伴随共同基金买入压力的股价高估研究

发布时间：2018-04-28 04:57

本文选题：股票型开放基金 + 买入压力　；参考：《复旦大学》2014年硕士论文

【摘要】：近年来,随着国内金融市场的发展,共同基金迅速壮大,已成为机构投资者中最重要的组成部分。其中的股票型开放式基金无论是从数量还是从净资产额上,都占据了共同基金很大的部分。与有效市场理论不同,价格压力假说认为,短时间内的大宗交易会对股票价格产生显著影响。在这一理论背景下,本文利用中国市场上2005年到2013年股票型开放基金的持仓数据,研究承受共同基金最大买入压力的股票,是否会出现价格被高估现象,并在之后表现出不同的收益特征。本文首先将基金的买入压力分为“资金驱动型”与“信息驱动型”,并对资金驱动型股票与信息驱动型股票进行了比较,结果表明两种股票都存在股价被高估,但高估程度无明显差别。这表明国内基金在选择购买股票时,并未表现出明显的择股能力。将“基金买入压力股票”与“无基金买入压力股票”的收益率对比后发现,前者存在明显的收益率反转,后者则不存在。因此,这证实了承受基金大的买入压力的股票股价被高估。将股票三年的累计超额收益率与基金的买入压力进行回归,发现无论是用市场模型还是三因子模型,基金的买入压力都对累计收益率有显著的负影响,即承受的基金买入压力越大,之后三年累计收益率负值越大。最后,本文比较了基金买入压力股票与无基金买入压力股票的增发情况,检验结果表明前者的增发概率显著大于后者。如果公司进行股票增发是市场时机选择的结果,这从侧面证实了买入压力股票价格被高估。
[Abstract]:In recent years, with the development of domestic financial markets, mutual funds have grown rapidly and become the most important component of institutional investors. Equity-based open-end funds account for a large part of mutual funds, both in terms of quantity and net assets. In contrast to efficient market theory, the price pressure hypothesis suggests that a short period of large trading can have a significant impact on stock prices. Under this theoretical background, this paper makes use of the position data of stock open funds from 2005 to 2013 in China market to study whether the prices of stocks under the biggest buying pressure of mutual funds will be overvalued. And then show different income characteristics. In this paper, the buying pressure of fund is divided into "fund driven" and "information driven", and the comparison between capital-driven stock and information-driven stock shows that both stocks are overvalued. But there is no obvious difference in the degree of overestimation. This shows that domestic funds do not show a clear ability to choose stocks when they choose to buy them. By comparing the yield of "fund buy pressure-stocks" with "non-fund buy-pressure-stock", the former has obvious yield reversal, while the latter does not. As a result, this confirms the overvaluation of stocks under heavy buying pressure from the fund. The cumulative excess return of stock in three years is regressed with the buying pressure of the fund. It is found that the buying pressure of the fund has a significant negative effect on the cumulative return rate, whether it is based on the market model or the three-factor model. That is, the greater the pressure to buy the fund, the greater the cumulative negative return over the next three years. Finally, this paper compares the placement of fund buy pressure-stock with that of non-fund buy-pressure stock. The test results show that the probability of issuance of the former is significantly higher than that of the latter. If a company makes a stock placement as a result of market timing, it confirms that the buying pressure is overvalued.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【共引文献】