我国开放式基金运营费用与业绩关系研究

发布时间：2018-04-17 05:35

本文选题：基金运营费用 + 基金业绩　；参考：《暨南大学》2014年硕士论文

【摘要】：近年来，随着我国资本市场的不断发展，基金业的规模也不断发展壮大。证券投资基金在当前的金融体系中发挥着越来越重要的作用，而开放式基金是证券投资资金的主流部分。国外对基金业的相关研究由来已久，但我国对基金的研究尚处于起步阶段。本文研究基金运营费用与业绩的关系，同时在此基础上加入了基金管理公司的治理结构和管理结构因素，从多角度对基金费用业绩关系进行考察。本文以2006-2012年我国契约型开放式基金为样本，对基金运营费用与基金业绩关系进行研究，结果发现基金运营费用与业绩的关系受到股市周期的影响。牛市阶段，基金运营费用与业绩存在显著负相关关系，运营费用会随着业绩的上升而减少；同时，研究还发现二者存在倒U型的非线性关系。熊市阶段，由于市场比较疲软，当业绩为负时，费用会随着业绩的上升而下降；当业绩为正时，，费用会随着业绩的上升而上升，总体呈现开口向上的两个线段。研究结果有助于了解我国开放式基金运营费用和业绩的关系；有利于基金管理公司的发展，为基金投资者的投资决策和基金管理者提高基金业绩、降低风险提供建议。
[Abstract]:In recent years, with the development of China's capital market, the scale of the fund industry has been growing.Securities investment funds play a more and more important role in the current financial system, and open-end funds are the mainstream part of securities investment funds.Foreign research on fund industry has a long history, but the fund research in China is still in its infancy.This paper studies the relationship between fund operating expenses and performance, and on this basis, adds the governance structure and management structure factors of fund management company, and investigates the relationship between fund cost performance from various angles.This paper studies the relationship between fund operating expenses and fund performance based on the sample of China's contractual open-ended funds from 2006 to 2012. The results show that the relationship between fund operating expenses and performance is influenced by the stock market cycle.In bull market, there is a significant negative correlation between fund operating cost and performance, and the operating cost will decrease with the increase of performance. At the same time, the study also finds that there is a negative U type nonlinear relationship between them.In the bear market stage, when the market is weak, when the performance is negative, the cost will decrease with the increase of the performance; when the performance is positive, the cost will rise with the increase of the performance.The results are helpful to understand the relationship between operating expenses and performance of open-end funds in China, to develop fund management companies, and to provide suggestions for fund investors to make investment decisions and fund managers to improve fund performance and reduce risk.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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