我国股票型开放式基金绩效的四因素模型分析

发布时间：2018-01-04 19:34

本文关键词：我国股票型开放式基金绩效的四因素模型分析　出处：《湖南大学》2014年硕士论文　论文类型：学位论文

【摘要】：21世纪以来,我国国民经济水平增长迅速,全国经济总量不断上升。作为金融市场重要组成部分的证券基金市场也获得长足的发展,无论是其规模、产品种类、基金数量都迅速膨胀,并且在不断自我进步与完善,越来越获得广大投资者的认可与喜爱。根据中国证券投资基金业协会统计,截止2013年11月29日,公募基金总数为1505只,净值总额为29169.87亿元。其中开放式基金有1371只,净值总额为26938.05亿元；股票型开放式基金为604只,净值总额为11352.61亿元,其数量与净值总额分别占比重为44.06%与42.14%。随着越来越多的市场参与者对我国股票型开放式基金进行投资,如何有效的评价其绩效并建立其相应科学的体系便成为非常迫切且实际的问题,对于投资者、监管者与研究学者都具有十分现实与理论意义。本文选择利用Carhart四因素模型通过实证研究我国股票型开放式基金的绩效水平,其是在Fama-French三因素模型的基础上增加了动量因子构建而成,有效弥补了之前模型无法解释市场动量效应的缺陷。四因素模型从市场风险、规模、价值与动量效应四个方面综合评价基金的绩效,能够比其他已有实证模型从更全面广泛的视野去分析基金绩效的贡献来源与变动程度,定能够为我国研究股票型开放式基金绩效提供有力的实证模型与理论依据。在实证过程中,本文选取2009年1月1日之前成立的符合观察要求的39支股票型开放式基金作为研究对象,通过相关数据处理构建模型因子,从绩效表现与贡献来源等多个方面进行实证研究,不仅分析各因子在模型运用中的作用,还比较其相对于三因素模型所体现的优势与改进。通过实证可以发现,我国股票型开放式基金在观察期内在总体上击败市场,绝大部分单个基金也表现优秀,基金经理投资行为是有效的。并且四因素模型能够较好拟合我国基金市场数据,获得较好拟合优度与统计量显著性。在分析结果上与著名第三方评级机构晨星基金评级有较高一致性,无论是风格、策略与星级排名都相符合,一定程度上说明四因素模型对我国证券市场具有足够适用性。但即使是四因素模型仍然有其不足,对基金绩效的影响因子绝不止四个,究竟真正完善的绩效模型是何种形式,改进现有的实证模型需要得到进一步的研究。
[Abstract]:Since the beginning of the 21st century , China ' s national economy has grown rapidly , the total economic volume of the whole country has increased continuously . As an important part of the financial market , the market of securities funds has been expanded rapidly , whether its size , product type and fund amount are rapidly expanded , and the total net value of the open - end fund is RMB 2,939.87 billion . The total net value of the open - ended fund is RMB 2,939.87 billion . As more and more market participants invest in China ' s stock - type open - end fund , how to effectively evaluate its performance and establish its corresponding scientific system becomes a very urgent and practical problem , and has very realistic and theoretical significance for investors , regulators and research scholars . This paper chooses to use Carhart ' s four - factor model to study the performance level of China ' s stock - type open - ended funds , which is based on the Fama - French three - factor model . The four - factor model comprehensively evaluates the performance of the fund from the four aspects of market risk , scale , value and momentum effect . In the demonstration process , this paper selects 39 stock - type open - ended funds which meet the observation requirements established before Jan . 1 , 2009 as the research object , and constructs the model factor through the relevant data processing . It not only analyzes the role of each factor in the model application , but also compares the advantages and the improvement embodied in the three - factor model .

【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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