基金定投有效性研究

发布时间：2018-01-18 15:45

本文关键词：基金定投有效性研究　出处：《天津商业大学》2014年硕士论文　论文类型：学位论文

【摘要】：基金定期定额投资（简称基金定投）是基金申购业务的一种方式，是指在相等的时间间隔内将数额相同的资金用于特定的基金投资或投资组合。自2005年起，基金定投作为一个新型的理财方式进入中国资本市场，并获得快速发展。然而基金定投却在学术领域处境尴尬，主流学术观点George M. Constantinides(1979)忽视甚至反对进行“基金定投”，认为定期定额投资是一种消极的投资决策，忽略分析那些可能对决策产生重要影响的信息，比如股票价格变化，这种类似于赌博的心理是荒谬的，而一次总额投资法通过分析新的信息，可以有效地进行选股择时决策，其投资收益优于定期定额投资法。因此在这个领域，证券实务界与学术界形成巨大反差。本文将通过理论分析和实证研究相结合的方法，研究论证基金定投的有效性。本文首先从理论分析入手，分析研究基金定投盛行的三大理论基础：现金流匹配原理、委托代理理论以及用半方差衡量风险，基金定投方式呈现更好的风险与收益的关系。然后通过实证研究，以2004年至2012年中国所有封闭式基金的交易数据作为样本，按照样本数据的行情分别对上涨行情、下跌行情和震荡下跌行情进行描述性统计和回归分析，对比基金定投策略和一次总额投资策略的风险与收益的大小，证实研究假设，基金定投与一次总额投资基金二者的收益之差与基金价格波动的（负）半方差系数呈正相关关系，并且以（负）半方差衡量风险，在证券市场下跌或震荡下跌的行情中，基金定投方式下的收益比一次总额投资基金能获取更高的收益，这说明基金定投是有效的，基金定投能降低风险并利用风险，平摊成本，避开择时困难，同时这也充分解释了基金定投业务在证券实务界广受投资者青睐的原因。本文在得出实证研究结论之后，结合证券实务界的实际情况，给出基金高效定投的策略，表明基金定投并不是适用于任何人的，高效的基金定投更需要投资者根据行情及自身需求，，对定投品种、定投金额和定投频率进行适时调整，定期检查投资组合配置的有效性，灵活地进行定投策略的调整，这样才能更为有效的获得长期投资收益。本文的研究意义在于，一方面，国外学术界对于定期定额投资法与一次总额投资法二者之间收益的孰优孰劣一直争议不断，国内关于这方面的研究屈指可数，并且绝大部分是证券实务界理财人员给出的投资建议。另一方面，在证券市场中，定期定额投资法应用最多的体现在基金的申购方式上，即基金定投，基金定投在实务界盛行已久的缘由，基金定投是否真正有效在学术上没有给出充分地论证。因此。本文通过中国基金市场的交易数据直接比较定期定额投资法与一次总额投资法二者之间风险和收益的关系，并通过对基金的模拟申购，揭示基金定投方式相较于一次总额投资方式，可以起到平摊成本，提高投资收益率的作用。本论文对基金采用定投方式的有效性进行了充分的阐述，弥补了国内关于基金定投有效性学术上的鉴证的空白。
[Abstract]:Fixed investment fund (the fund investment) is a way to fund purchase business, refers to the equal time interval of the same amount of funds for a specific fund or portfolio investment. Since 2005, the fund will be used as a new way of managing money China into the capital market, and achieve a rapid development. However but the fund will be in an awkward position in the academic field, the mainstream academic point of view (1979) George M. Constantinides ignored even against "fund investment", that fixed investment is a negative investment decision analysis, ignoring the information that might have an important influence on the decision, such as the stock price changes, this is similar to the gambling mentality is absurd the analysis of the new information through a total investment law, can effectively carry out the timing decision, the return on investment is better than the fixed investment law so. In the field of security practice in academic circles and the formation of a huge contrast. This paper combines through theoretical analysis and empirical study, the effectiveness of fund investment.
This paper first from the theoretical analysis, the analysis of the three theoretical basis of the fund will be popular: cash flow matching principle, principal-agent theory and risk measure with semi variance, the relationship between fund investment risk and return way better. Then through the empirical study on transaction data from 2004 to 2012 Chinese all closed-end funds as a sample according to the sample data, the market of rising prices, the market fell and the market tumbled for descriptive statistics and regression analysis, comparison of fund investment strategy and a total investment strategy risk and benefit of the size, confirmed the hypothesis, poor income fund investment with a total of two investment funds and fund price fluctuation the (negative) semi variance coefficient was positively correlated with (negative) and semi variance risk measure, or fall in the stock market tumbled in the market, fund Fixed investment income under a total investment fund than can obtain higher returns, the fund investment is effective, can reduce the risk of fund investment and the use of risk, flat cost, difficult to avoid timing, at the same time it also fully explains the fund investment business in securities practitioners widely favored by investors.
In this paper, the empirical research conclusion, combined with the actual situation of the securities practitioners, fund investment strategies are efficient, that fund investment is not applicable to any person, the fund will be more efficient to investors according to the market and their own needs, for investment varieties, investment amount and frequency will be adjusted, the effectiveness of regular inspection portfolio allocation, flexible adjustment of investment strategy, so that we can more effectively obtain long-term investment returns.
The significance of this paper is, on the one hand, the overseas academic gains in fixed investment and a total investment of two of the merits has been controversial, the domestic research on this aspect is very few, and most of them are securities practitioners of financial investment advice is given. On the other hand, in securities in the market, fixed investment method is the most widely used in fund purchase mode, namely the fund investment, the fund will be the reason in practice has been around for a long time, the fund investment is really effective in the academic did not give sufficient proof. Therefore. The relationship between the transaction data Chinese fund market direct comparison between fixed a total investment law and investment law two risks and benefits, and through the simulation of purchase fund, reveal a way to fund investment compared to the total amount of investment, can To split the cost, increase the investment return rate. In this paper, the effectiveness of the fund investment style was fully elaborated, make up the domestic blank on fund investment effectiveness of academic attestation.

【学位授予单位】：天津商业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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