流动性和特质风险对基金绩效影响研究

发布时间：2018-04-20 21:33

本文选题：开放式股票型基金 + 基金绩效　；参考：《哈尔滨工业大学》2014年硕士论文

【摘要】：流动性对资产收益的影响是目前学者研究的热点之一。流动性对资产收益的实现至关重要。国内外学者对流动性与股票横截面收益之间的关系进行了大量的研究,主要集中在流动性的测度和对股票横截面收益的影响上,关于流动性对基金绩效影响的研究还比较缺乏。特质风险也是目前微观金融结构领域的热点问题。特别是在市场波动保持稳定时,股票间的相关性下降,系统性风险在资产定价中的作用减弱,特质风险成为影响资产价格的重要因素。众多文献研究发现特质风险与股票收益之间存在正向相关关系,但是较少有人去论述特质风险对基金绩效的影响。流动性高会导致资产价格快速上升或下跌,进而导致特质风险升高,同时,特质风险的升高之后有可能引起资产流动性降低,有必要将二者结合起来研究其共同对基金绩效的影响,目前国内外关于这方面的研究鲜有著述。本文以开放式主动型股票基金为研究样本,研究流动性和特质风险单独以及共同对基金绩效的影响。通过Haunsman检验,采用随机效应面板数据回归方法,基于加入流动性和特质风险的CAPM模型进行实证分析发现:流动性与基金绩效显著负相关,非流动性风险越大,基金绩效越高,与流动性溢价理论相符;特质风险与基金绩效显著正相关,说明特质风险是基金绩效的定价因素。将加入流动性和特质风险的CAPM模型引入流动性和特质风险的交互项后,交互项与基金绩效显著负相关,说明在研究基金绩效时,单一考虑流动性和特质风险是不完全的,应该考虑两个因子的交互影响。使用Fama-French三因素模型和Carhart四因素模型进行稳健性检验,发现上述结果仍然成立。本文分析并验证了流动性和特质风险对基金绩效存在单一影响和交互影响。该发现在国内相关文献中尚未有讨论。本文研究对投资者和基金经理在投资决策时有所帮助。投资者衡量基金表现时有必要的关注流动性溢价和特质风险溢价。基金经理在投资选股时,有必要同时关注特质风险和流动性,发现真实价值被高估或低估的证券,把握投资机会,提高投资回报。
[Abstract]:At present, the influence of liquidity on asset returns is one of the hotspots of scholars. Liquidity is crucial to the realization of asset returns. Scholars at home and abroad have done a lot of research on the relationship between liquidity and cross-section returns of stocks, mainly on the measurement of liquidity and the impact on cross-section returns of stocks, but the research on the impact of liquidity on fund performance is relatively scarce. Trait risk is also a hot issue in the field of micro financial structure. Especially when the market volatility remains stable, the correlation between stocks decreases, the role of systemic risk in asset pricing weakens, and idiosyncratic risk becomes an important factor affecting asset prices. Many studies have found that there is a positive correlation between trait risk and stock return, but there are few people to discuss the impact of trait risk on fund performance. High liquidity can lead to a rapid rise or fall in asset prices, which in turn leads to an increase in idiosyncratic risk, which, at the same time, may lead to a decrease in asset liquidity. It is necessary to combine the two to study the influence of the two on the performance of the fund. At present, there are few works on this aspect at home and abroad. This paper studies the effects of liquidity and idiosyncratic risk on the performance of open active stock funds. Through the Haunsman test, using the random effect panel data regression method, based on the CAPM model with liquidity and trait risk, it is found that liquidity is negatively correlated with fund performance, and the greater the illiquidity risk is, the higher the fund performance is. It is consistent with liquidity premium theory, and trait risk is positively correlated with fund performance, indicating that trait risk is the pricing factor of fund performance. After introducing the CAPM model of liquidity and trait risk into the interaction of liquidity and trait risk, the interaction item is negatively correlated with fund performance, which indicates that it is incomplete to consider liquidity and trait risk alone in the study of fund performance. The interaction of two factors should be considered. By using Fama-French three-factor model and Carhart four-factor model to test the robustness, it is found that the above results are still valid. This paper analyzes and verifies that liquidity and idiosyncratic risk have a single and interactive impact on fund performance. This finding has not been discussed in domestic literature. This study is helpful to investors and fund managers in their investment decisions. When investors measure fund performance, it is necessary to focus on liquidity premium and trait risk premium. It is necessary for fund managers to pay attention to both idiosyncratic risk and liquidity when they invest in stocks, and find out that the real value of securities is overvalued or undervalued, so as to grasp the investment opportunities and improve the return on investment.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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