本文選題：業(yè)績(jī)持續(xù)性　切入點(diǎn)：創(chuàng)業(yè)板市場(chǎng)　出處：《復(fù)旦大學(xué)》2012年碩士論文

【摘要】：我國(guó)開(kāi)放式證券投資基金已經(jīng)發(fā)展了近12年,基金的業(yè)績(jī)表現(xiàn)日漸受到投資者、監(jiān)管者以及基金管理人本身、基金托管人等多方參與者的重視,其中基金績(jī)效的持續(xù)性是業(yè)績(jī)研究的重點(diǎn)之一�；饦I(yè)績(jī)持續(xù)性(Performance Persistence)是指基金的績(jī)效并非隨機(jī)分布,且表現(xiàn)出持續(xù)性的特征。基金的業(yè)績(jī)是否持續(xù)、持續(xù)性的影響因素不僅在學(xué)術(shù)界受到系統(tǒng)性研究,而且在實(shí)踐中被作為投資策略、信息披露以及基金本身績(jī)效考評(píng)的必要性依據(jù)受到廣泛性關(guān)注。 本文以資產(chǎn)定價(jià)理論框架下經(jīng)風(fēng)險(xiǎn)調(diào)整的超額收益作為業(yè)績(jī)?cè)u(píng)價(jià)基準(zhǔn),用參數(shù)方法與非參數(shù)方法對(duì)基金產(chǎn)品和基金經(jīng)理兩種研究對(duì)象分別進(jìn)行短期和長(zhǎng)期業(yè)績(jī)的持續(xù)性檢驗(yàn)。短期的業(yè)績(jī)檢驗(yàn)在對(duì)基金超額收益進(jìn)行一階自回歸檢驗(yàn)的基礎(chǔ)上進(jìn)行了ARMA模型的構(gòu)建,具體考察了短期滯后項(xiàng)的過(guò)往表現(xiàn)對(duì)未來(lái)業(yè)績(jī)的解釋與影響,并借鑒美國(guó)共同基金的方法對(duì)我國(guó)股票型開(kāi)放式基金的整體業(yè)績(jī)水平進(jìn)行了絕對(duì)業(yè)績(jī)的加權(quán)平均回歸。長(zhǎng)期的業(yè)績(jī)檢驗(yàn)則針對(duì)由基金轉(zhuǎn)化的經(jīng)理人業(yè)績(jī),采用了交叉積的正態(tài)分布檢驗(yàn)與卡方檢驗(yàn)。并比較了經(jīng)理人變動(dòng)頻率不同的基金業(yè)績(jī)。 檢驗(yàn)結(jié)果表明,基金產(chǎn)品的短期業(yè)績(jī)不具有持續(xù)性,只有個(gè)別基金呈現(xiàn)出績(jī)效持續(xù)的特征,整體業(yè)績(jī)也不具有顯著異于0的超額收益。結(jié)果表明經(jīng)理人的長(zhǎng)期業(yè)績(jī)只在間斷的2至3年間表現(xiàn)出持續(xù)性,且檢驗(yàn)結(jié)果對(duì)數(shù)據(jù)安排方式敏感,而經(jīng)理更迭對(duì)基金的業(yè)績(jī)并無(wú)造成顯著性差異,在長(zhǎng)期業(yè)績(jī)持續(xù)性方面頻繁更換經(jīng)理的基金整體上略好于經(jīng)理穩(wěn)定的基金。本文還考慮了創(chuàng)業(yè)板股票市場(chǎng)對(duì)基金業(yè)績(jī)的影響,檢驗(yàn)結(jié)果表明多數(shù)基金受到了其市場(chǎng)收益的單向因果影響。最后,文章將與證券投資基金管理相似但存在差異的集合計(jì)劃績(jī)效持續(xù)性進(jìn)行了檢驗(yàn),結(jié)果發(fā)現(xiàn)集合計(jì)劃的業(yè)績(jī)持續(xù)表現(xiàn)也未呈現(xiàn)出持續(xù)性。
[Abstract]:China's open-end securities investment funds has been developing for nearly 12 years, the fund performance is increasingly popular with investors, regulators and fund managers, trustees of participants' attention, the fund performance persistence is one of the key performance of the fund performance persistence. (Performance Persistence) refers to the performance is not random distribution the fund, and showed the characteristics of sustained. The performance of the fund is sustained, the factors affecting continuity not only concerned in academia, but also in practice as an investment strategy, based on the necessity of information disclosure and fund performance evaluation of the extensive attention.
Based on the theory of asset pricing under the framework of risk adjusted excess returns as the performance evaluation benchmark, persistence test using parametric methods and non parametric methods of fund products and fund managers are the two subjects of short-term and long-term performance. The performance test in a short order self based regression test on the ARMA model the excess return of funds, analyzes the short-term lag past performance and influence on the interpretation of future performance, and using the methods of weighted mutual funds are absolute performance of China's open-end fund's overall performance level. The average return of long-term performance test for the transformation by the fund managers' performance the normal distribution test, cross product and Chi square test. And compare the changes of different frequency performance of fund managers.
The test results show that the short-term performance of fund products is not persistent, only individual funds showing constant performance characteristics, the overall performance is not significantly different from 0 of the excess proceeds. The results show that the long-term performance of managers showed persistent only in the continuous 2 to 3 years, and the results of the tests on the arrangement of sensitive data however, the manager change caused significant differences on the performance of the fund is not in the long-term performance persistence of frequent replacement of manager funds overall slightly better than the stable fund manager. This paper also considers the influence of stock market on fund performance, the test results show that the majority of funds are affected by the one-way causal impact of market returns this article. Finally, with the administration of securities investment fund is similar but there are differences in the collection plan performance persistence test, find the set of plans are the results of performance persistence Not showing continuity.

【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類(lèi)號(hào)】：F832.51;F224

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本文編號(hào)：1666966