基金家族共同持股行为对其业绩的影响分析

发布时间：2018-04-15 01:11

  本文选题：基金家族 + 共同持股行为　； 参考：《湖南师范大学》2016年硕士论文

【摘要】：随着我国基金业的发展,基金公司数量和规模也得到迅速的扩大,基金公司以及证券投资基金在证券投资市场的影响力正日益扩大。如果能对基金的投资行为进行广泛而深入的研究,那么就能为健全发展证券市场提供一些研究支持。本文以基金家族共同持股行为为研究对象,介绍了研究背景及意义,并对国内外的文献进行了梳理与综述。对基金家族共同持股行为及其业绩的现状以及两者间的相关性进行了阐述,并深入分析了基金家族共同持股的原因,探讨了基金家族共同持股行为影响其业绩的原理。通过整理Wind金融资讯中的数据,对基金家族共同持股程度及基金家族的业绩进行描述与分析,并构建面板数据模型,运用计量软件Stata对2010年第一季度至2015年第二季度基金家族共同持股行为对其业绩的影响进行实证分析。通过面板回归分析,得到以下结论:(1)实证检验结果表明基金家族内部共同持股行为能提升基金公司整体超额收益率。(2)实证检验结果表明基金家族共同持股行为都不能改善该基金家族经过风险调整后的业绩——sharpe比率。换言之就是该基金家族通过一定程度的共同持股来换取超额收益的行为是建立在冒着更大风险的基础上做的。根据实证结果,针对基金公司自身、基金投资人、监管当局、第三方评级机构分别提出了一些建议。
[Abstract]:With the rapid development of China's fund industry, the number and size of the fund company is rapidly expanding, fund companies and securities investment fund in securities investment market influence is growing. If the extensive and in-depth research on the fund's investment behavior, it can provide some support for the healthy development of the securities market. The fund family holding behavior as the research object, introduces the research background and significance, and the domestic and foreign literature and reviews the current situation of the fund. Family share ownership behavior and performance as well as the relationship between them is discussed, and in-depth analysis of the causes of fund family share ownership, common ownership of fund family principle behavior affects its performance. Through the consolidation of financial information in Wind data, to fund family share ownership and fund family performance Description and analysis, and constructs the panel data model, using econometric software Stata to analyze the impact of the first quarter of 2010 to the second quarter of 2015 the fund family co holding behavior on their performance. Through the panel regression analysis, obtained the following conclusions: (1) the empirical test results show that the fund within the family share ownership behavior can enhance the fund's overall the excess rate of return (2). The empirical results show that fund family share ownership behavior did not improve the fund family performance on a risk adjusted Sharpe ratio. In other words, the fund family through common ownership to a certain extent for the excess return of the behavior is based on taking more risk to do. According to the empirical results, according to the company's own funds, fund investors, regulatory authorities, the third party rating agencies were put forward some suggestions.

【学位授予单位】：湖南师范大学
【学位级别】：硕士
【学位授予年份】：2016
【分类号】：F832.51
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本文编号：1751840