我国基金评级体系的可靠性研究

发布时间：2018-01-12 15:34

本文关键词：我国基金评级体系的可靠性研究　出处：《上海交通大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国规范的证券投资基金行业从1998年发展至今已走过了15个年头，随着基金数量与行业规模的增长以及投资需求的提高，，基金评级体系的建设引起了多方关注。在证监会2009年底颁布相关管理办法后，我国目前共有7家机构具备基金评级的资格。作为基金评价的重要方式之一，基金评级对相关各方都有着不同的意义，促进着整个行业的健康发展，国内外市场上的投资者都以实际行动表达了对于评级结果的认可与信任。然而基金营销过程中对评级的大量引用与国内学术界对其研究的相对空白形成了巨大的反差。因此本文在归纳介绍我国现行基金评级体系的基础上，收集了监管新规实施起2010至2012年间全部基金评级结果，以及相应基金的月度业绩回报数据，首次从不同时期、不同评级机构、不同基金类型等多角度全面系统地分析比较了基金业绩在高低星级组别之间的表现差异。结果显示，按照本文定义的“评级有效率”，以50%为分界线，只有济安金信针对货币型基金的评级具有预测能力。此外，虽然其他评级总体上显得并不可靠，但相对而言三年期评级比五年期的效果更好。最后，本文从评级方法的差异性、基金的不同类型特点等方面解释了上述结果的可能原因，并从公开披露信息的利用程度这一角度尝试探讨未来基金评级体系的完善方向，同时提示投资者正确理解和使用基金评级结果。
[Abstract]:China's standardized securities investment fund industry has gone through 15 years since 1998, with the increase of the number and industry size of funds and the increase of investment demand. The construction of the fund rating system has attracted much attention. After the Securities Regulatory Commission promulgated the relevant management measures in end of 2009, there are now seven institutions in our country that have the qualification of fund rating. As one of the important ways to evaluate the fund, the rating of the fund has different significance to the relevant parties and promotes the healthy development of the whole industry. Investors both at home and abroad have expressed their recognition and trust in rating results through practical actions. However, a large number of citations on ratings in the process of fund marketing and a relative lack of research on them in domestic academic circles have formed a great deal. Therefore, this paper summarizes and introduces the current fund rating system in China. Collected the results of all the fund ratings between 2010 and 2012, as well as the monthly performance return data of the corresponding funds, for the first time from different periods and different rating agencies. The difference of fund performance between high and low star groups is analyzed and compared from different fund types. The results show that according to the definition of "rating efficiency" in this paper, with 50% as the dividing line, only Ji'an Jin Xin's rating on the money fund has predictive ability. While other ratings are generally unreliable, three-year ratings are more effective than five-year ratings. Finally, this paper explains the possible reasons of the above results from the differences of rating methods and the characteristics of different types of funds. From the perspective of the degree of public disclosure of information, this paper attempts to explore the direction of perfecting the future fund rating system, and at the same time prompts investors to correctly understand and use the fund rating results.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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