开放式基金动量与反转投资策略及其基金绩效关系研究

发布时间：2018-06-25 05:18

本文选题：动量策略 + 反转策略　；参考：《华南理工大学》2014年硕士论文

【摘要】：中国证券市场自成立以来长期经历了暴涨暴跌，在中国证券投资基金成立之前，个人投资者被学界和实践层普遍认为是造成市场动荡的主要原因，在“超常规发展战略投资者”的指导下，管理层开始大量的发展机构投资者，基金作为市场最主要的投资者，管理层大量培育基金的目的是为了稳定市场，而基金要稳定市场与基金的投资行为有关，投资行为与市场的效率有关，在市场完全有效时，任何基金都不可能跑赢市场获得超额收益，，而大量的学者研究指出我国的证券市场存在动量与反转效应，投资者基于动量与反转效应所采取的动量与反转投资策略可以获得超额收益，基金公司作为一个专业的管理者，其非常关注基金的收益，理论上来说，只要有利于基金业绩提升，基金公司都不会放过这样的机会，那么在我国的证券市场投资实践上，基金公司是否采用了动量与反转投资策略，如果采用了，是否基金动量与反转投资策略对基金绩效有贡献，贡献度有多大，这都是本文的研究出发点。另一方面，大量的学者研究表明，基金采取动量与反转投资策略损害了市场的有效性，这与管理层发展机构投资者的初衷相违背，以往的研究表明基金采取动量与反转投资策略可以获得长期的超额收益，这就造成了基金公司与管理层不可调和的矛盾。如果基金公司采用了动量与反转投资策略后，基金的业绩有很大提升，那么管理层需要重新考虑基金在市场中的作用和地位，并采取一定的政策措施以规范基金的运作行为和基金绩效的评价；如果基金采用了动量与反转投资策略对业绩提升并不大，甚至损害了基金的业绩，那么基金公司就做了“既不利己也不利人”的事情，一方面基金公司并没有提升基金的业绩，另一方面，基金公司还造成了市场的波动，导致市场的非有效。本文正是基于以上的研究背景，首先从行为金融学的角度解释动量与反转投资策略，及对基金绩效评价理论做了梳理，然后选取2006年1月1日之前成立的40只股票型开放式基金作为研究样本，以2006年至2012年为全样本研究期间，研究基金动量与反转投资策略的存在性及具体采用的策略，接下来研究不同的市场波动下采用这两种投资策略的区别，对基金绩效的影响又如何，在此基础上提出对基金公司的一些投资策略操作建议及基金管理层的一些政策建议，以丰富现有的研究成果。
[Abstract]:China's securities market has experienced a long period of ups and downs since its establishment. Before the establishment of the China Securities Investment Fund, individual investors were generally considered by scholars and practitioners to be the main causes of market turmoil. Under the guidance of "extraordinary development strategy investors", the management began to have a large number of development institutional investors. The fund, as the most important investor in the market, was cultivated by the management in order to stabilize the market. However, if the fund wants to stabilize the market, it has to do with the investment behavior of the fund, which is related to the efficiency of the market. When the market is completely effective, no fund is likely to outperform the market to obtain excess returns. However, a large number of scholars have pointed out that there are momentum and reversal effects in China's securities market, and investors can obtain excess returns by adopting momentum and reverse investment strategies based on momentum and reversal effects. Fund companies are a professional manager. It is very concerned about the return of the fund. Theoretically, as long as it is conducive to the improvement of the fund's performance, the fund company will not miss such an opportunity. Well, in the practice of investing in the securities market in our country, Whether the fund company has adopted momentum and reversal investment strategy, if so, whether the fund momentum and reverse investment strategy have contributed to the fund performance, which is the starting point of this paper. On the other hand, a large number of scholars have shown that the momentum and reverse investment strategies adopted by the fund undermine the effectiveness of the market, which is contrary to the original intention of the management to develop institutional investors. Previous studies have shown that funds can achieve long-term excess returns by adopting momentum and reverse investment strategies, which leads to irreconcilable contradictions between fund companies and management. If the fund company adopts a momentum and reversal investment strategy, the performance of the fund will improve greatly, then the management will need to reconsider the role and position of the fund in the market. And take certain policy measures to standardize the fund's operational behavior and fund performance evaluation; if the fund adopts momentum and reverse investment strategy to improve the performance of the fund, even damage the performance of the fund. On the one hand, the fund company has not promoted the performance of the fund, on the other hand, the fund company has also caused the market volatility, resulting in the market is not effective. Based on the above research background, this paper firstly explains momentum and reverse investment strategy from the perspective of behavioral finance, and combs the theory of fund performance evaluation. Then we select 40 open-end stock funds which were established before January 1, 2006 as the research sample. During the period from 2006 to 2012, we study the existence of the momentum and reverse investment strategies and the specific strategies adopted. Then the paper studies the difference between these two investment strategies under different market fluctuations, and how to influence the fund performance. On this basis, it puts forward some investment strategy operation suggestions to the fund company and some policy recommendations of the fund management. In order to enrich the existing research results.
【学位授予单位】：华南理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F830.42

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