行了研究，但是鲜有文献从基金的风格漂移角度考虑。此外一般认为机构投资者为获得稳定收益会要求基金恪守其投资风格，而个人投资者更多的是关注基金的业绩，但是鲜有文献对此做出实证研究证明。为此本文首先运用Sharpe模型来验证各类基金的实际投资风格，并使用SDS指标来测量风格漂移程度。其次，，以投资者申购、赎回、净申购为被解释变量，引入基金业绩、分红、规模、风格漂移程度、市场收益率等为解释变量建立多元回归模型，分析对投资者行为的影响。最后为揭示风格漂移对个人与机构投资者的影响，将投资者区分为个人投资者和机构投资者，以净申购率为被解释变量，通过多元回归模型进行分析。通过本文研究主要得出以下几点结论：1、中国开放式基金存在严重风格漂移现象，且具有趋同性。2、不同投资风格类型、不同阶段的基金漂移程度存在差异。3、基金风格漂移对投资者申购、赎回、净申购有影响，但不同时期表现不一。4、基金风格漂移不能带来基金业绩的增长。5、风格漂移程度对个人与机构投资者存在影响，机构投资者更加厌恶基金的风格漂移，且敏感程度也大于个人投资者。国内外学者在基金投资风格识别和量化、投资者申购与赎回影响因素方面做了大量的研究，与之前的研究相比，本文的创新与贡献之处在于： 1、将基金风格的漂移程度引入到分析投资者行为的模型中，并将投资者行为区分为申购、赎回和净申购，以分析漂移程度对其影响。2、将投资者进一步区分为个人投资者和机构投资者，分析漂移程度对个人与机构投资者净申购影响的异同。
[Abstract]:Clear fund investment style is the basic premise for investors to choose funds according to their own preferences, but also the basis and benchmark for investment. However, a large number of empirical analysis at home and abroad show that there is a drift in the style of fund investment. The drift of the investment style violates the investment idea and original intention of the investor at that time, which may lead to the unrealization of the target return of the investor based on his own risk preference, and make the portfolio face new risks. But it could also bring investors gains beyond their targets. On the other hand, the research on investor behavior is of great significance to regulators, fund management companies and investors. In the existing literature, it has been studied from the perspectives of macro-environment, fund yield, scale, dividend, and so on. But few documents look at the style drift of the fund. In addition, it is generally believed that institutional investors will require the fund to adhere to its investment style in order to obtain stable returns, while individual investors pay more attention to the performance of the fund, but few empirical studies have been done to prove it. In this paper, the Sharpe model is first used to verify the actual investment style of various funds, and the SDS index is used to measure the degree of style drift. Secondly, taking investors' requisition, redemption and net requisition as explanatory variables, introducing fund performance, dividend, scale, style drift and market yield as explanatory variables, a multiple regression model is established to analyze the impact on investors' behavior. Finally, in order to reveal the influence of style drift on individual and institutional investors, investors are divided into individual investors and institutional investors. The net requisition rate is taken as the explained variable and analyzed by multivariate regression model. The main conclusions of this paper are as follows: (1) there is a serious style drift phenomenon in China's open-end funds, and it has convergence. 2, there are differences in the degree of fund drift in different investment styles and stages. Fund style drift has an impact on investors' requisition, redemption and net requisition, but the performance of different periods is different. Fund style drift can not bring about the growth of fund performance. 5, the degree of style drift has an impact on individual and institutional investors. Institutional investors are more averse to fund style drift and more sensitive than individual investors. Domestic and foreign scholars have done a lot of research on fund investment style identification and quantification, investors' requisition and redemption influence factors. Compared with previous research, the innovation and contribution of this paper are as follows: 1, The drift degree of fund style is introduced into the model of analyzing investor behavior, and the investor behavior is divided into requisition, redemption and net requisition to analyze the impact of drift degree on it. The investors are further divided into individual investors and institutional investors, and the similarities and differences between individual and institutional investors in the impact of drift on net requisition are analyzed.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.5;F224

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