中国开放式股票型基金投资风格漂移研究

发布时间：2018-04-14 04:34

本文选题：开放式基金 + 投资风格　；参考：《东华大学》2014年硕士论文

【摘要】：20世纪80年代后,世界证券投资基金业得到了快速发展,开放式基金更是步入了飞速发展时代。资本市场的成熟发展也推动了基金业的繁荣,随着基金产品的持续大量发行,特别是开放式股票型基金规模的上升,为全球基金业创新发展打开了空间。截至2012年底,我国己成立80家基金公司,至2013年7月10日,我国开放式基金中股票型基金542只,混合型基金257只,债券型586只,LOF95只,ETF74只,QDII89只。开放式股票型基金已经成为我国资本市场上重要的机构投资者,也是促进资本市场健康发展的重要工具。目前,国际上对基金投资风格的研究主要使用两种方法,基于组合的研究方法和基于收益的研究方法。前者需要获得持有的全部股票的情况,因此存在数据的适时性和收集成本大等问题。后者由于应用方便,是研究投资风格时应用最广泛的方法。本文通过对基金投资风格的识别及风格漂移风险测度两方面对我国开放式股票型基金进行了深入的研究,通过比较分析,筛选风格识别分析模型,并建立计量经济模型对基金风格漂移进行了实证研究,分析各基金在研究期间的实际投资风格情况及风格变化情况,将所得结果与各基金事先声称的投资风格相比较并分析其原因,并进一步探索风格漂移风险及其对基金绩效的影响,针对研究中所发现的问题提出建议。本文共分6章：第1章绪论部分,阐述了本文的研究背景及意义、基金投资风格漂移的国内外文献综述,以及论文的结构框架和研究方法。第2章基金投资风格研究的相关理论。本章先给出了基金投资风格的定义,解释了什么是风格漂移、漂移风险,并对投资风格进行了分类。再者本章阐述并分析了投资风格形成及风格漂移形成的理论基础。第3章是对我国基金投资风格发展状况的研究。首先介绍了我国基金业的发展历史并对开放式基金的发展状况进行分析,其次对于中美两国的基金风格的发展过程进行了比较。第4章是基金投资风格的分析方法及筛选。详细介绍了两种事后风格分析方法——基于组合的风格分析法(PBSA)和基于收益率的风格分析法(RBSA),并对两种方法进行了比较,并提出了风格识别方法的模型,对不同模型进行了分析,筛选出本文采用的识别模型。第5章是本文的重点。它是在第4章所选取的模型基础上对基金风格漂移进行实证分析,发现部分基金的实际风格与名义风格确实存在出入,发生了风格漂移现象。通过分析实证结论,推断风格漂移现象产生的可能原因,并且进一步测度了风格漂移的风险,分析其对基金绩效的影响。第6章是本文的结论,并根据结论提出政策建议。本文可能的创新之处有三点：第一是研究的视角方面,由于开放式投资基金进入我国较晚,加之市场投资者投资理念的不成熟,国内对基金投资风格鲜有关注,涉及此方面的专业研究则更少；第二为了克服解释变量自身的多重共线性问题,在研究方法上,使用横向差分处理法,尽量消除多重共线性带来的影响；第三研究的内容方面,在分析名义投资风格与实际投资风格不同的基础上,度量了基金风格漂移现象的风险,进一步分析基金风格漂移对其绩效的影响。
[Abstract]:After 1980s, the securities investment fund industry has been the rapid development of the open-end fund is also entered the era of rapid development. The mature development of capital market also contributed to the prosperity of the fund industry, with the continuous issuance of a large amount of fund products, especially the rise of open-end fund scale, open up space for the global fund industry the innovation and development. By the end of 2012, China has established 80 fund companies, to July 10, 2013, the stock fund open-end fund in 542, 257 hybrid funds, 586 bond, LOF95, ETF74, QDII89. Open stock fund has become an important capital market of our country institutional investors, it is also an important tool to promote the healthy development of the capital market.
At present, the research on investment style mainly use two kinds of methods, based on the combination of research methods and research methods based on income. The former need to obtain all the shares held by the situation, so there is the problem of data collection and timely cost. The latter method is convenient due to the application, Research on investment style of the most widely. In this paper, through two aspects of the fund's investment style and style drift risk identification measurement conducted in-depth research on the open-end funds in China, through the comparative analysis, screening style identification analysis model, and the establishment of econometric model for empirical research on fund style drift, analysis of the fund's actual investment style and during the study of the style changes, the results with the fund's investment style compared to prior claim and analysis of its causes, and further exploration of the wind Lattice drift risk and its impact on the performance of the fund, according to the research which found that the problems are proposed.
This paper is divided into 6 chapters: the first chapter is introduction, expounds the background and significance of this research, literature review of fund investment style drift, and the structure of the framework and research methods. The second chapter related theory research on investment style of fund. This chapter first gives the definition of investment style, explains what is style drift, drift risk, and classifies the investment style. Moreover this chapter describes and analyzes the investment style formation and theoretical basis of the formation of style drift. The third chapter is the research on the development situation of China's investment style. First it introduces the development history of China's fund industry and analyzed the development situation of open the second type fund, the development process for the Sino US fund style were compared. The fourth chapter is the analysis and selection of fund investment style. We introduced two kinds of post style analysis method Analysis of portfolio based style analysis method (PBSA) and the rate of return based style (RBSA), and the two methods were compared, and put forward the style recognition model of different models are analyzed, screening out the recognition model used in this paper. The fifth chapter is the focus of this paper. It is in the fourth chapter, the basis of the selected model of fund style drift empirical analysis, found that the actual name of the part of the fund's style and style really out there, the style drift phenomenon. Through the empirical analysis conclusion, may cause the inference of style drift phenomenon, and further to measure the risk of style drift, analyzes its influence to the fund performance. The sixth chapter is the conclusion, and puts forward some policy suggestions according to the conclusion.
The possible innovation of this paper has three points: first, from the perspective of research, due to the open investment fund into relatively late in China, and the market investors is not mature, the fund investment style little attention, professional research in this area is less; second self explanatory variables in order to overcome the multicollinearity problem in research methods, the use of transverse differential processing method to eliminate the influence of multicollinearity brought third aspects; the contents of the study, based on the analysis of nominal investment style and the actual investment style of different risk measure, the fund style drift phenomenon, further analysis of the impact of fund style drift on its performance.

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

【参考文献】