基于A股熊市特征的H-S-H基金择时择股能力研究

发布时间：2018-04-16 12:30

本文选题：A股熊市特征 + 市内率　；参考：《湘潭大学》2017年硕士论文

【摘要】：我国证券市场自1990年恢复至今的近30年时间里,已经历了多次牛熊市转变,市场波动非常巨大;相应的公募基金业绩波动也尤为显著,主要原因是其择时择股能力较差所致。故此,如何解决公墓基金的择时择股能力问题,是其面临的最大难题,但现有文献基本未对此进行深入研究。文章通过导师构建的股市泡沫模型(市内率模型)和相关指标的趋势分析对熊市低谷股票市场的波动特征进行总结。在针对2005-2016年上证A股1125家上市公司的市内率、股权集中度、产业资本与财务资本增减持、封闭式基金折溢价等预测指标进行测算和趋势分析后,数据表明:第一,熊市低谷点调整前后市内率趋近于1且在1之间小幅度波动,因此市场泡沫较低或几乎不存在。第二,在四次熊市低谷点股权高度集中,其中产业资本变动与市场趋势一致,因产业资本为实体企业投资,注重长期投资,其波动较小;财务资本则因进出市场灵活,波动较大。第三,封闭式基金整体折价水平较高,且市内率越小,折价水平越高。综合表明熊市低谷期间内在价值具有有效性,以市内率为基础的相关指标分析能总结熊市股票市场的波动特征。文章进而依据市场整体波动特征和分析方法对H-S-H基金的仓位控制、累计收益率走势、加权涨跌幅、持股周期进行分析,研究发现该基金整体择时能力较弱,择股能力相对较强。针对H-S-H基金存在的择时能力较弱,择时择股综合表现的整体收益波动较大等问题,文章建议机构和个体投资者应以财务估值为基础,通过股市泡沫模型和辅助指标的趋势分析进行有效的价值投资。具体分析一方面应加强基金公司和基金经理的价值投资意识,通过财务估值模型对价值股进行识别。另一方面通过市内率等辅助指标对市场整体波动趋势进行分析,从而根据市场整体波动和个股投资价值进行投资决策,以避免投资者的盲目投资和从众心理。现有的研究主要是通过参数法对牛熊市阶段基金的择时择股能力进行检验,文章以财务估值模型为基础对上证A股整体内在价值进行测算,进一步通过股市泡沫模型(市内率模型)等指标对市场泡沫程度和市场波动进行趋势分析,据此对案例基金的择时择股能力进行剖析,从而引导机构和个体投资者如何进行择时择股。
[Abstract]:In the nearly 30 years since the stock market was recovered in 1990, the stock market has experienced many bull and bear market changes, and the market volatility is very large, and the corresponding performance fluctuation of public offering funds is particularly remarkable, mainly due to its poor ability to choose stock at the time.Therefore, how to solve the problem of cemeteries fund's ability of timing and stock selection is the biggest problem it faces, but the existing literature has not studied this problem deeply.This paper summarizes the volatility characteristics of bear market trough stock market by using the stock market bubble model (the city rate model) and the trend analysis of related indicators.After calculating and analyzing the city rate, ownership concentration, industrial capital and financial capital increase and decrease, closed-end fund premium and so on, the data show that: first,Before and after the adjustment of the low point of bear market, the rate of the city approaches to 1 and fluctuates by a small margin between 1, so the market bubble is low or almost non-existent.Second, at the low point of the four bear markets, stock ownership is highly concentrated, in which industrial capital changes are consistent with market trends, because industrial capital is a physical enterprise investment, focusing on long-term investment, and its volatility is relatively small; financial capital is flexible because of its access to and exit from the market.It fluctuates greatly.Third, the closed-end fund as a whole discount level is higher, and the smaller the city rate, the higher the discount level.It is concluded that the intrinsic value of bear market is effective during the period of low valley of bear market, and the volatility characteristics of bear market stock market can be summed up by the analysis of relevant indexes based on the city rate.According to the characteristics of the market volatility and the analysis method, the paper analyzes the H-S-H fund's position control, cumulative yield trend, weighted rise and fall, and stock holding cycle. It is found that the overall timing ability of the fund is relatively weak and the stock selection ability is relatively strong.In view of the weak timing ability of H-S-H funds and the large volatility of the overall income of the comprehensive performance of timing and stock selection, this paper suggests that institutions and individual investors should base themselves on financial valuation.Through the stock market bubble model and the auxiliary index trend analysis to carry on the effective value investment.On the one hand, the value investment consciousness of fund companies and fund managers should be strengthened, and the value stocks should be identified by financial valuation model.On the other hand, through the analysis of the market fluctuation trend through the auxiliary index such as the city rate, the investment decision can be made according to the whole market fluctuation and the value of the individual stock investment, so as to avoid the blind investment and the herd psychology of the investors.The existing research is mainly through the parameter method to test the timing and stock selection ability of the bull bear stage fund. Based on the financial valuation model, the paper calculates the overall intrinsic value of the A shares of Shanghai Stock Exchange.Further, through the stock market bubble model (city rate model) and other indicators to market bubble degree and market volatility trend analysis, according to the case fund timing and stock selection ability to analyze,So as to guide institutions and individual investors how to choose stock timing.
【学位授予单位】：湘潭大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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