偏股型基金业绩与投资者申赎行为的关系研究

发布时间：2018-05-14 02:13

  本文选题：偏股型基金 + 申购　； 参考：《山东大学》2013年硕士论文

【摘要】：证券投资基金是资本市场上主要的投资理财产品,本文以我国偏股型基金投资者的申购赎回行为为研究对象,试图对基金业绩和投资者行为间的关系进行尽可能全面的理论研究和实证分析。 具体而言,文章首先选取从2006年一季度到2012年二季度共26个季度的样本数据,分别以基金短期业绩回报率和长期业绩回报率作为解释变量,运用固定效应的非平衡面板数据模型,对基金申购、赎回和净申购流量与基金业绩的关系进行回归分析,找出影响我国偏股型基金投资者进行投资选择的因素；其次,将样本期区分为股市繁荣期和股市萧条期,分别考察在各时期投资者对基金业绩的考虑有何变化；第三,在回归模型中加入明星基金和绩劣基金两个虚拟变量,考察我国基金市场的明星效应现象。 实证结果表明,基金上期季度及年度回报率对当期的申购、赎回和净申购均有显著的正面影响,但季度回报率的系数要大,且我国基金市场不存在赎回异象；在不同的经济周期下,投资者申赎基金考虑的因素不尽相同,股市繁荣时期业绩回报率的系数变大,而市场回报率对基金申购的影响不明显,显示出投资者更加偏好风险,预期效应占优,股市萧条时期业绩回报率的系数变小,市场回报率重新影响基金申购,表明投资者更加谨慎,追逐业绩的趋势见缓；我国基金市场存在明星效应,成为明星基金可以显著增加随后的资金流量,但是沦为绩劣基金不会显著增加资金流出。另外,成为明星基金不能显著阻止资金流出,绩劣基金的资金流入也没有显著减少,表明投资者对绩优和绩劣基金的选择具有不对称性。 由此,本文分别给基金公司和基金投资者提出了相应建议。建议基金公司通过提高投研水平、保持良好的基金业绩；实施稳定的分红政策,为投资者带来实实在在的回报；加强投资者满意的维护,保护基金持有人利益等方式在竞争中寻求稳健发展。建议基金投资者树立理性的投资理念,通过定投的方式获得超越市场趋势的收益；树立长期稳定投资的观念,通过分散配置的方式降低风险,达到财富保值增值的目标。
[Abstract]:The securities investment fund is the main investment financial product in the capital market. In this paper, we take the purchase and redemption behavior of the biased fund investors in China as the research object, trying to make a comprehensive theoretical study and Empirical Analysis on the relationship between the fund performance and the investor behavior.
Specifically, the paper first selects sample data from the first quarter of 2006 to the two quarter of 2012, and takes the short-term performance return rate and the long-term performance return rate as the explanatory variable, and uses the fixed effect non balanced panel data model to carry out the relationship between the fund purchase, redemption and net purchase flow and the performance of the fund. The regression analysis is used to find out the factors that affect the investment choice of the biased fund investors in China. Secondly, the sample period is divided into the stock market boom period and the stock market depression period, respectively, to examine the changes in the investors' consideration of the fund performance in each period, and third, add two virtual variables in the regression model into the star fund and the performance inferior fund. Look at the star effect of the fund market in China.
The empirical results show that the quarterly and annual returns of the fund have significant positive effects on the purchase, redemption and net purchase of the current period, but the coefficient of the quarterly return is large, and there is no redemption of the fund market in our country. In the different economic cycles, the factors of Shen Shuji gold consideration are different and the stock market boom period. The coefficient of performance returns has become larger, and the effect of market return on the purchase of funds is not obvious. It shows that investors prefer risk, the expected effect is superior, the coefficient of performance returns in the stock market recession is smaller, and the market return rate re affects the purchase of funds, which indicates that investors are more cautious and the trend of pursuit of performance is slow; China's fund market There is a star effect, which can significantly increase the capital flow of the star fund, but the degenerated fund does not significantly increase the outflow of funds. In addition, the star fund can not significantly prevent the outflow of funds. The capital inflow of the performance inferior fund has not been significantly reduced. Symmetry.
Therefore, this paper puts forward some suggestions for the fund and fund investors respectively. It suggests that the fund company should improve the investment and research level, maintain good fund performance, implement a stable dividend policy, bring real returns to investors, strengthen the maintenance of investors' satisfaction, protect the interests of the fund holders and so on in the competition. It is suggested that the fund investors should set up a rational investment concept, obtain the income beyond the market trend through the way of fixed investment, set up the concept of long-term stable investment, reduce the risk through the decentralized configuration, and achieve the goal of wealth preservation and appreciation.

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

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