中国社会责任投资基金业绩及其与资金流量关系研究

发布时间：2017-12-28 20:00

  本文关键词：中国社会责任投资基金业绩及其与资金流量关系研究　出处：《南京农业大学》2016年博士论文　论文类型：学位论文

  更多相关文章： 社会责任投资基金 业绩评价 业绩资金流量关系

【摘要】：近年来,中国在产业结构转型的背景下进入了经济新常态,产业转移带来结构性减速,依赖于自然资源和人口红利的经济发展模式无法持续,一系列ESG问题的产生导致经济发展与社会环境之间的矛盾日趋严重。社会责任投资基金作为一种金融投资理念与社会责任理念经过长期实践磨形成的新型投资方式,为解决中国经济发展与社会环境之间的矛盾提供了切实有效的新思路,通过在资本市场的投资行为,逐步引导和改善原来不均衡的资源配置,让更多的资本流向愿意履行社会责任的企业,从而完成“社会责任理念的投资→社会责任理念的企业→和谐社会”的社会价值传递,从资本运作这一根本层面为中国经济发展转型,实现可持续发展模式注入了新的推动力。然而,中国社会责任投资基金市场的发展正面临困境。社会责任投资基金市场发展在中国资本市场起步较晚,基金规模增长较为缓慢,并且后期呈现下跌趋势,致使基金管理公司失去设立更多社会责任投资基金的激励,导致基金数量增长缓慢,不管是与美国社会责任投资基金市场的发展相比,还是与中国开放式投资基金市场比较,我国社会责任投资基金市场发展均较为滞后,并且陷入了发展困境。基金市场规模增长本质上取决于资金流量这一因素,若投资者选择申购基金份额,则资金流量表现为净流入,基金市场规模增加,反之则资金流量表现为净流出,基金市场规模减小,社会责任投资基金市场同样如此。标准金融理论认为,在理想的、无摩擦的市场条件下,理性的投资者会根据基金历史业绩做投资决策,他们会申购或继续持有业绩表现好的基金,赎回业绩表现差的基金,资金流量主要取决于基金的历史业绩,但是社会责任投资基金的投资和社会的双重属性决定了其业绩与资金流量关系有别于传统基金。因此,文章围绕社会责任投资基金业绩表现和业绩资金流量关系进行深入探讨,试图找出社会责任投资基金市场陷入发展困境的原因。本文首先从基金业绩角度,分析基金业绩表现是否是导致社会责任投资基金市场发展困境的原因。利用净值收益率、CAPM模型、FF三因素模型以及Carhart四因素模型对社会责任投资基金整体时间区间的业绩表现和不同时间区间的业绩表现分别进行评价,并与传统基金做对比分析,发现社会责任投资基金在整体时间段的业绩表现超越市场基准,相较传统基金也更为优秀,并且社会责任投资基金业绩表现在基金市场总体行情好时,表现较传统基金更好,在总体行情差时,与传统基金没有显著差异。按照标准金融理论的分析,基金资金流量与历史业绩呈正相关关系,当基金业绩表现好时,会产生资金净流入,而现实情况中社会责任投资基金相对较好业绩却未能形成相应的资金流入,反而陷入了发展困境。因此我们得出初步结论:社会责任投资基金业绩并非导致其陷入发展困境的直接原因。社会责任投资基金业绩的实证结论表明,社会责任投资基金市场并非因为业绩表现差而陷入发展困境,那么问题根源可能在于社会责任投资基金业绩资金流量关系中,而社会责任投资基金由于其投资和社会双重属性以及较高搜寻成本等原因,使得其业绩资金流量关系不能简单用标准金融理论解释,其关系可能不是简单的线性正相关关系,因此文章进一步展开对中国社会责任投资基金业绩资金流量关系的研究,以探究为何在社会责任投资基金业绩相对较好的情况下,却未能吸引较多的资金流入的原因。本文在国内外相关研究的基础上,进一步区分资金流量对长期业绩和短期业绩反应,整体业绩区间与不同业绩区间的基金业绩资金流量关系,并通过引入社会责任虚拟变量设计交叉变量的方法比较与传统基金资金流量业绩关系敏感性的差异,利用非平衡面板回归技术建模,实证数据表明:(1)社会责任投资基金投资者不管是对短期业绩还是长期业绩的敏感性,均比传统基金投资者弱,社会责任投资基金的管理者必须在业绩方面付出更多努力获取相同的收益,这使得管理社会责任投资基金获得管理费收入相对传统基金更加困难,从而让基金管理公司不愿继续设立社会责任投资基金,这将阻碍社会责任投资基金市场的长远发展。(2)社会责任投资基金投资者表现出追逐长期业绩的特征,而对短期业绩的变化不敏感,但社会责任投资基金年度业绩没有显著持续性,尤其是绩优业绩区间年度业绩出现显著反转,投资者的选择得不到正向的业绩反馈,甚至选择绩优基金时会得到负向反馈,长期会导致社会责任投资基金投资者利益受损,从而引发投资者的赎回行为,阻碍了其规模进一步增长。(3)社会责任投资基金投资者对绩劣基金业绩表现出更弱的敏感性,这一方面使得绩劣社会责任投资基金得不到“惩罚”,另一方面在其业绩上升时,仅会吸引较少资金流入,基金管理者也会失去提升绩劣基金业绩的激励,从而使得社会责任投资基金规模增长缓慢,市场发展陷入困境。(4)社会责任投资基金的长期业绩存在明星效应,投资者表现出“追星”行为,明星效应可以为基金管理者形成正的边际管理费用,增强了内在激励作用,这正是我国社会责任投资基金市场发展的突破口,然而社会责任投资基金年度业绩没有显著持续性,尤其是绩优基金区间业绩出现了显著的反转,这让社会责任投资基金的明星效应优势无法用来形成超额的管理费用收入,导致错失这个发展机遇。(5)社会责任投资基金投资者存在“现状偏好”特征,倾向于持有相同的基金,这是一种投资者的非理性行为,一方面导致基金管理者无法从好的业绩表现中获得相应的收入,另一方面投资者倾向于维持当前的投资选择,即使业绩下降也不会立即引发投资者赎回行为,导致社会责任投资基金市场失去良性发展的基石,从而陷入发展困境。经过以上从基金业绩和业绩资金流量关系层面对我国社会责任投资基金市场陷入发展困境成因的系统分析,发现以上5个业绩与资金流量关系特征构成了该问题的完整的解释框架。最后,文章针对社会责任投资基金市场陷入发展困境的原因,有针对性的提出了政策建议,帮助我国社会责任投资基金市场摆脱发展困境,在一定程度上促进我国社会责任投资基金的持续健康发展。
[Abstract]:In recent years, China entered the new economic norm in the transformation of industrial structure under the background of industrial transfer brings a structural slowdown, depends on natural resources and the demographic dividend model of economic development is not sustainable, a series of ESG problems leads to the contradiction between economic development and the social environment is becoming increasingly serious. A new type of investment of social responsibility investment fund as a financial investment concept and the concept of social responsibility through long-term practice of grinding formation, provides a new idea and effective for solving the contradiction between China economic development and the social environment, the investment behavior in the capital market, and gradually guide and improve original uneven allocation of resources, so that more the flow of capital to corporate social responsibility, so as to complete the "concept of social responsibility investment, the concept of social responsibility of enterprises, harmonious society social value, from the root of the capital operation level for the Chinese transformation of economic development pattern to realize the sustainable development has injected new impetus. However, the development of China's social responsibility investment fund market is facing a difficult situation. The social responsibility investment fund market development started in the late China capital market, the fund size of relatively slow growth, and later decline, resulting in the loss of the fund management company set up more social responsibility investment fund incentive fund amount lead to slow growth, whether it is compared with the development of social responsibility investment fund market in the United States, or compared with Chinese open the investment fund market in our country, the social responsibility investment fund market development lags behind, and in a dilemma. The size of the fund market growth essentially depends on the flow of funds, if investors choose to purchase fund shares, then the flow of funds showed a net inflow of funds, the scale of the market increases, whereas the flow of funds showed a net outflow, the market size of the fund is reduced, the social responsibility investment fund market is the same. That standard finance theory, in the frictionless market conditions, ideal, rational investors can make investment decisions based on the historical performance of the fund, they will purchase or continue to hold the good performance of the fund, the redemption of poor performance of the fund, the flow of funds mainly depends on the fund's historical performance, but the double attribute of social responsibility investment the fund's investment and society determines its performance and cash flow relationship is different from the traditional fund. Therefore, the article focuses on the relationship between the performance and the flow of performance funds, and tries to find out the reasons why the social responsibility investment fund market is in a predicament. From the perspective of fund performance, this paper analyzes whether the performance of the fund is the cause of the development dilemma of the social responsibility investment fund market. The performance and performance of different time interval rate, CAPM model, FF three factor model, Carhart four factor of social responsibility investment fund as a whole time interval using the net income were evaluated, and compared with the traditional fund, found that the social responsibility investment fund performance in the whole time period performance beyond the market benchmark, compared with the traditional fund is more outstanding, and the social responsibility investment fund performance in the fund market when the market is good, better than the traditional fund performance, in the overall market is poor, there was no significant difference with the traditional fund. According to the analysis of standard financial theory, mutual fund flow performance is positively related to historical relationship, when the fund performance is good, can produce a net inflow of funds, and the social responsibility investment fund in reality is relatively good performance but failed to form the corresponding capital inflows, but fall into the dilemma of development. Therefore, we draw a preliminary conclusion: the performance of the social responsibility investment fund is not the direct cause of its development. Conclusion the social responsibility investment fund performance showed that the social responsibility investment fund market is not because of poor performance and predicament, so the root of the problem may lie in the social responsibility investment fund performance fund flow relationship, and social responsibility investment fund because of its investment and social attributes and higher search costs and other reasons, the relationship between the performance of funds the flow can not be simply used the standard financial theory, its relationship is not simple linear correlation, so the further research on the China social responsibility investment fund performance funds flow, to explore why the social responsibility investment fund performance is relatively good condition, reason has failed to attract more capital inflows. Based on the research at home and abroad, to further distinguish between the flow of funds to the long-term performance and short-term performance, the overall performance of different interval interval and the performance of the fund performance and fund flow, through the introduction of social responsibility dummy variable design cross variables compared the difference and relationship between traditional mutual fund flow performance sensitivity, the use of non balance regression modeling, empirical data show that: (1) the social responsibility investment fund investors whether it is sensitive to short-term results and long-term performance, compared with the traditional fund investors is weak, the social responsibility investment fund managers must pay more effort to get the same benefits in terms of performance, which makes the management of social responsibility investment fund management fee the traditional fund income is relatively more difficult, so that the fund management company to continue to set up social responsibility investment fund, This will impede the long-term development of the social responsibility investment fund market. (2) the social responsibility investment fund investors chase characterized by long term performance of changes on the short-term performance is not sensitive, but the social responsibility investment fund annual performance is not remarkably persistent, especially blue performance range of annual performance significantly reversed, investors choose not positive performance feedback, even when the choice of blue chip fund will be negative
【学位授予单位】：南京农业大学
【学位级别】：博士
【学位授予年份】：2016
【分类号】：F832.51;F275
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本文编号：1347192