基于非线性前沿面DEA模型的基金绩效评价研究

发布时间：2018-01-03 18:13

  本文关键词：基于非线性前沿面DEA模型的基金绩效评价研究　出处：《天津大学》2016年博士论文　论文类型：学位论文

  更多相关文章： 证券投资基金 绩效评价 数据包络分析 非线性前沿面 绩效持续性

【摘要】：随着我国证券投资基金行业的快速发展,基金绩效评价成为了备受关注的研究热点。从静态的角度,证券投资基金是一类具有风险-收益特征的金融产品,因此传统的绩效评价方法均遵循资产定价理论的分析框架,采用风险调整收益作为相应的绩效指标。然而,从动态的角度,风险向收益的转化类似于一项生产过程,所以可以把证券投资基金视为通过输入一定风险而获得相应收益输出的持续性系统。基于这一思路,本文构造了具有非线性生产前沿面的超效率DEA模型,并引入Malmquist-DEA指数的概念,利用连续多期的横截面数据与面板数据,对2007-2013年间我国开放式股票型基金的绩效表现、持续性特征与效率变动轨迹进行了实证检验,并在此基础上进一步揭示了影响基金绩效的关键性因素。首先,选取标准差、Beta系数、在险价值和单位基金净资产费用率作为输入指标,选取复权单位净值增长率和加权平均净值利润率作为输出指标,针对最优生产前沿面的非线性特点,采用双对数处理方式建立Log型超效率DEA模型,实证分析了我国开放式股票型基金市场的整体绩效情况。然后,在此基础上将DEA综合效率进一步分解为技术效率和规模效率,讨论了基金业绩的横截面差异并进行归因研究。就经济含义而言,规模效率可理解为基金承受的风险水平,技术效率则反映了基金经理管理这部分风险的能力接下来,以DEA效率为代理指标,通过双向表法和相关性检验的非参数方法,重点考察了基金业绩的持续性特征及其影响因素。另外,考虑最优生产前沿面的变动,在空间与时间的双重维度下构建Malmquist-DEA模型,对我国开放式股票型基金绩效进行动态评价,以反映效率水平的变动轨迹。最后,总结全文,指出文中存在的不足,并在此基础上围绕DEA模型背后的经济含义、基金业绩横截面差异与市场环境的关系等问题,对未来研究做出了展望。
[Abstract]:With the rapid development of the securities investment fund industry in China, fund performance evaluation has become a hot research topic. From the static point of view, the securities investment fund is a kind of financial products with the characteristics of risk-income. Therefore, the traditional performance evaluation methods follow the analytical framework of asset pricing theory, using risk-adjusted returns as the corresponding performance indicators. However, from a dynamic point of view. The transformation from risk to income is similar to a production process, so the securities investment fund can be regarded as a continuous system to obtain the corresponding income output through the input of certain risks. In this paper, the super-efficiency DEA model with nonlinear production frontier is constructed, and the concept of Malmquist-DEA exponent is introduced, and the cross-section data and panel data of continuous multi-period are used. This paper empirically tests the performance, persistence and efficiency of open-end equity funds in China from 2007 to 2013. And on this basis further revealed the key factors that affect the performance of the fund. First, select the Beta coefficient of standard deviation, in the risk value and the unit fund net asset expense rate as the input index. This paper selects the growth rate of unit net worth and the weighted average profit rate of net worth as output indexes, aiming at the nonlinear characteristics of the optimal production frontier, the Log super-efficiency DEA model is established by double logarithmic processing. Empirical analysis of the overall performance of China's open-end equity fund market. Then, on this basis, the comprehensive efficiency of DEA is further divided into technical efficiency and scale efficiency. This paper discusses the cross-sectional differences of fund performance and makes a attribution study. In terms of economic meaning, scale efficiency can be understood as the risk level to which the fund is exposed. The technical efficiency reflects the fund manager's ability to manage this part of the risk. Then, taking the DEA efficiency as the proxy index, the non-parametric method through two-way table method and correlation test is adopted. In addition, considering the change of the optimal production frontier, the Malmquist-DEA model is constructed under the dual dimension of space and time. The performance of open-end equity funds in China is dynamically evaluated to reflect the changing track of efficiency level. Finally, the paper summarizes the full text and points out the deficiencies in the paper. On this basis, the future research is prospected around the economic meaning behind the DEA model, the relationship between the cross-section difference of fund performance and the market environment and so on.
【学位授予单位】：天津大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F224;F832.51
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本文编号：1375014