我国股票型开放式基金特质风险对超额收益影响的实证研究

发布时间：2018-02-24 00:29

本文关键词： 股票型开放式基金特质风险超额收益 CAPM模型 Fama-French三因子模型　出处：《南京理工大学》2014年硕士论文　论文类型：学位论文

【摘要】：经典的资产定价理论对于风险和收益关系的一个观点是,投资者可以将不同资产组合起来,通过多元化投资来有效分散特质风险,因而只有承担系统风险才需要获得收益补偿,承担特质风险不应获得风险回报。而在现实生活中,由于股票市场并非完全有效,投资者会因为信息不完全、专业知识与经验不充分、资金量不足等原因,无法通过构建投资组合来完全分散特质风险。另外,越来越多的研究表明,股票市场存在“风险-收益悖论”,特质风险与预期收益存在着负相关关系,这与传统的资本资产定价理论相悖。目前中外文献对于特质风险的研究主要集中于股票市场,而对于基金收益的研究主要集中于基金绩效评估、绩效持续性及基金收益率影响因素等,但是对于基金特质风险与超额收益关系的实证研究并不多。因此,研究我国证券投资基金特质风险对超额收益有什么影响,是否与传统资本资产定价理论相一致,就显得极其迫切。本文选取了2003年1月1日至2012年12月31日中国股票型开放式基金的月数据,分别用CAPM模型和Fama-French三因子模型度量开放式基金的特质风险,利用投资组合分析法和Fama-Macbeth横截面回归分析法,实证研究了基金特质风险对超额收益的影响。研究发现我国股票型开放式基金的特质风险和超额收益显著负相关,在控制基金规模、基金费用、基金年龄等基金特征变量后,这种负相关关系仍然显著。此外,基金规模与超额收益正相关,基金费用与超额收益负相关,基金年龄与超额收益存在一定的正相关关系,但是相关性并不十分显著。
[Abstract]:One view of the classical asset pricing theory on the relationship between risk and return is that investors can combine different assets together and diversify their investments to effectively disperse the idiosyncratic risk. In real life, because the stock market is not completely effective, investors will be due to incomplete information, inadequate professional knowledge and experience, insufficient capital, and so on. In addition, more and more studies show that there is a "risk-return paradox" in the stock market, and there is a negative correlation between trait risk and expected return. This is contrary to the traditional capital asset pricing theory. At present, Chinese and foreign literatures mainly focus on the research of characteristic risk in the stock market, while the research on fund returns mainly focuses on fund performance evaluation. However, there are few empirical studies on the relationship between fund trait risk and excess return. Whether or not it is consistent with the traditional capital asset pricing theory is extremely urgent. This paper selects the monthly data of Chinese open-end funds from January 1st 2003 to December 31st 2012, and uses CAPM model and Fama-French three-factor model to measure the special risk of open-end funds. By using portfolio analysis and Fama-Macbeth cross section regression analysis, this paper empirically studies the influence of fund trait risk on excess return, and finds that there is a significant negative correlation between trait risk and excess return of equity open-end fund in China. After controlling the fund size, fund cost, fund age and other fund characteristic variables, the negative correlation is still significant. In addition, the fund size is positively correlated with the excess return, and the fund cost is negatively correlated with the excess return. There is a positive correlation between fund age and excess return, but the correlation is not very significant.
【学位授予单位】：南京理工大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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