我国股票型开放式基金的在险价值对其超额收益的影响

发布时间：2018-05-05 00:12

本文选题：股票型开放式基金 + 在险价值　；参考：《南京理工大学》2014年硕士论文

【摘要】：近年来,开放式基金凭借其专业化投资和风险分散的优点赢得了广大投资者的青睐,逐步成为我国证券市场上的重要组成部分。然而不可否认的是我国证券投资市场存在着运营机制不成熟、法律法规不健全等诸多弊端。这些弊端加剧了市场的风险,导致近几年来开放式基金的投资者并没有获得与风险相称的收益。因此,如何甄别开放式基金的风险以及研究开放式基金的风险对其收益的影响成为了热点问题。本文通过基于VaR理论下的正态分布模型、Cornish-Fisher扩展模型以及Garch(1,1)模型对2010年至2012年我国股票型开放式基金的在险价值进行了研究,并采用Kupiec失败频率返回检验法对三种模型所得到的基金在险价值的计算结果进行检验,检验结果发现Garch (1,1)模型下得到的基金在险价值GarchNormal-VaR更符合基金实际收益率的分布情况。仿照Fama-French (1993)的方法,将样本内基金按照由Garch (1,1)模型得到的基金的在险价值GarchNormal-VaR和基金的资产规模Asset分别独立分成10组。由高Normal-VaR组基金的平均月收益率减去低GarchNormal-VaR组基金的平均月收益率得到VaRHML因子；由低Asset组基金的平均收益率减去高Asset组基金的平均收益率得到AssetSMB因子。将这两个因子作为白变量对开放式基金的超额收益进行回归结果发现：从整体上看VaRHML因子对其超额收益有正的影响,基金的AssetSMB因子对其超额收益同样有正的影响。这一结果表明开放式基金的在险价值越大,其同期的超额收益越大；而开放式基金的资产规模越小,其同期的超额收益越大。而从分段时间来看,在市场处于低迷的时间段内,开放式基金的在险价值越大,其同期的超额收益越小,即风险和收益负相关；在市场处于繁荣的时间段内,开放式基金的在险价值越大,其同期的超额收益越大。据此本文得出如下结论：从长期来看,投资者在选择基金时应该选择在险价值高、资产规模小的基金进行投资。但在证券市场持续低迷的情况下,通常会出现基金的在险价值和超额收益负相关的情况。所以在市场低迷的情况下,投资者往往应该要选择在险价值低、资产规模小的基金进行投资。
[Abstract]:In recent years, the open-end fund has won the favor of the majority of investors by virtue of its advantages of specialized investment and risk dispersion, and has gradually become an important part of the securities market in our country. However, it is undeniable that there are many drawbacks in China's securities investment market, such as immature operation mechanism, imperfect laws and regulations, and so on. These shortcomings have exacerbated the market's risks, resulting in investors in open-end funds in recent years not getting a commensurate return on risk. Therefore, how to identify the risk of open-end funds and how to study the impact of the risk of open-end funds on their returns has become a hot issue. Based on the normal distribution model of VaR, Cornish-Fisher extension model and Garchish-1) model, this paper studies the risk value of Chinese open-end funds from 2010 to 2012. The Kupiec failure frequency return test method is used to test the calculation results of the risk value of the three models. It is found that the Garch value GarchNormal-VaR obtained under the Garch 1 / 1) model is more in line with the distribution of the real return rate of the fund. According to the method of Fama-French / 1993), the funds in the sample were divided into 10 groups according to the risk value (GarchNormal-VaR) and the asset size (Asset) of the funds according to the Garch model. The VaRHML factor is obtained from the average monthly rate of return of the fund of high Normal-VaR group minus the average monthly rate of return of the fund of the low GarchNormal-VaR group, and the AssetSMB factor from the average rate of return of the fund of the low Asset group minus the average rate of return of the fund of the high Asset group. Using these two factors as white variables, it is found that the VaRHML factor has a positive effect on the excess return, and the AssetSMB factor of the fund has a positive effect on the excess return of the open-end fund. The results show that the greater the risk value of open-end funds, the greater the excess returns in the same period, and the smaller the assets of open-end funds, the greater the excess returns in the same period. From the point of view of segmenting time, the greater the risk value of open-end funds, the smaller the excess return in the same period, that is, the negative correlation between risk and income, and in the period of market prosperity, when the market is in a downturn, The greater the risk value of open-end funds, the greater the excess return in the same period. The conclusion of this paper is as follows: in the long run, investors should choose funds with high risk value and small assets. However, when the stock market remains in the doldrums, there is usually a negative correlation between the value at risk and the excess return of the fund. Therefore, in the market downturn, investors should often choose to invest in funds with low risk value and small assets.
【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;F224

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