中国开放式股票基金投资绩效持续性的实证研究

发布时间：2018-01-01 16:26

本文关键词：中国开放式股票基金投资绩效持续性的实证研究　出处：《辽宁大学》2013年硕士论文　论文类型：学位论文

【摘要】：自2001年华安创新和华夏成长这两只开放式股票基金诞生以来，近些年我国开放式基金市场得到了持续、快速的发展，各式各样的基金出现在基金市场上。作为一种相对稳妥的投资方式,基金投资受到了投资者的青睐。同时，投资者面对种类繁多的基金，踌躇着该如何选择基金来进行投资。在对所要投资的基金进行选择时，我们会关注基金的历史业绩。认为历史业绩好的基金，在未来也许会有好的表现。其实，这就是本文所讨论的基金持续性的问题。历史业绩好，将来业绩也好的基金就存在持续性，投资者可以买入，而不必耗费大量的时间和精力去选择。且基金业绩是否具有持续性可以作为基金公司评价基金经理投资水平和专业能力的参考指标，并以此来调整自己的投资决策。另外为了帮助人们更好的把握住基金市场运行的特征,本文对基金绩效持续性进行研究，还可以检验我国基金市场的有效性。本文绪论部分首先分析了基金投资绩效持续性这一课题的研究背景，然后对国内外对基金投资绩效持续性研究的文献进行了回顾，讨论了本文的研究目的和意义，最后说明了本文的研究框架及创新。第一章主要介绍了基金绩效持续性研究的理论基础及基金绩效评价理论，主要有现代投资组合理论、资本资产定价理论、套利定价理论和有效市场理论。第二章首先介绍了如何研究基金绩效持续性，接着确定了在对基金业绩持续性进行研究时所需的评估指标、研究方法、研究样本及数据,最后介绍了如何对数据进行处理。第三章根据第二章所介绍的方法，，及所取得的研究数据，进行了实证研究。把考察期间分为三个月、六个月和十二个月，对基金短期、中期和长期的持续性进行研究，得出结论。第四章是研究结论与建议，结合本文实证研究的结论和我国实际情况进行了总结，并提出了建议。本文研究结论：运用横截面回归法对各个排序期和评估期进行回归，发现不论考察期是三个月、六个月还是十二个月，我国开放式股票型基金的投资绩效都没有表现出显著的持续性；然后又运用列联表法将各个排序期和评估期的超额收益率同平均收益率进行比较，也分别考察了三个月、六个月和十二个月，得出结论同横截面回归法一样，我国开放式股票型基金在短期、中期和长期时业绩不具有持续性。
[Abstract]:Since the birth of two open - ended stock funds in China ' s innovation and growth in 2001 , China ' s open - end fund market has been continuously and rapidly developed in recent years . Various kinds of funds have appeared in the fund market . As a relatively stable investment way , the fund investment has been favored by investors . In fact , it is the continuing problem of the fund in the future . In fact , whether the fund performance has a sustainability can be used as a reference index for the fund managers to evaluate the investment level and professional ability of the fund managers . In addition , in order to help people better grasp the characteristics of the fund market operation , the paper studies the performance of the fund , and also can check the effectiveness of the fund market in China . The introduction part of this paper first analyzes the background of the research on the sustainability of the fund investment performance , then reviews the literature of the research on the performance of the fund investment at home and abroad , discusses the research purpose and significance of this paper , and finally explains the research framework and innovation of this paper . The first chapter mainly introduces the theory foundation of the research on the performance persistence of the fund and the theory of the performance evaluation of the fund , including the modern portfolio theory , the capital asset pricing theory , the arbitrage pricing theory and the effective market theory . The second chapter introduces how to study the sustainability of fund performance , then determines the evaluation index , research method , research sample and data necessary to conduct the research on the performance of the fund , and finally introduces how to deal with the data . In chapter 3 , according to the method introduced in chapter 2 , and the research data obtained , this paper divides the investigation into three months , six months and twelve months , and draws a conclusion on the long - term , medium - term and long - term sustainability of the fund . The fourth chapter is the conclusion and suggestion , combining the conclusion of the empirical research in this paper and the actual situation of our country , and puts forward some suggestions . The results of this paper are as follows : The cross - sectional regression method is used to return the ranking period and the evaluation period , and it is found that the investment performance of the open stock fund in our country has not shown a remarkable continuity , no matter whether the inspection period is three months , six months or twelve months , and then the three - month , six - month and twelve - month period are compared , and the conclusion is the same as the cross - sectional regression method , and the performance of the open - type equity fund in the short - term , medium - term and long - term is not sustained .

【学位授予单位】：辽宁大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

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