开放式基金赎回行为影响因素研究

发布时间：2018-04-22 08:20

本文选题：开放式基金 + 股票型基金　；参考：《西南财经大学》2014年硕士论文

【摘要】：自1990年-1991年上海、深圳证券交易所相继成立以来,我国资本市场进入了二十多年的高速发展期。我国首家相对规范的基金——淄博乡镇企业投资基金1992年正式成立,随后于1993年8月在上海证券交易所挂牌上市。此后,我国封闭式基金经历了二十余年的发展历程。由于封闭式基金不能自由申购赎回、只能在二级市场进行交易,同时流动性和信息透明度较低的局限性,其在基金市场的主体地位逐渐被开放式基金所替代。2001年9月,中国第一支开放式基金“华安创新基金”发行设立,成为中国基金业新阶段开始的标准,随后的十多年期间,开放式基金的发展进入上升通道。由于开放式基金不仅具有一般基金专业化投资、集合理财的特点,并且还拥有封闭式基金所不具有的可自由申购赎回的优势；伴随着股市的回升,开放式基金的规模在近些年有爆发式的增长。随着开放式基金规模和数量的迅速增加,其在基金市场占比远超封闭式基金,成为我国基金市场的发展主流：2013年新发基金378支,创历史新高；截止2013年12月31日,我国共有基金数量1552支,资产净值合计30024.24亿元。开放式基金数量1476支,资产净值合计28756.28亿元,占证券投资基金总资产净值95.78%。不同于封闭式基金,开放式基金最大的特点是基金份额不固定,投资者可以随时根据自身资产配置及市场状况决定相关基金份额的申购与赎回。在国外对开放式基金市场的长期研究中,研究者认为正是由于开放式基金的这种自由申赎的运营型机制,理性投资者会首先根据开放式基金的表现来选择申购基金,业绩优异的基金往往受到投资者青睐。基金公司在管理费不断增加的同时,有更多的资金用以增加人才培养和提高管理水平,从而获取更大的竞争优势,以此形成基金市场的“优胜劣汰”的良性循环。然而,与国外研究者的结论相反,我国学者通过对基金赎回现象的研究,发现我国存在基金业绩越好、投资者赎回越多的“赎回异象”。“赎回异象”导致了基金市场的“反向选择”：努力研究市场以提高业绩的基金公司遭到赎回,表现平庸业绩不佳的基金公司却受到追捧；该现象给基金管理者造成反向激励,显然不利于基金市场健康稳定地发展。因此,对开放式基金赎回行为影响因素的研究,可以进一步确认“赎回异象”是否存在,并通过对这些因素对赎回行为的影响机理的研究分析国内外研究差异的原因,具有理论意义。事实上,自我国第一只开放式基金发行设立以来,我国开放式基金市场就伴随着巨大的赎回压力,为了应对这样的状况,各基金公司一方面采取各种对策,包括通过高额分红、扩大营销渠道、增加融资等措施以减少赎回压力；另一方面,基金公司只能依靠不断地新发基金,来维持其管理的基金总规模。尽管近年来新发基金数量逐年大幅度增加,但依然避免不了大额赎回的窘境。与此同时,基金赎回还呈现出连续性赎回和巨额赎回的特点。这样的巨额赎回在影响基金管理者投资策略延续性的同时,导致基金收益的减少,不仅影响赎回者自身的收益,对未赎回投资者的利益也产生不利,严重时甚至对证券市场的稳定造成巨大冲击。研究开放式基金赎回行为的影响因素能为开放式基金的投资者、管理者及证券市场监管者提供相应的政策建议和依据,以保障基金市场健康稳定发展,具有重要实践意义。本文在参考国内外关于基金赎回相关文献的基础上,结合我国开放式基金巨额赎回、非理性行为频发的现状及国家关于赎回相关的政策规定,总结出可能影响我国开放式基金赎回行为的主要影响因素。通过对国内外理论的研究,从内在原理上对这些因素与投资者赎回行为的关系进行分析并进行相关实证假设。最后针对“面板数据(panel date)"建立了多元回归模型,对各个可能的因素对投资者赎回率的影响程度进行了实证分析。最后,针对实证分析结论,分别基于证券市场管理者、基金管理者、基金投资者的角度提出相应的政策建议和发展思路,以促进基金市场健康发展。本文结构安排如下：第一部分为导论,首先对我国开放式基金发展历程进行了简单的回顾,介绍了近年来我国开放式基金迅速发展的现状,随后对我国当前开放式基金赎回特点及问题进行了描述,以此引出开放式基金赎回行为影响因素研究的必要性和实用性。之后对本文的研究方法及思路等进行了简要的介绍。第二部分为文献综述,分别从国外和国内两个方面对开放式基金赎回行文相关问题进行了归纳与总结。由于国外开放式基金发展历史较长、理论较为丰富,但多数文献仅就个别因素的影响机理进行分析,例如基金业绩、市场收益、赎回费率、基金规模、成立时间、投资者结构等。因此,对于国外的文献,本文分别从资本市场表现、基金自身特点两个方面进行分类。国内由于开放式基金发展时间相对较短,对赎回行为的研究主要集中在基金的业绩与基金资金流量之间关系方面,并且不同学者之间的分歧也较大。因而,本文对国内文献是根据理论发表时间及理论相关性进行整理。最后,对国内外的研究及文献进行简单的评述。第三部分主要介绍了我国开放式基金赎回情况。首先对我国开放式基金的概念及特点进行分析,并对开放式基金的发展历史进行概述,解释其近些年发展迅速的原因；然后,使用我国开放式基金几年来赎回数据,对开放式基金赎回呈现连续性及巨额赎回特点的现状进行佐证；最后,列举了我国关于基金赎回的相关政策法规,并对其进行简要评价。第四部分为开放式基金赎回行为影响因素的分析,通过总结国内外研究成果,以及国内基金赎回状况及相关政策规定,分别从宏观因素、基金特点、投资者结构三个方面总结出对赎回行为进行了总结及归纳。同时结合国内外研究,分析了这些因素对投资者赎回行为的影响机制第五部分,是本文对开放式基金赎回行为影响因素研究的实证部分。首先,通过分析以上总结的各个因素对赎回行为的影响机制,进行实证假设；然后,针对所研究的面板数据,借鉴国内研究,建立相应的数据模型进行回归。通过对回归结果的解读,分别从对股票型基金、债券型基金、混合型基金三个方面对结论进行了描述和总结。第六部分为本文的结论及政策建议。本文的出的结论是：开放式基金的赎回行为在一定程度上存在反向选择的“赎回异象”,股票型基金与混合式基金的基金赎回率同基金业绩成正比,而债券型基金则成反比；股票型与混合型基金赎回率同基金分红力度成反比,但债券型基金则没有显著相关性；三种类型基金的赎回率同滞后一期的基金规模成正比,且与基金滞后一期成立时间成显著正相关；基金的持股集中度对股票型基金、混合型基金的赎回率成正相关；债券型基金赎回率同利率显著正相关。同时,根据实证结论,分别基于证券市场监管者、基金管理者、基金投资者三个层次提出了相关政策建议,以促进基金投资市场的健康稳定的发展。本文的主要贡献在于：(1)对证券投资基金进行了区分。以投资类型将其分为股票型基金、债券型基金及混合型基金,研究不同的因素对不同类型的基金之间的联系；研究发现,证券市场走势、基金业绩、分红力度与基金赎回率的相关程度及他们对赎回行为的影响方式,是与基金投资类型的不同紧密联系的。因而,对所研究的基金按投资对象的类型进行分类是有必要的。(2)对分红指标进行了优化。不同于以往以分红的绝对量或是分红频率来衡量基金的分红力度,本文采用本期分红额与基金滞后一期季末单位净值的比例作为分红力度的衡量指标。由实证结果所知,以该分红指标衡量的分红力度与股票型基金和混合型基金的净赎回率之间,存在显著的负相关性,其结论与国内外主流研究相一致,证明该指标有一定的说服力。(3)相关数据完整、跨度时间长,且覆盖了两个较为完整的证券市场上升、下降的周期。同时分别对股票型基金、债券型基金用持股集中度、市场利率进行回归,具有针对性,且其中利率对债券的赎回率成显著正相关。另外,由于本人理论研究有限,考虑欠周全,本文也存在很多不足：一方面,我国开放式基金发展时间短,信息披露不够全面及时,有些数据取得比较困难且时效性不足。另一方面,受知识水平限制,对少数进行拆分的基金相关影响因素无法用比较合理的指标来衡量,因而将其剔除；同时,计量模型也相对粗糙。希望这些问题能在今后的研究中得到不断的完善。
[Abstract]:Since the establishment of the Shanghai stock exchange in Shanghai in 1990 and the establishment of the Shenzhen stock exchange in succession, China's capital market has entered a period of more than 20 years of rapid development. The first relatively standardized fund in China, the Zibo township enterprise investment fund, was formally established in 1992 and then listed on the Shanghai stock exchange in August 1993. It has gone through more than twenty years of development. Because the closed-end fund can't buy redemption freely, it can only trade in the two level market, while the liquidity and information transparency are low, its main position in the fund market is gradually replaced by the open fund in September, China's first open fund "Huaan innovation fund". In the following more than 10 years, the development of the open-end fund has entered the rising channel. The open-end fund not only has the specialized investment of the general fund, but also has the characteristics of the fund management, and also has the advantages that the closed-end funds do not have in the free purchase and redemption. With the recovery of the stock market, the scale of the open-end fund has increased in recent years. With the rapid increase in the scale and quantity of the open-end fund, it has become the mainstream of the fund market in the fund market, which is far beyond the closed-end fund in the fund market. In 2013, the new fund has set a new high of history; by the end of December 31, 2013, China has a total of 378 The total number of funds is 1552, the net worth of assets is 3 trillion and 2 billion 424 million yuan. The number of open funds is 1476, the net worth of assets is 2 trillion and 875 billion 628 million yuan, accounting for the net value of the total assets of the securities investment fund 95.78%.
Unlike closed-end funds, the largest feature of the open fund is that the fund's share is not fixed. Investors can decide to buy and redeem the share of the fund at any time according to their own asset allocation and market conditions. In the long term study of the open fund market, the researchers recognize that it is the free redemption of the open-end fund. The rational investors will first choose the purchase fund according to the performance of the open-end fund. The funds with excellent performance are often favored by the investors. At the same time, the fund company has more funds to increase the talent training and improve the management level, so as to gain a greater competitive advantage, so as to gain a greater competitive advantage. However, contrary to the conclusion of foreign researchers, Chinese scholars have found that the better the performance of the fund is and the more redemption of the redemption of the investors. The redemption phenomenon leads to the "reverse choice" of the fund market. The fund companies, which have been redeemed by the market to improve their performance, have been sought after by the fund companies that show poor performance; this phenomenon gives the fund managers a reverse incentive, which is obviously not conducive to the healthy and stable development of the fund market. Therefore, the research on the influence factors of the redemption of the open-end fund can further confirm the "redemption difference" It is of theoretical significance to analyze the mechanism of these factors on redemption behavior and to analyze the reasons for the differences between China and abroad.
In fact, since the opening of the first open-end fund in China, the open end fund market in China has been accompanied by huge redemption pressure. In order to cope with this situation, various fund companies have taken various countermeasures, including through high dividends, expanding marketing channels, increasing financing and other measures to reduce the redemption pressure; on the other hand, the basis for reducing redemption pressure. The company can only rely on continuous new funds to maintain its managing fund. Although the number of new funds has increased substantially in recent years, it still can not avoid a large redemption dilemma. At the same time, the redemption of the fund has also shown the characteristics of a continuous redemption and huge redemption. The continuity of the investment strategy leads to the decrease of fund income, which not only affects the returns of the Redeemer, but also has a bad impact on the interests of the unredeemed investors, and even to the stability of the securities market. The factors that affect the redemption of the open fund can be the investors, managers and the managers of the open-end fund. It is of great practical significance for securities market regulators to provide corresponding policy recommendations and basis to ensure the healthy and stable development of the fund market.
On the basis of references to the redemption of funds at home and abroad, combined with the large amount of redemption of our open-end fund, the current situation of the frequent irrational behavior and the national redemption related policies, this paper summarizes the main influencing factors that may affect the redemption of the open-end fund in China. In principle, the relationship between these factors and the redemption behavior of investors is analyzed and the empirical hypothesis is carried out. Finally, a multiple regression model is established for "panel data (panel date)", and the impact degree of various possible factors on the redemption rate of investors is empirically analyzed. Finally, the empirical analysis is based on the securities, which are based on securities. From the perspective of market managers, fund managers and fund investors, the corresponding policy recommendations and development ideas are put forward to promote the healthy development of the fund market.
The structure of this article is as follows:
The first part is an introduction, first of all, a brief review of the development process of China's open fund is made, and the current situation of the rapid development of our open-end fund in recent years is introduced. Then the characteristics and problems of the redemption of the open-end fund in China are described in order to lead to the necessity and reality of the research on the influencing factors of the open base gold redemption. This paper briefly introduces the research methods and ideas of this paper.
The second part is the literature review, which are summarized and summarized from two aspects of the open fund redemption from foreign and domestic aspects. Because of the long history of the development of open funds abroad, the theory is more abundant, but most of the literature only analyzes the influence mechanism of individual factors, such as fund performance, market income and redemption fee. Rate, fund scale, time of establishment, investor structure and so on. Therefore, for the literature of foreign countries, this paper classifies the two aspects of the capital market performance and the characteristics of the fund, respectively. Because the development time of the open-end fund is relatively short in China, the relationship between the performance of the fund and the fund flow of the fund is mainly in the study of the redemption behavior. And the differences between different scholars are also larger. Therefore, this paper collate the domestic literature according to the theoretical publication time and theoretical relevance. Finally, a brief review of the research and literature at home and abroad is made.
The third part mainly introduces the redemption of the open-end fund in China. First, it analyzes the concept and characteristics of the open-end fund in China, summarizes the development history of the open-end fund and explains the reasons for its rapid development in recent years. Then, it uses our open fund to redeem the data for several years and presents the redemption of the open fund. Finally, the relevant policies and regulations about fund redemption are listed and evaluated briefly.
The fourth part is the analysis of the factors affecting the redemption of the open-end fund. By summarizing the research results at home and abroad, as well as the state of the domestic fund redemption and the relevant policies, this paper summarizes and summarizes the redemption behavior from three aspects of macro factors, fund characteristics and investor structure. The influence mechanism of these factors on investors' redemption behavior
The fifth part is the empirical part of the study on the influence factors of the open-end fund redemption. First, the empirical hypothesis is carried out by analyzing the influence mechanism of the above factors on the redemption behavior. Then, in view of the panel data studied, the corresponding data model is established for reference by the domestic research. Interpretation of the fruit, respectively, from the stock fund, bond funds, mixed funds three aspects of the conclusions are described and summarized.
The sixth part is the conclusion and policy recommendations of this paper. The conclusion of this paper is that the redemption behavior of the open-end fund has a "redemption anomaly" to a certain extent. The redemption rate of the fund and the mixed fund is proportional to the fund performance, and the bond fund is inversely proportional; the stock type and the mixed fund are the same. The redemption rate is inversely proportional to the fund bonus, but the bond fund has no significant correlation; the redemption rate of the three types of funds is directly proportional to the lag phase of the fund scale, and has a significant positive correlation with the time lag of the fund; the ownership concentration of the fund is positively related to the redemption rate of the stock base gold and the mixed fund. The redemption rate of the bond fund is positively correlated with the interest rate. At the same time, according to the empirical conclusion, the relevant policy suggestions are put forward on the basis of three levels of securities market regulators, fund managers and fund investors, in order to promote the healthy and stable development of the fund investment market.
The main contributions of this paper are as follows: (1) a distinction between securities investment funds and investment types is divided into stock fund, bond fund and mixed fund to study the relationship between different types of funds. Research finds, securities market trend, fund performance, dividend intensity and fund redemption rate The degree and their influence on redemption is closely related to the type of fund investment. Therefore, it is necessary to classify the types of the investment subject to be classified. (2) the index of the dividend is optimized. The proportion of the dividend amount and the net value of the end of season unit at the end of the fund is used as a measure of the strength of the dividend. The results are known to have a significant negative correlation between the dividend intensity and the net redemption rate of the stock fund and the mixed fund. The index has a certain persuasiveness. (3) the relevant data is complete, the span is long, and it covers the cycle of two more complete securities markets rising and falling. At the same time, the stock fund, the bond fund's ownership concentration and the market interest rate are returned, which are pertinent, and the interest rate has a significant positive correlation to the redemption rate of the bond. In addition, because of my limited theoretical research and thoughtful consideration, there are also many shortcomings in this paper. On the one hand, the development time of the open-end fund in China is short, information disclosure is not comprehensive and timely, some data are difficult and lack of timeliness. On the other hand, limited by the knowledge level, the factors related to the separation of a small number of funds are not related. The method is measured by more reasonable index, so it is eliminated; meanwhile, the measurement model is relatively rough. I hope these problems can be continuously improved in the future research.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】