【摘要】：目前世界上股票市場最流行的價(jià)格指數(shù)市值加權(quán)的指數(shù),市場指數(shù)通常作為判斷是否進(jìn)行積極投資管理的標(biāo)準(zhǔn)。自20世紀(jì)70年代以來,以復(fù)制和跟蹤市值加權(quán)指數(shù)為目標(biāo)的指數(shù)化投資方法己成為美國乃至世界上最重要的投資理念和投資方法之一。盡管市值加權(quán)指數(shù)有很多優(yōu)點(diǎn),但是有些學(xué)者和長期試圖戰(zhàn)勝的投資者對均值方差有效的市場組合提出了質(zhì)疑。因此,積極尋求比市值加權(quán)指數(shù)化投資方法更好的指數(shù)化投資方法也越來越為實(shí)務(wù)界與學(xué)術(shù)界所重視。在2005年,Arott、Hsu和Moore正式提出了一種即包含有指數(shù)化投資思想又不同于市值加權(quán)的基本面指數(shù)化(Fundamental Indexing)投資方法�；久嬷笖�(shù)的構(gòu)造不再是市值加權(quán)的,而是對價(jià)格不敏感的一系列財(cái)務(wù)指標(biāo)如紅利,收益,賬面價(jià)值,現(xiàn)金流,銷售額等進(jìn)行加權(quán),以確定其權(quán)重�；久嬷笖�(shù)化投資方法作為一種獨(dú)特的投資策略型指數(shù),己成為美國實(shí)務(wù)界增長最快的最新風(fēng)險(xiǎn)資產(chǎn)組合管理方法。 本文立足于投資學(xué)、行為金融學(xué)、統(tǒng)計(jì)學(xué)方法,針對研究對象的特點(diǎn)和具體內(nèi)容,采用理論推導(dǎo)與實(shí)證分析相結(jié)合方法研究基本面指數(shù)組合投資問題。具體如下：1.基本面指數(shù)化投資的界定和中國證券市場的基本面指數(shù)化投資方法,采用文獻(xiàn)研究、理論分析、數(shù)學(xué)建模和實(shí)證研究相結(jié)合的方法；2.傳統(tǒng)指數(shù)化投資方法和基本面指數(shù)化投資方法的融合方法,采用理論分析、實(shí)證研究。 研究結(jié)論主要有以下幾點(diǎn)：第一,我國滬深股市存在著市場噪聲,基本面加權(quán)投資組合的理論基礎(chǔ)在中國股市上是成立的。第二,重新界定了基本面指數(shù)的定義,并在數(shù)理基礎(chǔ)和構(gòu)造方法上對基本面加權(quán)指數(shù)和市值加權(quán)指數(shù)進(jìn)行了分析和比較。市值加權(quán)指數(shù)存在錯(cuò)誤定價(jià),系統(tǒng)性的對高估的股票配置過多的權(quán)重而對低估的股票配置過少的權(quán)重,使其績效受到拖累。而基本面指數(shù)能打破錯(cuò)誤定價(jià)與投資組合權(quán)重之間的聯(lián)系,是一個(gè)具有很好市場代表性的中立指數(shù)。第三,從總體市場情況來看,多期基本面投資組合收益情況最好,市值投資組合收益最小,這與美國市場上得到的結(jié)論相一致。用夏普比率衡量的風(fēng)險(xiǎn)情況來看,基本面加權(quán)投資組合的風(fēng)險(xiǎn)要略大于市值加權(quán)投資組合,這與美國市場上得到的結(jié)論相悖。第四,在實(shí)證上,基本面加權(quán)指數(shù)的優(yōu)點(diǎn)在中國股市上基本都得到了驗(yàn)證。在中國熊市階段市值加權(quán)投資組合收益優(yōu)于基本面加權(quán)投資組合收益；在牛市階段基本面加權(quán)投資組合優(yōu)于市值加權(quán)投資組合。這說明基本面加權(quán)投資組合更能享受牛市帶來的順風(fēng),這與國外的研究結(jié)論相悖。原因可能在中國受國家政策如股權(quán)配置改革的影響很大,股市噪聲的不平穩(wěn),還偶爾出現(xiàn)與均值背離相背離的現(xiàn)象有關(guān)。第五,在中國股市的升息階段,基本面加權(quán)投資組合雖然能獲得的好于市值加權(quán)投資組合的收益,但是同時(shí)也面臨著更多的風(fēng)險(xiǎn)。在降息階段,基本面加權(quán)投資組合不僅能獲得好的收益,而且面臨的風(fēng)險(xiǎn)也更低。 對基于中國證券市場的基本面加權(quán)指數(shù)組合投資問題進(jìn)行研究,具有以下幾點(diǎn)現(xiàn)實(shí)意義：1、基本面指數(shù)作為策略指數(shù)的一種,能豐富我國現(xiàn)有指數(shù)體系和指數(shù)功能。2、基本面指數(shù)是以基本面財(cái)務(wù)數(shù)據(jù)加權(quán)計(jì)算所構(gòu)建的中立指數(shù),隔斷了樣本股價(jià)格與其權(quán)重之間的簡單聯(lián)系,引入了全新的投資理念。3、基本面指數(shù)將主動策略和被動管理的投資組合統(tǒng)一于一體,使我國投資者既能享有被動產(chǎn)品的低費(fèi)率,同時(shí)也能分享到基本面這一高投資績效策略所帶來的收益,更好地滿足了我國投資者的投資需求�；久嬷笖�(shù)化投資這樣一種置于傳統(tǒng)指數(shù)化投資框架內(nèi)的積極組合資產(chǎn)配置方法,在中國證券市場是否也具有適用性、是否也表現(xiàn)出與國外發(fā)達(dá)國家相似的風(fēng)險(xiǎn)收益特征,是一個(gè)值得深入研究的現(xiàn)實(shí)問題。加強(qiáng)對基本面加權(quán)指數(shù)組合投資問題的研究將有助于推動我國創(chuàng)新型指數(shù)產(chǎn)品的出現(xiàn)并提供理論依據(jù),對于豐富我國證券市場的金融投資理論,具有重要的理論意義和學(xué)術(shù)價(jià)值。 本文的創(chuàng)新之處主要體現(xiàn)在以下幾個(gè)方面：一是在這個(gè)領(lǐng)域中國知網(wǎng)上能找到的文獻(xiàn),只有《中國股市基本面價(jià)值加權(quán)投資組合研究》僅此一篇,國內(nèi)還沒有類似的碩博士論文,希望本文能為未來的研究者提供參考。二是2011年7月1目正式發(fā)布上證基本面指數(shù)系列,包括上證基本面200指數(shù)、上證基本面300指數(shù)和上證基本面500指數(shù),這個(gè)創(chuàng)新型指數(shù)還沒有從理論上對此進(jìn)行探討的。三是首次驗(yàn)證基本面指數(shù)在我國的適用性。
[Abstract]:At present, the market index of the most popular price index of the stock market in the world is weighted by the market value, and the market index is usually used as a standard for judging whether to carry out active investment management. Since the 1970s, it has become one of the most important investment ideas and investment methods in the United States and the world. Although the market value-plus-weight index has many advantages, some scholars and long-running investors have questioned the market portfolio that is effective in mean-variance. Therefore, it is becoming more and more important for both the practical and the academic circles to actively seek an index-based investment method that is better than the market value plus-weight-index investment method. In 2005, Arott, Hsu and Moore formally proposed an investment method that includes an exponential investment idea and a fundamental index that is different from the market value weighting. The structure of the fundamental index is no longer weighted by market value, but is a series of financial indicators that are not sensitive to price, such as dividends, income, book value, cash flow, sales, etc., to determine its weight. As a unique investment strategy type index, the fundamental index investment method has become the latest risk asset portfolio management method with the fastest growth in the American substantive world. This paper is based on investment study, behavioral finance and statistical method, aiming at the characteristics and specific contents of the research object, and using the combination of the theoretical deduction and the empirical analysis to study the fundamental index portfolio investment question. The following is the following: 1. The definition of fundamental indexation investment and the basic index investment method of China's securities market, using the methods of literature research, theoretical analysis, mathematical modeling and empirical research; 2. The fusion method of the traditional indexation investment method and the fundamental index investment method, adopting the theory analysis and the empirical research. The main points of the study are as follows: First, there is market noise in Shanghai-Shenzhen stock market, and the theoretical basis of the fundamental weighted investment combination is in China's stock market Secondly, the definition of the fundamental index is redefined, and the basic weighting index and the market value weighting index are analyzed on the basis of the mathematical basis and the construction method. and comparing the value of the market value with the weight of the overvalued stock, so that the performance of the stock is affected by the excessive weight of the overvalued stock, to a drag. The underlying index can break the link between the wrong pricing and the portfolio weight, a very good market representative Third, in terms of the overall market situation, the best combination of the multi-period fundamental investment portfolio and the minimum portfolio return on market value are the same as the results obtained in the US market In line with the risk profile measured by Sharp's ratio, the risk of a fundamental weighted portfolio is slightly larger than the market value-weighted portfolio, which is similar to that of the U.S. market The fourth, in the empirical, the merit of the fundamental weighting index is basically obtained in China's stock market In China, the weighted investment portfolio of the market value of the bear market is better than that of the fundamental weighted investment. In the bull market, the weighted investment portfolio is better than the market value weighted investment. Portfolio. This means that the underlying weighted portfolio is more likely to enjoy the downwind brought by the bull market, which is tied to foreign research On the contrary, the reason may be that the influence of the state policy such as equity allocation reform in China is large, the noise of the stock market is not stable, and the occurrence of the current deviation from the average deviation occasionally occurs. Fifth, in the rise-and-interest phase of the Chinese stock market, the fundamentals-weighted portfolio, while gaining the benefits of a combination of market-value-weighted investments, is at the same time facing more At the interest rate cut stage, the fundamental weighted portfolio is not only a good benefit but also a risk It also has the following practical significance:1. The fundamental index is a kind of strategy index, which can enrich the existing index system and finger of our country. The basic index is the neutral index constructed with the weighted calculation of the fundamental financial data, and the simple relationship between the sample stock price and its weight is isolated, and a brand-new investment concept is introduced. As a whole, our investors can not only enjoy the low rates of passive products, but also share the benefits of the high-investment performance strategy of the fundamentals, and better meet the investors of our country The investment demand is a kind of positive combined asset allocation method which is placed in the traditional indexation investment framework. It is of great theoretical significance to strengthen the research of the portfolio investment of the fundamental and weighted index, which will help to promote the emergence of the innovative index products in our country and provide the theoretical basis, and it is of great theoretical significance to enrich the financial investment theory of our securities market. and academic value. The innovation of this paper is mainly reflected in the following aspects: one is the literature that can be found on the Internet in this field, only the weighted investment portfolio of the fundamental value of the Chinese stock market is more than the only one, and there is no class in China Like a doctoral thesis, I hope this article is for the future. The second is the official release of the Shanghai Composite Index series on July 1,2011, including the SSE fundamentals 200 index, the SSE fundamentals 300 index and the SSE fundamentals 500 index, and the innovative index has not been theoretically The third is to verify the fundamental index for the first time.
【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 張力公;陳其安;;中國異質(zhì)噪音交易者行為的資產(chǎn)定價(jià)收益研究[J];生產(chǎn)力研究;2010年03期

2 張強(qiáng);楊淑娥;;噪音交易、投資者情緒波動與股票收益[J];系統(tǒng)工程理論與實(shí)踐;2009年03期

3 胡日東;蘇h椒，

本文編號：2502600