基于中国证券市场的基本面加权指数组合投资方法及其实证研究
发布时间：2019-06-19 20:00
【摘要】：目前世界上股票市场最流行的价格指数市值加权的指数,市场指数通常作为判断是否进行积极投资管理的标准。自20世纪70年代以来,以复制和跟踪市值加权指数为目标的指数化投资方法己成为美国乃至世界上最重要的投资理念和投资方法之一。尽管市值加权指数有很多优点,但是有些学者和长期试图战胜的投资者对均值方差有效的市场组合提出了质疑。因此,积极寻求比市值加权指数化投资方法更好的指数化投资方法也越来越为实务界与学术界所重视。在2005年,Arott、Hsu和Moore正式提出了一种即包含有指数化投资思想又不同于市值加权的基本面指数化(Fundamental Indexing)投资方法。基本面指数的构造不再是市值加权的,而是对价格不敏感的一系列财务指标如红利,收益,账面价值,现金流,销售额等进行加权,以确定其权重。基本面指数化投资方法作为一种独特的投资策略型指数,己成为美国实务界增长最快的最新风险资产组合管理方法。 本文立足于投资学、行为金融学、统计学方法,针对研究对象的特点和具体内容,采用理论推导与实证分析相结合方法研究基本面指数组合投资问题。具体如下：1.基本面指数化投资的界定和中国证券市场的基本面指数化投资方法,采用文献研究、理论分析、数学建模和实证研究相结合的方法；2.传统指数化投资方法和基本面指数化投资方法的融合方法,采用理论分析、实证研究。 研究结论主要有以下几点：第一,我国沪深股市存在着市场噪声,基本面加权投资组合的理论基础在中国股市上是成立的。第二,重新界定了基本面指数的定义,并在数理基础和构造方法上对基本面加权指数和市值加权指数进行了分析和比较。市值加权指数存在错误定价,系统性的对高估的股票配置过多的权重而对低估的股票配置过少的权重,使其绩效受到拖累。而基本面指数能打破错误定价与投资组合权重之间的联系,是一个具有很好市场代表性的中立指数。第三,从总体市场情况来看,多期基本面投资组合收益情况最好,市值投资组合收益最小,这与美国市场上得到的结论相一致。用夏普比率衡量的风险情况来看,基本面加权投资组合的风险要略大于市值加权投资组合,这与美国市场上得到的结论相悖。第四,在实证上,基本面加权指数的优点在中国股市上基本都得到了验证。在中国熊市阶段市值加权投资组合收益优于基本面加权投资组合收益；在牛市阶段基本面加权投资组合优于市值加权投资组合。这说明基本面加权投资组合更能享受牛市带来的顺风,这与国外的研究结论相悖。原因可能在中国受国家政策如股权配置改革的影响很大,股市噪声的不平稳,还偶尔出现与均值背离相背离的现象有关。第五,在中国股市的升息阶段,基本面加权投资组合虽然能获得的好于市值加权投资组合的收益,但是同时也面临着更多的风险。在降息阶段,基本面加权投资组合不仅能获得好的收益,而且面临的风险也更低。 对基于中国证券市场的基本面加权指数组合投资问题进行研究,具有以下几点现实意义：1、基本面指数作为策略指数的一种,能丰富我国现有指数体系和指数功能。2、基本面指数是以基本面财务数据加权计算所构建的中立指数,隔断了样本股价格与其权重之间的简单联系,引入了全新的投资理念。3、基本面指数将主动策略和被动管理的投资组合统一于一体,使我国投资者既能享有被动产品的低费率,同时也能分享到基本面这一高投资绩效策略所带来的收益,更好地满足了我国投资者的投资需求。基本面指数化投资这样一种置于传统指数化投资框架内的积极组合资产配置方法,在中国证券市场是否也具有适用性、是否也表现出与国外发达国家相似的风险收益特征,是一个值得深入研究的现实问题。加强对基本面加权指数组合投资问题的研究将有助于推动我国创新型指数产品的出现并提供理论依据,对于丰富我国证券市场的金融投资理论,具有重要的理论意义和学术价值。 本文的创新之处主要体现在以下几个方面：一是在这个领域中国知网上能找到的文献,只有《中国股市基本面价值加权投资组合研究》仅此一篇,国内还没有类似的硕博士论文,希望本文能为未来的研究者提供参考。二是2011年7月1目正式发布上证基本面指数系列,包括上证基本面200指数、上证基本面300指数和上证基本面500指数,这个创新型指数还没有从理论上对此进行探讨的。三是首次验证基本面指数在我国的适用性。
[Abstract]:At present, the market index of the most popular price index of the stock market in the world is weighted by the market value, and the market index is usually used as a standard for judging whether to carry out active investment management. Since the 1970s, it has become one of the most important investment ideas and investment methods in the United States and the world. Although the market value-plus-weight index has many advantages, some scholars and long-running investors have questioned the market portfolio that is effective in mean-variance. Therefore, it is becoming more and more important for both the practical and the academic circles to actively seek an index-based investment method that is better than the market value plus-weight-index investment method. In 2005, Arott, Hsu and Moore formally proposed an investment method that includes an exponential investment idea and a fundamental index that is different from the market value weighting. The structure of the fundamental index is no longer weighted by market value, but is a series of financial indicators that are not sensitive to price, such as dividends, income, book value, cash flow, sales, etc., to determine its weight. As a unique investment strategy type index, the fundamental index investment method has become the latest risk asset portfolio management method with the fastest growth in the American substantive world. This paper is based on investment study, behavioral finance and statistical method, aiming at the characteristics and specific contents of the research object, and using the combination of the theoretical deduction and the empirical analysis to study the fundamental index portfolio investment question. The following is the following: 1. The definition of fundamental indexation investment and the basic index investment method of China's securities market, using the methods of literature research, theoretical analysis, mathematical modeling and empirical research; 2. The fusion method of the traditional indexation investment method and the fundamental index investment method, adopting the theory analysis and the empirical research. The main points of the study are as follows: First, there is market noise in Shanghai-Shenzhen stock market, and the theoretical basis of the fundamental weighted investment combination is in China's stock market Secondly, the definition of the fundamental index is redefined, and the basic weighting index and the market value weighting index are analyzed on the basis of the mathematical basis and the construction method. and comparing the value of the market value with the weight of the overvalued stock, so that the performance of the stock is affected by the excessive weight of the overvalued stock, to a drag. The underlying index can break the link between the wrong pricing and the portfolio weight, a very good market representative Third, in terms of the overall market situation, the best combination of the multi-period fundamental investment portfolio and the minimum portfolio return on market value are the same as the results obtained in the US market In line with the risk profile measured by Sharp's ratio, the risk of a fundamental weighted portfolio is slightly larger than the market value-weighted portfolio, which is similar to that of the U.S. market The fourth, in the empirical, the merit of the fundamental weighting index is basically obtained in China's stock market In China, the weighted investment portfolio of the market value of the bear market is better than that of the fundamental weighted investment. In the bull market, the weighted investment portfolio is better than the market value weighted investment. Portfolio. This means that the underlying weighted portfolio is more likely to enjoy the downwind brought by the bull market, which is tied to foreign research On the contrary, the reason may be that the influence of the state policy such as equity allocation reform in China is large, the noise of the stock market is not stable, and the occurrence of the current deviation from the average deviation occasionally occurs. Fifth, in the rise-and-interest phase of the Chinese stock market, the fundamentals-weighted portfolio, while gaining the benefits of a combination of market-value-weighted investments, is at the same time facing more At the interest rate cut stage, the fundamental weighted portfolio is not only a good benefit but also a risk It also has the following practical significance:1. The fundamental index is a kind of strategy index, which can enrich the existing index system and finger of our country. The basic index is the neutral index constructed with the weighted calculation of the fundamental financial data, and the simple relationship between the sample stock price and its weight is isolated, and a brand-new investment concept is introduced. As a whole, our investors can not only enjoy the low rates of passive products, but also share the benefits of the high-investment performance strategy of the fundamentals, and better meet the investors of our country The investment demand is a kind of positive combined asset allocation method which is placed in the traditional indexation investment framework. It is of great theoretical significance to strengthen the research of the portfolio investment of the fundamental and weighted index, which will help to promote the emergence of the innovative index products in our country and provide the theoretical basis, and it is of great theoretical significance to enrich the financial investment theory of our securities market. and academic value. The innovation of this paper is mainly reflected in the following aspects: one is the literature that can be found on the Internet in this field, only the weighted investment portfolio of the fundamental value of the Chinese stock market is more than the only one, and there is no class in China Like a doctoral thesis, I hope this article is for the future. The second is the official release of the Shanghai Composite Index series on July 1,2011, including the SSE fundamentals 200 index, the SSE fundamentals 300 index and the SSE fundamentals 500 index, and the innovative index has not been theoretically The third is to verify the fundamental index for the first time.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
[Abstract]:At present, the market index of the most popular price index of the stock market in the world is weighted by the market value, and the market index is usually used as a standard for judging whether to carry out active investment management. Since the 1970s, it has become one of the most important investment ideas and investment methods in the United States and the world. Although the market value-plus-weight index has many advantages, some scholars and long-running investors have questioned the market portfolio that is effective in mean-variance. Therefore, it is becoming more and more important for both the practical and the academic circles to actively seek an index-based investment method that is better than the market value plus-weight-index investment method. In 2005, Arott, Hsu and Moore formally proposed an investment method that includes an exponential investment idea and a fundamental index that is different from the market value weighting. The structure of the fundamental index is no longer weighted by market value, but is a series of financial indicators that are not sensitive to price, such as dividends, income, book value, cash flow, sales, etc., to determine its weight. As a unique investment strategy type index, the fundamental index investment method has become the latest risk asset portfolio management method with the fastest growth in the American substantive world. This paper is based on investment study, behavioral finance and statistical method, aiming at the characteristics and specific contents of the research object, and using the combination of the theoretical deduction and the empirical analysis to study the fundamental index portfolio investment question. The following is the following: 1. The definition of fundamental indexation investment and the basic index investment method of China's securities market, using the methods of literature research, theoretical analysis, mathematical modeling and empirical research; 2. The fusion method of the traditional indexation investment method and the fundamental index investment method, adopting the theory analysis and the empirical research. The main points of the study are as follows: First, there is market noise in Shanghai-Shenzhen stock market, and the theoretical basis of the fundamental weighted investment combination is in China's stock market Secondly, the definition of the fundamental index is redefined, and the basic weighting index and the market value weighting index are analyzed on the basis of the mathematical basis and the construction method. and comparing the value of the market value with the weight of the overvalued stock, so that the performance of the stock is affected by the excessive weight of the overvalued stock, to a drag. The underlying index can break the link between the wrong pricing and the portfolio weight, a very good market representative Third, in terms of the overall market situation, the best combination of the multi-period fundamental investment portfolio and the minimum portfolio return on market value are the same as the results obtained in the US market In line with the risk profile measured by Sharp's ratio, the risk of a fundamental weighted portfolio is slightly larger than the market value-weighted portfolio, which is similar to that of the U.S. market The fourth, in the empirical, the merit of the fundamental weighting index is basically obtained in China's stock market In China, the weighted investment portfolio of the market value of the bear market is better than that of the fundamental weighted investment. In the bull market, the weighted investment portfolio is better than the market value weighted investment. Portfolio. This means that the underlying weighted portfolio is more likely to enjoy the downwind brought by the bull market, which is tied to foreign research On the contrary, the reason may be that the influence of the state policy such as equity allocation reform in China is large, the noise of the stock market is not stable, and the occurrence of the current deviation from the average deviation occasionally occurs. Fifth, in the rise-and-interest phase of the Chinese stock market, the fundamentals-weighted portfolio, while gaining the benefits of a combination of market-value-weighted investments, is at the same time facing more At the interest rate cut stage, the fundamental weighted portfolio is not only a good benefit but also a risk It also has the following practical significance:1. The fundamental index is a kind of strategy index, which can enrich the existing index system and finger of our country. The basic index is the neutral index constructed with the weighted calculation of the fundamental financial data, and the simple relationship between the sample stock price and its weight is isolated, and a brand-new investment concept is introduced. As a whole, our investors can not only enjoy the low rates of passive products, but also share the benefits of the high-investment performance strategy of the fundamentals, and better meet the investors of our country The investment demand is a kind of positive combined asset allocation method which is placed in the traditional indexation investment framework. It is of great theoretical significance to strengthen the research of the portfolio investment of the fundamental and weighted index, which will help to promote the emergence of the innovative index products in our country and provide the theoretical basis, and it is of great theoretical significance to enrich the financial investment theory of our securities market. and academic value. The innovation of this paper is mainly reflected in the following aspects: one is the literature that can be found on the Internet in this field, only the weighted investment portfolio of the fundamental value of the Chinese stock market is more than the only one, and there is no class in China Like a doctoral thesis, I hope this article is for the future. The second is the official release of the Shanghai Composite Index series on July 1,2011, including the SSE fundamentals 200 index, the SSE fundamentals 300 index and the SSE fundamentals 500 index, and the innovative index has not been theoretically The third is to verify the fundamental index for the first time.
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224
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