基金业绩、基金竞争与会计应计异象

发布时间：2018-01-09 00:26

本文关键词：基金业绩、基金竞争与会计应计异象　出处：《南京大学》2014年硕士论文　论文类型：学位论文

【摘要】：应计异象的发现对有效市场假说提出了进一步的质疑和挑战。已有的研究已经证实应计异象是一个普遍存在的现象,我国资本市场上同样存在应计异象。会计应计的产生从根源上讲,它是由于权责发生制的运用导致的。会计信息是投资者判断股票价格、制定投资决策的重要信息来源,因此会计信息质量对投资者决策有重要影响。会计应计作为衡量会计盈余质量的关键指标,同样是衡量会计信息质量和会计信息市场效率的重要指标。投资者对会计信息市场效率理解的偏差,导致了对会计应计的错误定价；买入会计应计低的股票并卖出高会计应计的股票是常见的应计套利策略。随着量化投资技术的运用、投资工具的不断丰富,基金投资策略不断丰富和完善。基于市场异象的投资策略已成为基金重要的投资标准,在国外发达的资本市场上,基金等机构投资者普遍运用市场异象策略进行交易。我国基金市场规模的逐渐增大,投资品种的不断增加及量化投资技术的逐渐运用,为我们研究基金运用应计异象进行交易提供了良好的研究素材。此外,基金运用类似的市场异象策略时,投资决策更多的是依靠模型的构建和数据处理分析；投资者往往处于非常相似的位置。因此,类似策略的运用往往产生集中交易和极端竞争；这种策略导致的集中交易和竞争势必对基金业绩产生影响。在国内已有的研究文献中,我们还未见到关于基金利用应计异象构造投资策略,并考察基金竞争对基金业绩影响的研究。本文以我国基金市场2004年-2013年股票型基金、偏股型基金和平衡成长型基金及其持股组合的季度数据为样本,首次对我国股票型基金运用应计异象策略及由策略运用导致的竞争对基金业绩的影响进行了实证研究。本文的数据来源是Wind资讯金融终端数据库和CCER数据库。本文的主要研究发现有三个。首先,从基金样本整体来看,应计异象策略并不是国内股票型基金等主动管理型基金普遍运用的一种投资策略；只有部分基金采用应计异象进行交易；并且应计异象策略不具有显著的获利能力。从我们的研究结果可以看到,基金在各会计应计组的持股权重并没有明显的差异；低会计应计组(D1)基金并没有比INACTIVE组基金获得显著的高收益。其次,我们还发现策略带来的基金竞争影响基金的业绩表现。在积极利用应计异象策略交易的基金中,基金业绩与策略带来的竞争呈现负相关关系。在所有的SIM4分组中,低竞争组(C1)基金持股组合权重显著高于高竞争组基金的持股组合权重。另外,我们发现在最低SIM4组中的低竞争组(C1)基金积极利用应计异象策略,获得比高竞争组(C3)高的收益,这表明存在基金利用应计异象策略获利。最后,我们的研究发现,低会计应计组(D1)和运用应计异象策略的低竞争组(C1)的基金具有资产规模小,收益波动性高的特征。这可能是基金没有普遍运用应计策略的原因之一。本文的研究将基金投资和会计应计异象结合在一起,拓展了会计应计的研究范围,丰富了资本市场效率和资本市场定价的研究。同时,通过检验基金对应计异象的运用性及基金竞争对基金业绩的影响,也为基金管理者的决策提供了理论支持和参考,因此本文的研究结论对今后的理论研究和实践活动都具有一定的指导意义。
[Abstract]:We should find meter vision for the efficient market hypothesis questions and challenges further. Previous research has confirmed that the accrual anomaly is a common phenomenon, the accrual anomaly also exists in China's capital market. The accounting accrual from the essence, it is the result of using the accrual basis the accounting information is the judgment of investors. The stock price, an important source of information to make investment decisions, so the quality of accounting information has an important impact on the decision-making of investors. Accounting as a key indicator to measure the quality of accounting earnings, is also an important indicator to measure the quality of accounting information and accounting information market efficiency. The deviation of accounting information investors understand the market efficiency that leads to the wrong pricing of accounting accrual accruals; buy low and sell high stock accrual stocks are common accrued with arbitrage strategies. The use of quantitative investment technology, investment tools continue to enrich, enrich and perfect the investment strategy of the fund. The investment market anomalies strategy has become an important investment fund based on the standard, developed in the foreign capital market, funds and other institutional investors generally use the market vision trading strategy. Increasing the scale of China's fund market. By gradually increasing investment and quantitative investment technology, accrual anomaly trading provides good research material for us to study the use of the funds. In addition, the use of fund market anomalies similar strategy, investment decision depends more on the establishment of the model and the data processing and analysis; investors often in very similar position. Therefore using a similar strategy, tend to produce concentrated trading and extreme competition; this strategy leads to the concentrated trade and competition is bound to the performance of the fund Impact. In the review, we haven't seen on the fund using the accrual anomaly structure of investment strategy, and to investigate the fund competition impact on fund performance. In 2004 the fund market of China -2013 stock fund quarterly data, partial stock funds and balanced growth fund and stock portfolio as a sample, for the first time China's stock fund use accrual anomaly strategy and influence by strategies lead to competition on fund performance by empirical research. The data source is Wind financial terminal information database and CCER database. The main findings of this paper are three. First of all, the funds from the sample as a whole, should be a kind of investment strategy using vision strategy is not the domestic stock funds and actively managed funds; only part of the fund by the accrual anomaly and transactions; The accrual anomaly strategy has no significant profitability. From our results can be seen, and no significant difference in weight holding accrued in each group fund accounting; low accruals group (D1) the fund did not get high yields significantly more than INACTIVE group fund. Secondly, we also found that the strategy the fund competition influences the performance of the fund. In the active use of the accrual anomaly Trading Strategy Fund, fund performance and competitive strategy has negatively correlated. In SIM4 group all in low group competition (C1) fund portfolio weights significantly higher than the combined weight competition group shareholding fund. In addition, we found that the low group competition at the lowest in the SIM4 group (C1) fund to actively use the accrual anomaly strategy, obtain high competition group (C3) high returns, which indicates the existence of fund use accrual anomaly strategy profit. Finally, we study Found that the low accruals group (D1) and using the low competition group vision strategy (C1) with the fund asset size is small, the characteristics of high return volatility. This fund may not generally use one of the reasons for the accrual strategy. This study will fund investment and accounting accrual anomaly combination together, expand the scope of accounting accruals, enrich the research on the efficiency of capital market and capital market pricing. At the same time, through the examination of the fund accrual anomaly and use fund competition on fund performance, but also provide theoretical support and reference for the fund managers' decision-making, therefore the conclusions of this study are some guiding significance for theory research and practice in the future.

【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F830.42

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