中国上市型开放式基金（LOF）绩效评估理论与实证研究

发布时间：2018-04-24 20:03

本文选题：LOF + 绩效分析　；参考：《厦门大学》2014年硕士论文

【摘要】：目前,中国基金市场发展越来越迅速,尤其是开放式基金,已经成为了投资者最重要的投资工具之一,因此越来越多的学者开始对中国开放式基金的绩效进行分析研究。作为创新型的开放式基金,上市型开放式基金(LOF)结合了封闭式基金和开放式基金的优势,因此LOF的绩效研究就显得更有实践价值。本文选取LOF作为研究对象,对其总体绩效,择券能力、择时能力以及绩效的归因进行了比较全面系统的分析。本文选取了2005年到2013年间39支LOF进行研究,通过使用多因素模型和单因素模型进行对比分析,发现尽管基金绩效的排序在不同的模型下存在差异,但是总体上我国LOF是可以战胜市场的,同时相对于规模因子,市值因子和动量因子对基金绩效的解释作用更强。通过对LOF择券能力和择时能力的分析,发现不管是基于TM模型和HM模型的回归,还是Carhart-TM模型和Carhart-HM模型的回归,我国大部分LOF的基金经理具有一定的择券能力,但是并不具备准确把握市场时机的能力,即使存在择时能力,其与择券能力也是不可兼得的。最后对LOF总体绩效进行归因分析,这些影响基金绩效的因素包括了基金自身特点以及基金经理的学历,研究发现基金绩效与基金费率、基金存续期、基金规模、基金周转率以及基金经理具有MBA学位都是正相关的。本文首次使用Carhart四因素模型对LOF的绩效进行分析,同时在Carhart四因素模型的基础上,与其他传统方法进行对比分析,对我国LOF的表现进行了比较全面、系统的分析,从而为投资者进行投资决策提供了依据,有助于基金管理者完善基金经理评价体系并更好地提高基金业绩。
[Abstract]:At present, the Chinese fund market is developing more and more rapidly, especially the open-end fund, has become one of the most important investment tools of investors, so more and more scholars begin to analyze the performance of China's open-end fund. As an innovative open-end fund, listed open-end fund combines the advantages of closed-end fund and open-end fund, so the performance research of LOF has more practical value. This paper selects LOF as the research object, and makes a comprehensive and systematic analysis of its overall performance, coupon selection ability, timing ability and performance attribution. This paper selects 39 LOF from 2005 to 2013 to carry on the research, through using the multivariate model and the single factor model carries on the contrast analysis, although the fund performance ranking exists the difference under the different model, But on the whole, LOF in China can overcome the market, and market value factor and momentum factor can explain the fund performance more strongly than the scale factor. Based on the analysis of the ability of LOF coupon selection and timing selection, it is found that most of the fund managers of LOF in China have the ability to choose a coupon, regardless of whether it is based on the regression of TM model and HM model, or the regression of Carhart-TM model and Carhart-HM model. But it does not have the ability to grasp the market timing accurately, even if there is the ability of timing, the ability of selecting coupons can not be obtained simultaneously. Finally, the attribution analysis of the overall performance of LOF is carried out. The factors that affect the performance of the fund include the characteristics of the fund itself and the education of the fund manager. The study finds that the performance of the fund and the rate of the fund, the duration of the fund, and the size of the fund. Fund turnover and fund managers with MBA degrees are positively correlated. In this paper, Carhart four-factor model is used to analyze the performance of LOF for the first time. On the basis of Carhart four-factor model, the performance of LOF in China is compared with other traditional methods, and the performance of LOF in China is analyzed comprehensively and systematically. Therefore, it provides the basis for investors to make investment decisions, and helps fund managers to improve the evaluation system of fund managers and improve the performance of funds.
【学位授予单位】：厦门大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

【参考文献】