证券投资基金波动率异象研究

发布时间：2018-06-14 13:00

本文选题：证券投资基金 + 特质波动率　；参考：《南京理工大学》2017年硕士论文

【摘要】：各项金融工具的风险与收益之间的关系是金融学需要研究的一个重要课题,经典的有效市场理论认为资本市场是有效的,对于所有的金融工具特质风险投资者都可以通过构建资产组合的方式进行分散而只留下系统风险,所以只有市场风险需要相应的收益来进行风险补偿。但是目前很多研究都发现资产市场并不是有效的,证券市场存在着诸多异象,波动率异象就是其中最典型的一种,而在诸多异象中,与单个证券相关的特质波动率造成的异象显得尤为突出的,投资者由于缺乏充分的信息、充足的资金及面临诸多交易限制,不能通过构造投资组合来完全分散特质风险,在股票中甚至出现了特质波动率越高收益越少的异象。特质风险是否需要风险补偿以及它与收益的关系成为了一大热点。本文选取了 2010年1月1日至2015年12月31日中国证券投资基金市场开放式基金的日度和季度数据,采用Fama-French三因子模型和GARCH(1,1)模型对特质波动率进行分解和预测,并使用投资组合分析、Fama-Macbeth回归和多元面板回归研究基金的特质波动率与其收益率之间的关系。从研究结果可以发现无论是使用三因子模型分解出来的特质波动率还是经GARCH模型所预测的特质波动率都与当季收益率呈现负相关关系,且在控制了上期收益率、基金管理费率、基金规模等变量后依然显著;在对样本区间进行区分后,可以发现在市场行情较差的情况下基金的波动率异象情况变得更为显著,而在市场行情较好时则不存在这种情况;而基金的特质波动率异象出现的主要原因可能源于基金管理人的有限理性,基金经理基于基金投资者赎回基金所带来的压力而改变投资组合,当基金出现赎回时基金管理人会倾向于增加组合风险而在短期内提升基金收益,以缓解基金的赎回压力。
[Abstract]:The relationship between the risk and return of various financial instruments is an important subject to be studied in finance. The classical efficient market theory holds that the capital market is effective. For all the financial instruments, the risk investors can disperse by constructing the portfolio and leave only systematic risk, so only the market risk needs the corresponding return to compensate for the risk. However, many studies have found that the asset market is not effective, and there are many anomalies in the securities market, among which volatility anomaly is the most typical, and among the many anomalies, Because of the lack of sufficient information, sufficient funds and many transaction restrictions, investors can not completely disperse the idiosyncratic risk by constructing a portfolio. Even in stocks, the higher the volatility, the less the return. Whether idiosyncratic risk needs risk compensation and its relationship with income has become a hot spot. This paper selects the daily and quarterly data of open-end funds in China's securities investment fund market from January 1, 2010 to December 31, 2015, and uses the Fama-French three-factor model and the GARCHG 1 / 1) model to decompose and predict the idiosyncratic volatility. The relationship between the characteristic volatility and the return rate of the fund is studied by using the portfolio analysis of Fama-Macbeth regression and multivariate panel regression. It can be found from the results of the study that both the trait volatility decomposed by the three-factor model and the trait volatility predicted by the GARCH model are negatively correlated with the return rate in the current quarter, and the rate of return and the management fee rate of the fund are controlled in the last period. After distinguishing the sample interval, it can be found that the volatility anomaly of the fund becomes more significant when the market is poor, but it does not exist when the market is better. However, the main reason for the emergence of the fund idiosyncratic volatility anomaly may be the limited rationality of the fund manager, who changes his portfolio based on the pressure brought by the redemption of the fund by the fund investors. Fund managers tend to increase portfolio risk and raise fund returns in the short term to ease the redemption pressure when the fund is redeemed.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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