基金业绩排名对基金经理风险调整行为影响的定量研究

发布时间：2018-04-29 16:39

本文选题：基金业绩 + 风险调整　；参考：《上海师范大学》2017年硕士论文

【摘要】：我国基金业自从上世纪九十年代起步以来,经过二十余年的发展,无论是市场份额还是投资者数量都在不断壮大。越来越多的人愿意将资金投入到各类证券投资基金中。在选择具体的基金产品时,收益率是人们首先考虑的因素。对于基金经理来说收益率越高,对自己就越有利。但是资本市场变幻莫测,较高的收益率有时往往需要投资者承担更大的风险。由于基金经理与投资者是委托代理关系,二者之间存在着信息不对称问题,投资者对于代理人的投资决策并不能起到绝对的影响。在选择投资组合的风险大小时,基金经理考虑的因素不仅仅只有投资者利益,甚至可能会为了自身利益引发道德风险问题。基于上述可能性,国内外学者进行了一系列研究,但针对基金经理的风险调整问题并未达成一致意见。本文选取了2005-2015年的股票型开放式基金数据,将基金的相对业绩排名和基金经理的投资组合风险调整行为作为研究对象,运用列联表分析、回归分析进行实证检验,研究在我国的基金市场,是否存在基金经理为了弥补前期业绩而提高风险的投资行为,以及在基金的自身及外部影响下,如不同的市场状况、不同的基金规模以及不同成立时间的基金中,这种风险调整行为是否存在差异。最后结果表明:(1)从2005年-2015年整体情况来看,赢家、平家和输家的风险调整行为确实存在显著差异,表现为风险调整比率与上期业绩好坏呈正相关关系,也就是说前期业绩好的基金更倾向于高的风险调整比率。(2)在细分不同年度的基金表现时,我们发现基金的风险调整行为呈现出不同的年度特征。在2008年及2011-2015年不同业绩的基金的风险调整行为确实存在较为显著的差异,但是其他年份并没有较大的不同,特别是在较早的年份。但是随着时间推进,在2011年以后,差异逐渐突出。(3)根据各个年份表现出的特征,我们将2005到2015年按照牛市、熊市两种状态划分,结果发现在不同的市场状态下赢家、输家基金的行为各有不同。在牛市状态下,输家大部分会选择较高的风险调整率,熊市则相反。(4)在划分不同的成立时间时,管理资产规模大小及是否更换基金经理时,回归分析与分层列联表分析得出的实证结果不尽相同,一方面是因为列联表分析与回归分析本身就存在差异,另一方面也因为检验数据部分缺失,造成面板数据非平衡。但总体来看,列联表与回归分析得出的结论大部分是一致的。因此本文针对以上分析,提出了几个政策建议:从投资者角度来说,要加强投资者教育,提升应对风险的能力;从基金经理的角度来说,要不断培养提高其择时能力,促进行业优胜劣汰;最后,从监管的角度,要根据市场状况及过往业绩,对基金经理的投资行为进行有效管控。
[Abstract]:The fund industry in China has been developing for more than 20 years since it started in the 1990s. Both the market share and the number of investors are growing. More and more people are willing to put their money into all kinds of securities investment funds. In the selection of specific fund products, the rate of return is the first factor to be considered. For fund managers, the higher the rate of return, the better for themselves. But capital markets are volatile, with higher yields sometimes requiring investors to take greater risks. As the relationship between fund manager and investor is principal-agent, there is information asymmetry between them, so investors can not play an absolute influence on the investment decision of agent. When choosing the risk of investment portfolio, fund managers consider not only the interests of investors, but also the moral hazard for their own benefit. Based on the above possibility, scholars at home and abroad have carried out a series of studies, but there is no consensus on the risk adjustment of fund managers. This paper selects the data of equity open-end fund from 2005 to 2015, takes the relative performance ranking of the fund and the portfolio risk adjustment behavior of the fund manager as the research object, carries on the empirical test by using the column table analysis and the regression analysis. This paper studies whether there exists the investment behavior of fund managers to improve their risk in order to make up for early performance in the fund market in China, and under the influence of the fund itself and outside, such as different market conditions. Whether there are differences in the risk adjustment behavior among different fund size and time of establishment. The final result shows that from 2005 to 2015 as a whole, there are significant differences in risk adjustment behavior between winners, Ping Jia and losers, which shows that the risk adjustment ratio has a positive correlation with the performance of the previous period. That is to say, the funds with good performance tend to have higher risk adjustment ratio. (2) when the fund performance is subdivided in different years, we find that the risk adjustment behavior of the fund shows different annual characteristics. In 2008 and 2011-2015, the risk adjustment behavior of different performance funds did exist more significant differences, but there was no significant difference in other years, especially in the earlier years. But over time, after 2011, the difference became more pronounced.) according to the characteristics of each year, we divided 2005 to 2015 by bull market and bear market, and found winners in different market states. The losers' funds are behaving differently. In a bull market, most of the losers choose a higher risk adjustment rate, whereas the bear market, on the contrary, manages the size of the assets and whether to replace the fund manager at different founding times. The empirical results of regression analysis and stratified column table analysis are different, on the one hand, because of the difference between column table analysis and regression analysis, on the other hand, because of the lack of test data, panel data is unbalanced. Overall, however, the results of the list and regression analysis are mostly consistent. Therefore, in view of the above analysis, this paper puts forward several policy suggestions: from the perspective of investors, we should strengthen investor education to enhance the ability to cope with risks, and from the perspective of fund managers, we should constantly develop and improve their timing ability. Promote the survival of the fittest in the industry; finally, from a regulatory point of view, according to market conditions and past performance, the investment behavior of fund managers should be effectively controlled.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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