本文選題：風(fēng)格投資　切入點：風(fēng)格漂移　出處：《天津大學(xué)》2012年博士論文　論文類型：學(xué)位論文

【摘要】：股票市場異象在對經(jīng)典金融理論進(jìn)行猛烈抨擊的同時，也推動了行為金融理論的發(fā)展和風(fēng)格投資的盛行。根據(jù)風(fēng)格投資的動因，風(fēng)格漂移與市場異象之間似乎存在內(nèi)生性關(guān)系：保持與市場異象一致的投資風(fēng)格，捕捉市場異象帶來的超額收益，既是風(fēng)格投資的主要動機，也是保證風(fēng)格投資策略成功的關(guān)鍵。 然而，我國風(fēng)格投資踐行者的風(fēng)格漂移與股票市場異象之間似乎并不存在理論上的一致性：一方面，價值溢價、規(guī)模溢價和動量溢價等市場異象不斷被實證研究所揭示，市場異象為風(fēng)格投資者提供了系統(tǒng)性獲利機會；另一方面，風(fēng)格投資的主要追隨者—股票型基金卻存在普遍的風(fēng)格錯配現(xiàn)象，在風(fēng)格投資實踐中遭遇了重重挫折。在此背景下，對市場異象的特征及其與基金風(fēng)格漂移之間的關(guān)系進(jìn)行系統(tǒng)研究，既能夠為基金業(yè)預(yù)測、利用市場異象提供科學(xué)的理論指導(dǎo)，也有利于揭示基金業(yè)內(nèi)普遍存在的風(fēng)格錯配的深層次原因，對于把握股票市場的規(guī)律和提高風(fēng)格投資的水平都有較為現(xiàn)實的意義。 本文從我國基金業(yè)內(nèi)盛行的風(fēng)格投資行為出發(fā)，重點對占據(jù)基金市場主體的股票型基金的風(fēng)格投資行為及風(fēng)格漂移現(xiàn)象進(jìn)行考察，總結(jié)了我國股票型基金的風(fēng)格投資實踐的行為特征，并對股票型基金風(fēng)格投資業(yè)績進(jìn)行了實證分析；結(jié)合CAPM及四因子模型在我國A股市場的適用性檢驗，基于大樣本對我國股票市場的有效性進(jìn)行了實證分析，在此基礎(chǔ)上識別出我國股票市場中的主要異象，理論和實證分析均發(fā)現(xiàn)價值溢價、規(guī)模溢價和動量溢價是我國股票市場存在的主要異�，F(xiàn)象，并利用數(shù)理建模和實證分析抽象出主要市場異象在持續(xù)性、波動性和周期性等方面的基本特征；進(jìn)一步，檢驗市場異象與風(fēng)格投資（風(fēng)格漂移）之間的關(guān)聯(lián)性、一致性和因果關(guān)系，從市場異象的視角揭示了我國股票型基金的風(fēng)格錯配現(xiàn)象的動因；最后，基于我國市場異象的波動性和周期性特征，提出了基于市場異象可預(yù)測性的風(fēng)格輪換策略，，通過對風(fēng)格輪換策略與風(fēng)格一致性策略的投資業(yè)績進(jìn)行仿真比較，提出了改進(jìn)我國股票型基金風(fēng)格投資行為的對策建議。
[Abstract]:At the same time, it also promotes the development of behavioral finance theory and the popularity of style investment. According to the motivation of style investment, There seems to be an endogenous relationship between style drift and market anomalies: maintaining investment styles consistent with market anomalies and capturing excess returns from market anomalies are the main motivations for style investment. It is also the key to the success of stylistic investment strategies. However, there seems to be no theoretical consistency between style drift and stock market anomalies: on the one hand, market anomalies such as value premium, scale premium and momentum premium are constantly revealed by empirical studies. Market anomalies provide systematic profit opportunities for style investors; on the other hand, there is a widespread style mismatch phenomenon in equity funds, which is the main follower of style investment. In this context, there are many setbacks in the practice of style investment. A systematic study of the characteristics of market anomalies and the relationship between market anomalies and fund style drift can provide scientific theoretical guidance for fund industry prediction and utilization of market anomalies. It is also helpful to reveal the deep reasons of style mismatch in the fund industry, and it is of practical significance to grasp the law of stock market and improve the level of style investment. Starting from the style investment behavior prevailing in the fund industry in China, this paper focuses on the style investment behavior and the style drift phenomenon of the stock fund which occupies the main part of the fund market. This paper summarizes the behavioral characteristics of the style investment practice of the stock fund in China, and makes an empirical analysis of the performance of the equity fund style investment, and tests the applicability of the CAPM model and the four-factor model in the A-share market of our country. Based on the empirical analysis of the effectiveness of China's stock market based on large samples, the main anomalies in China's stock market are identified, and the value premium is found in both theoretical and empirical analysis. Scale premium and momentum premium are the main abnormal phenomena in China's stock market, and the basic characteristics of the main market anomalies in persistence, volatility and periodicity are abstracted by mathematical modeling and empirical analysis. This paper examines the relevance, consistency and causality between market anomalies and style investment (style drift), and reveals the causes of style mismatch of equity funds in China from the perspective of market anomalies. Based on the characteristics of volatility and periodicity of market anomalies in China, a style rotation strategy based on market vision predictability is proposed. The investment performance of style rotation strategy and style consistency strategy are simulated and compared. This paper puts forward some countermeasures and suggestions to improve the style investment behavior of equity funds in China.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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