我国社会责任投资基金绩效和风险的实证研究

发布时间：2018-01-14 01:17

本文关键词：我国社会责任投资基金绩效和风险的实证研究　出处：《广西大学》2014年硕士论文　论文类型：学位论文

【摘要】：社会责任投资基金(Socially Responsible Investment Fund),是基于社会责任理念的一种新型的投资产品,它是一类较为特殊的证券投资基金,与传统基金相比,社会责任基金投资者在进行投资决策时,不仅考虑传统的财务绩效,同时也要考虑该投资将给社会、环境等方面带来的积极或消极的影响。欧美等西方国家的社会责任基金起源于上世纪60年代的美国,时值美国越战时期,国内反战情绪高涨,在金融市场上表现为拒绝给与越战相关的企业投资,之后投资者开始关注投资对象中的社会责任、道德和环境方面的问题,良好履行社会责任的企业,会得到更多的投资者的支持。社会责任基金已成为欧美等西方发达国家等主流投资的一个重要部分。社会责任基金通过筛选策略、股东主张及社区投资等投资方式,对符合社会责任投资标准的投资对象进行投资。作为一种全新的投资方式,社会责任基金在追求投资者经济收益最大化的同时,还兼顾社会和环境的收益,从而促使经济、社会、环境三者之间形成互补、并存的关系。而国内,虽然经济在过去的几十年中获得了举世瞩目的高速增长,但是经济的粗放式发展在一定程度上造成了资源浪费,能源消耗严重,脆弱的自然资源和生态环境已经威胁到经济的可持续发展。因此,在金融市场上引入可以获得三重收益的社会责任基金,对于调整投资的结构,重构市场主体的目标有着重要作用。目前,社会责任投资基金在国内还处于起步阶段,投资规模不大,基金数量也不多。国内学者们对这种投资多数停留在对社会责任基金的介绍上,对该类基金的绩效和风险缺乏实证上的研究。本文从分析基金进行社会责任投资的理论基础入手,梳理了国内外学者们对社会责任基金绩效和风险研究文献,总结了国内外社会责任基金的发展情况和目前国内社会责任基金发展存在的问题。本文主要从实证上研究国内社会责任基金的绩效和风险。从国内目前的社会责任基金中选取了6只股票型基金,然后选择6只设立时间相近、投资规模相似的传统基金,在基金绩效评价理论和基金风险测量理论的基础上,通过三因素模型,计算每只基金的夏普指数,特雷诺指数,詹森指数及风险等。根据实证结果,可以认为社会责任基金与传统基金的绩效和风险并不优于传统基金,但是这种差异并不明显。最后,在实证结果的基础上,对国内发展社会责任基金的提出政策建议。
[Abstract]:The socially responsible Responsible Investment fund is a new type of investment product based on the concept of social responsibility. It is a special kind of securities investment funds. Compared with traditional funds, social responsibility fund investors not only consider the traditional financial performance, but also consider that the investment will be given to the society. Europe and the United States and other Western countries' social responsibility funds originated in the United States in -40s, when the United States during the Vietnam War, the domestic anti-war sentiment is high. In the financial market, investors began to pay attention to the social responsibility, moral and environmental problems in the investment object, and good performance of the corporate social responsibility. Social responsibility funds have become an important part of mainstream investment in western developed countries such as Europe and the United States. Shareholders advocate and community investment and other investment methods to meet the investment standards of social responsibility to invest in the object of investment. As a new way of investment. The social responsibility fund not only pursues the maximization of investors' economic benefits, but also takes into account the social and environmental benefits, thus promoting the complementary and coexisting relationship among economy, society and environment. Although the economy in the past several decades has achieved rapid growth, but the extensive development of the economy to a certain extent caused a waste of resources, energy consumption is serious. The fragile natural resources and ecological environment have threatened the sustainable development of the economy. Therefore, the introduction of the social responsibility fund, which can obtain triple income in the financial market, will adjust the structure of the investment. At present, the social responsibility investment fund is still in the initial stage in China, and the scale of investment is not large. The number of funds is also small. Most of the domestic scholars on this investment stay on the introduction of social responsibility funds. This paper starts with the theoretical basis of social responsibility investment, combing the domestic and foreign scholars on the social responsibility fund performance and risk research literature. This paper summarizes the development of the social responsibility fund at home and abroad and the problems existing in the development of the domestic social responsibility fund. This paper mainly studies the performance and risk of the domestic social responsibility fund from the empirical point of view. In Ren fund, 6 stock funds were selected. Then six traditional funds with similar time and similar investment scale are selected. Based on the performance evaluation theory and risk measurement theory, the Sharpe index of each fund is calculated through a three-factor model. Based on the empirical results, we can conclude that the performance and risk of social responsibility fund and traditional fund are not better than that of traditional fund, but the difference is not obvious. Finally. On the basis of the empirical results, this paper puts forward policy recommendations for the development of social responsibility funds in China.
【学位授予单位】：广西大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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