非系统风险对开放式基金业绩持续性的影响

发布时间：2018-04-27 13:31

本文选题：开放式基金业绩持续性 + 非系统风险　；参考：《上海师范大学》2013年硕士论文

【摘要】：随着我国资本市场的不断发展和完善，证券投资基金特别是开放式基金在我国资本市场上的规模越来越大。自从2001年我国第一只开放式基金-华安创新基金的成立，改变了我国证券市场基金品种过于单一的局面，到2012年11月共有开放式基金1125只，规模达到几万亿，对我国资本市场的发展具有举足轻重的作用。目前，国内外学者也越来越重视对基金业绩的研究，而对于基金业绩的持续性研究更具有重要现实意义，基金业绩持续性是指证券投资基金前期的业绩无论好坏都具有延续下去的趋势，，即前期业绩表现好的基金未来可能也会好，前期表现差的在未来也差，即人们常说的"强者恒强，弱者恒弱"的现象。对基金业绩持续性的研究，己经吸引了很多的学者投入到这个领域，是当代金融学理论研究中十分重要的研究课题。从基金的业绩评价指标、基金业绩的持续性判断到基金业绩持续性的来源研究，基金业绩的理论研究取得了丰硕成果，对基金业绩持续性进行深入的研究不仅可以总结出投资基金领域的诸多有用信息来指导投资者的投资活动，而且还可以作为考核基金经理的投资绩效的一项重要参考标准，无疑对于我国证券投资基金市场的发展也具有重要的意义。本文在前人已有的研究基础上，结合我国开放式基金市场的实际情况，研究了我国开放式基金在短中长期的业绩持续性，并从非系统风险的角度来研究非系统风险对开放式基金业绩的持续性的影响，现有研究已表明非系统风险在实际投资中并没有完全分散，而且被定价，即基金的高收益很有可能是因为承担了较高的非系统风险，因此本文试图用理论研究和实证分析的方法来探讨非系统风险对基金业绩持续性的影响。并得到了以下结论：我国开放式基金业绩在三个月，六个月短中期具有一定的持续性，而在一年期没有明显持续性；我国开放式基金并没有完全分散非系统风险；开放式基金投资组合的非系统风与基金投资组合的超额收益存在U型关系，即承担了较高的非系统风险并不必然带来高收益，甚至是较大的负收益；具有较高非系统风险的基金投资组合的业绩在一年期和两年期更容易变脸，使得判断基金业绩的持续性更难以琢磨。
[Abstract]:With the continuous development and improvement of China's capital market, the scale of securities investment funds, especially open-end funds, is becoming larger and larger in China's capital market. Since the establishment of China's first open-end fund, Hua'an Innovation Fund, in 2001, it has changed the situation that the variety of funds in China's securities market is too single. By November 2012, there were 1125 open-end funds with a scale of several trillion. It plays an important role in the development of China's capital market. At present, scholars at home and abroad also pay more and more attention to the research of fund performance, and the research on the sustainability of fund performance has more practical significance. Fund performance sustainability refers to the continuation of the early performance of the securities investment fund, no matter whether it is good or bad, that is, the fund with good performance in the early stage may also have a good future, and the fund with the poor performance in the early stage will also be poor in the future. That is, people often say that "the strong will be strong, the weak will be weak." The study of fund performance sustainability has attracted many scholars into this field and is a very important research topic in the theoretical research of contemporary finance. From the fund performance evaluation index, the fund performance sustainability judgment to the fund performance persistence source research, the fund performance theory research has obtained the rich achievement. The in-depth study of fund performance sustainability can not only sum up a lot of useful information in the field of investment funds to guide investors' investment activities, but also serve as an important reference standard for assessing the investment performance of fund managers. Undoubtedly, the development of China's securities investment fund market is also of great significance. On the basis of previous studies and the actual situation of open-end fund market in China, this paper studies the performance sustainability of open-end funds in the short, medium and long term. And from the perspective of non-systematic risk to study the impact of non-systematic risk on the performance of open-end funds, existing studies have shown that non-systematic risk is not completely dispersed in the actual investment, and is priced. That is, the high return of the fund is probably due to the assumption of higher non-systematic risk. Therefore, this paper attempts to use theoretical research and empirical analysis to explore the impact of non-systematic risk on the performance sustainability of the fund. The following conclusions are obtained: the performance of China's open-end funds is sustained in three months, short and medium-term in six months, but not obvious in one year, and the open-end funds in China have not completely dispersed the non-systematic risk; There is a U-type relationship between the unsystematic wind of the open-end fund portfolio and the excess return of the fund portfolio, that is, the higher non-system risk does not necessarily bring high return, or even the larger negative return; The performance of the fund portfolio with higher non-systemic risk is easier to change in one year and two years, making it more difficult to judge the sustainability of fund performance.
【学位授予单位】：上海师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51

【参考文献】