本文選題：投資風(fēng)格 + 風(fēng)格漂移��； 參考：《浙江工商大學(xué)》2013年碩士論文

【摘要】：自監(jiān)管層提出超常規(guī)發(fā)展機構(gòu)投資者的思路以來,我國基金業(yè)獲得了長足的發(fā)展,基金因其風(fēng)險共擔(dān)、利益共享的特征受到廣大投資者的歡迎,目前證券投資基金已經(jīng)成為中國老百姓理財?shù)氖走x產(chǎn)品。基金業(yè)的蓬勃發(fā)展,基金市場的繁榮促進了基金業(yè)的創(chuàng)新,我國的基金品種從最初單一的股票型、債券型、混合型、貨幣型發(fā)展到現(xiàn)在包含QDII、LOF、ETF、分級基金在內(nèi)的種類較為齊全的基金類別體系�；饦I(yè)的創(chuàng)新不僅體現(xiàn)在基金類別上,還體現(xiàn)在基金的運營和管理上,近年來風(fēng)格投資理念逐漸在基金投資界流行起來,基金投資風(fēng)格的概念在投資領(lǐng)域已被廣大基金市場參與者所接受。然而在基金的運作過程中,基金經(jīng)理的更換、基金經(jīng)理業(yè)績考核壓力、投資行為的羊群效應(yīng)都可能使基金改變之前設(shè)定的投資風(fēng)格,即發(fā)生所謂的風(fēng)格漂移現(xiàn)象。我們知道基金主要投資于股票和債券的,基金風(fēng)格變動必然會涉及持倉股票的變更。本文研究基金風(fēng)格漂移對股票型基金重倉股波動率的影響。 本文選取銀河標準股票型基金為樣本,以2012年第四季度為研究區(qū)間,基于Sharpe多因子模型識別基金的真實投資風(fēng)格,并利用SDS方法測算發(fā)生漂移基金的漂移程度。之后,構(gòu)建截面回歸模型靜態(tài)分析長期中基金漂移程度與基金重倉股波動率的關(guān)系；為了動態(tài)分析基金風(fēng)格漂移對于重倉股的影響,我們構(gòu)建了漂移基金指數(shù),然后構(gòu)建向量自回歸模型并通過脈沖響應(yīng)函數(shù)進行分析。最后得出以下結(jié)論： 一、我國股票型基金存在大規(guī)模的風(fēng)格漂移現(xiàn)象,基金經(jīng)理因業(yè)績壓力存在改變風(fēng)格投資策略的動機。構(gòu)建Sharpe風(fēng)格識別模型對樣本基金進行實證分析,發(fā)現(xiàn)完整研究區(qū)間內(nèi)53.5%的基金發(fā)生風(fēng)格漂移。具體而言成長型基金漂移比例為42.25%,價值型基金漂移比例為58.82%,平衡型基金漂移比例高達90.91%。 二、滾動時態(tài)的Sharpe因子模型研究發(fā)現(xiàn),基金投資風(fēng)格穩(wěn)定性較差。在此基礎(chǔ)上了考察了完整時期發(fā)生風(fēng)格漂移基金的風(fēng)格漂移得分(SDS),發(fā)現(xiàn)樣本基金風(fēng)格漂移得分大多分布在(0.5,0.9)區(qū)間內(nèi),說明基金的風(fēng)格漂移程度較大。 三、長期來看,基金風(fēng)格漂移與基金重倉股波動率之間不存在顯著的關(guān)系。但是短期來看,基金風(fēng)格漂移會引起基金重倉股的波動,這種沖擊影響持續(xù)時間較短,基本上四個交易日以后沖擊影響就消失了。
[Abstract]:Since the supervisor put forward the idea of developing the institutional investors, the fund industry in our country has made great progress. Because of its risk-sharing and benefit-sharing characteristics, the fund has been welcomed by the vast number of investors. At present, the securities investment fund has become the first choice product of Chinese people's financial management. The booming development of fund industry and the prosperity of fund market promote the innovation of fund industry. The monetary type has developed into a complete fund category system, including QDII / LOFETF and classified funds. The innovation of fund industry is not only reflected in the category of fund, but also in the operation and management of fund. In recent years, the idea of style investment has gradually become popular in the field of fund investment. The concept of fund investment style has been accepted by the fund market participants in the field of investment. However, in the process of fund operation, the change of fund manager, the pressure of fund manager's performance appraisal, and the herd effect of investment behavior may make the fund change the investment style set before, that is, the phenomenon of so-called style drift. We know that the fund mainly invests in stocks and bonds. Changes in fund style are bound to involve changes in positions. This paper studies the influence of fund style drift on the volatility of heavy stocks in equity funds. This paper selects the Galaxy standard stock fund as the sample, takes the fourth quarter of 2012 as the research interval, recognizes the real investment style of the fund based on the Sharpe multi-factor model, and calculates the drift degree of the drift fund by using the SDS method. Then, we build cross-section regression model to analyze the relationship between the degree of fund drift and the volatility of heavy stocks in the long run, and in order to dynamically analyze the influence of fund style drift on heavy stocks, we construct the drift fund index. Then the vector autoregressive model is constructed and analyzed by impulse response function. Finally, the following conclusions are drawn: First, there is a large-scale style drift phenomenon in equity funds in China, and fund managers have the motivation to change style investment strategy because of performance pressure. The Sharpe style identification model is constructed to analyze the sample funds, and it is found that 53.5% of the funds in the complete research interval have style drift. Specifically, the proportion of growth fund drift is 42.25, the value fund drift ratio is 58.82, the balance fund drift ratio is as high as 90.91. Secondly, the Sharpe factor model of rolling tenses shows that the stability of fund investment style is poor. On this basis, the style drift score of the style drift fund in the whole period is investigated. It is found that the sample fund style drift score is mostly distributed in the range of 0.50.9), which indicates that the style drift degree of the fund is large. Third, in the long run, there is no significant relationship between the drift of fund style and the volatility of heavy stocks. But in the short term, the drift of fund style will cause the volatility of heavy stocks, the impact of this impact is relatively short, basically four trading days after the impact of the impact disappeared.
【學(xué)位授予單位】：浙江工商大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F224;F832.51

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