本文選題：基金業(yè)績 + 影響因素�。� 參考：《西南財(cái)經(jīng)大學(xué)》2014年碩士論文

【摘要】：截至2013年12月31日,我國國內(nèi)基金公司數(shù)目達(dá)到89家；基金市場上共有基金1552支,其中開放式基金1476支,份額規(guī)模占全部基金份額規(guī)模的96.01%。如此大規(guī)模的資產(chǎn)情況已經(jīng)確立開放式基金在我國證券市場上的核心地位�；鹗袌龅陌l(fā)展,一方面影響著廣大投資者的收益,另一方面也關(guān)乎著中國資本市場的穩(wěn)定。因此,對影響基金業(yè)績的因素進(jìn)行研究無疑有著重要的實(shí)際意義。 根據(jù)基金業(yè)績歸因理論,基金的業(yè)績主要?dú)w因?yàn)閮纱蠓矫妫哼x股能力與擇時能力,這兩種能力是基金經(jīng)理能力的表現(xiàn),是基金業(yè)績形成的主要原因�！斑x股能力”是指基金經(jīng)理對不同的股票進(jìn)行識別,在合適的時點(diǎn)做出買入或者賣出的正確決定的能力,利用價值投資的理念,買入價值被低估的股票,賣出價值被高估的股票�！皳駮r能力”是指基金經(jīng)理能夠及時調(diào)整倉位,合理配置風(fēng)險(xiǎn)資產(chǎn)與無風(fēng)險(xiǎn)資產(chǎn)的比重,正確地判斷市場走勢的能力。 本文在基金業(yè)績歸因理論的基礎(chǔ)上,選取持股集中度作為代表選股能力的指標(biāo),選取持股比例作為代表擇時能力的指標(biāo),二者為解釋變量；選取基金凈值增長率作為代表基金業(yè)績的指標(biāo),該指標(biāo)為被解釋變量；并且將與之關(guān)系密切的資金周轉(zhuǎn)率、風(fēng)險(xiǎn)和基金規(guī)模這三個指標(biāo)作為控制變量。旨在研究持股集中度、持股比例等變量的變動對基金凈值增長率的影響。 為此,本文主要分為三部分對基金業(yè)績影響因素進(jìn)行研究論證： 一、文獻(xiàn)綜述：首先對馬考維茨(Markowitz)的投資組合理論(Portfolio Theory)、資本資產(chǎn)定價模型(CAPM)以及套利定價理論APT(Arbitrage Pricing Theory)等證券投資基金的基本理論進(jìn)行綜述；在此基礎(chǔ)上通過對基金業(yè)績歸因理論的介紹,得出影響基金業(yè)績的兩大條主線：選股能力和擇時能力,并以此奠定了本文研究的理論基礎(chǔ)。接著對關(guān)于選股能力和擇時能力的實(shí)證研究的文獻(xiàn)進(jìn)行綜述。最后對國內(nèi)外的相關(guān)文獻(xiàn)進(jìn)行總結(jié)并提出本文的研究方向：現(xiàn)有的研究多是在T-M,H-M模型的基礎(chǔ)上判斷基金是否具備選股擇時能力,本文沒有沿襲文獻(xiàn)中常用模型,而是選取與投資者投資行為關(guān)系密切的統(tǒng)計(jì)指標(biāo)持股集中度、持股比例等對基金業(yè)績進(jìn)行歸因分析。 二、建立模型：對選取變量的依據(jù)進(jìn)行介紹,將各變量的變化對基金業(yè)績的影響做定性分析,然后對各變量進(jìn)行定義及說明；最后對實(shí)證分析中將要用到的面板數(shù)據(jù)模型進(jìn)行簡要介紹并初步建立研究模型。 三、實(shí)證部分：選取我國2005年12月31日以前成立的37只股票型開放式基金作為樣本基金,選擇2006年1月到2013年6月期間的30個季度作為研究時間區(qū)間,通過定性分析和定量分析相結(jié)合的方式分析研究代表基金選股能力和擇時能力的持股集中度、持股比例及與之關(guān)聯(lián)密切的資金周轉(zhuǎn)率、風(fēng)險(xiǎn)以及基金規(guī)模對股票型開放式基金凈值增長率的影響。 首先是描述性統(tǒng)計(jì)分析,這為實(shí)證研究打下基礎(chǔ)。從均值、標(biāo)準(zhǔn)差、方差、偏度系數(shù)、峰度系數(shù)等方面對所選取的37只基金30個季度的基金資產(chǎn)凈值進(jìn)行分析描述；然后對所選取的變量(季末凈值增長率、持股集中度、持股比例、基金資產(chǎn)周轉(zhuǎn)率、基金收益變動率以及基金規(guī)模)從均值、中位數(shù)、最大值、最小值、標(biāo)準(zhǔn)差、偏度、峰度等方面進(jìn)行描述性統(tǒng)計(jì)分析；最后分別畫出2006年至2013年期間37只基金中每一只基金在30個季度內(nèi)的持股集中度、持股比例、資金周轉(zhuǎn)率、收益變動率以及基金規(guī)模等變量的趨勢曲線圖,觀察各變量隨時間的變動而表現(xiàn)出來的特點(diǎn),并從37只基金中各選取有代表性的四只基金作為重點(diǎn)描述趨勢變化的對象。 接著進(jìn)行實(shí)證研究,運(yùn)用面板數(shù)據(jù)(Panel Data)模型實(shí)證分析持股集中度、持股比例、資金周轉(zhuǎn)率、風(fēng)險(xiǎn)以及基金規(guī)模這五個指標(biāo)在長期市場行情下對基金季度凈值增長率的影響；再根據(jù)2006年至2013年期間我國股市行情“過山車”的特點(diǎn),按照時間將我國股市行情分為三個階段：為股市上升階段、下跌階段以及股市震蕩階段。根據(jù)不同的行情階段,建立相應(yīng)的面板數(shù)據(jù)模型來分別研究在市場不同行情階段中持股集中度、持股比例、資金周轉(zhuǎn)率、風(fēng)險(xiǎn)以及基金規(guī)模的變動對我國開放式股票型基金的凈值增長率的影響。 通過實(shí)證分析得出以下結(jié)論：(1)持股集中度對市場的動向比較敏感,在短期,當(dāng)市場行情上升時,持股集中度成為所有變量中對基金凈值增長率作用最為顯著的變量,對基金業(yè)績的貢獻(xiàn)程度很大；當(dāng)市場行情下跌時,持股集中度卻對基金業(yè)績沒有顯著影響；當(dāng)市場行情震蕩時,持股集中度對基金業(yè)績的影響較大。在長期,持股集中度對基金的凈值增長率有同向的顯著影響。(2)持股比例除了在股市行情震蕩時,對基金凈值增長率的作用不顯著以外,在其他市場行情中,均對基金收益有正向且較為顯著的作用。(3)資金周轉(zhuǎn)率的突出特點(diǎn)是在市場下跌時,對基金凈值增長率作用十分顯著�；鹨�(guī)模除了在下降行情和震蕩行情中呈現(xiàn)對基金凈值增長率的促進(jìn)作用以外,在其他市場上均導(dǎo)致了基金收益的下降。風(fēng)險(xiǎn)在股市下跌時作用為負(fù)向影響,在市場的其他行情和長期市場中則不顯著。 在得出以上結(jié)論的基礎(chǔ)上,提出了相應(yīng)的建議：(1)對于基金投資者而言,在考慮選擇何種基金時,各基金的持股集中度一定是眾多影響基金業(yè)績的因素中需要著重考慮的指標(biāo)。在股市上漲時,選擇持股集中度和持股比例都較高而基金規(guī)模較小的基金可獲得較高的收益；在股市下降時,則適合選擇持股集中度和持股比例低,而資金周轉(zhuǎn)率和基金規(guī)模高的基金；在股市震蕩期,應(yīng)選擇持股集中度、持股比例以及基金規(guī)模高但資金周轉(zhuǎn)率低的基金進(jìn)行投資。在較為長期的市場中,投資者應(yīng)重點(diǎn)關(guān)注持股集中度與持股比例,因?yàn)橄鄬τ谄渌笜?biāo)而言,持股集中度與持股比例對基金的作用最突出。(2)對于基金管理者而言：基金管理者應(yīng)更多關(guān)注市場的運(yùn)行,根據(jù)不同的市場環(huán)境來制定不同的資產(chǎn)配置策略。在短期,當(dāng)股市處于上升趨勢時,持股集中度的變動對基金凈值增長率的變動作用很顯著,基金經(jīng)理應(yīng)采取集中持有股票的策略,采用穩(wěn)健的投資風(fēng)格。當(dāng)股市處于下跌情形的時候,持股集中度和持股比例對基金凈值的影響非常小,反而基金規(guī)模對基金凈值表現(xiàn)非常顯著,基金資金周轉(zhuǎn)率次之,所以,基金管理者應(yīng)改變集中持股的方針,分散投資,同時采取主動的投資策略,保持基金資產(chǎn)達(dá)到一定的規(guī)模,這樣才能最大限度地在股市下跌的情況下減少損失。在股市處于震蕩期時,基金經(jīng)理應(yīng)避免頻繁交易行為,保持較低的基金資金周轉(zhuǎn)率,采取穩(wěn)健的策略。提高重倉股的比例,將基金資產(chǎn)聚集在盈利高且有發(fā)展前景的股票資產(chǎn)上,同時加大基金的規(guī)模。而在長期,建議基金管理者通過集中策略,充分發(fā)掘被低估或具有廣闊前景的股票和行業(yè),擴(kuò)大基金規(guī)模,采取穩(wěn)健的投資風(fēng)格,降低交易頻率。 本文特點(diǎn)在于以下兩個方面： (1)與文獻(xiàn)中采用T-M、H-M等模型研究基金業(yè)績影響因素不同,本文根據(jù)基金業(yè)績歸因理論,使用市場中常用統(tǒng)計(jì)指標(biāo)(持股集中度、持股比例、資金周轉(zhuǎn)率、風(fēng)險(xiǎn)、基金規(guī)模等變量)進(jìn)行探索性建模,來分析基金業(yè)績影響因素,這樣更有利于指導(dǎo)基金投資者和基金管理者的實(shí)際投資行為。 (2)本文除了分析長期的市場行情外,還根據(jù)我國股市的特點(diǎn),分析了短期不同市場行情下(上升行情、下降行情、震蕩行情)基金業(yè)績影響因素的差異,并進(jìn)行歸納總結(jié)和闡述分析,分析比較全面完整。 本文的不足在于： (1)選取的基金數(shù)據(jù)起自2006年,選取了37只開放式股票型基金,由于樣本空間受限,這在一定程度上影響了本文實(shí)證結(jié)論的穩(wěn)健性。 (2)在變量的選取方面,選擇了持股集中度,持股比例,基金資金周轉(zhuǎn)率,風(fēng)險(xiǎn)和基金規(guī)模這五個變量來研究對基金業(yè)績的影響,然而基金經(jīng)理和基金投資者在實(shí)際投資行為中,考慮的因素有可能會更多。
[Abstract]:As of December 31 , 2013 , the number of domestic fund companies in China reached 89 ;
There are 1552 funds in the fund market , of which 1476 are open - ended funds , accounting for 96.01 % of the whole fund share . Such a large - scale asset condition has established the core position of the open - ended fund in China ' s securities market . The development of the fund market , on the one hand , affects the income of the vast majority of investors and the stability of China ' s capital market . Therefore , the study of factors that affect the performance of the fund is of great practical significance .

According to the theory of fund performance attribution , the performance of the fund is mainly due to two main aspects : the ability of stock selection ability and the time - selecting ability , which are the main reasons for fund performance .

Based on the theory of fund performance attribution , this paper selects the shareholding concentration as the indicator of the ability of selecting stocks , and selects the proportion of shares as the indicator of the optional time - time ability , both of which are explanatory variables ;
selecting the growth rate of the fund as an index representing the performance of the fund , wherein the index is an explanatory variable ;
And the three indexes of fund turnover rate , risk and fund scale closely related to it are used as control variables . The purpose of this paper is to study the influence of the changes of shareholding concentration , shareholding ratio and other variables on the growth rate of net worth .

For this reason , this paper mainly divides into three parts to study the influencing factors of fund performance :

Firstly , the paper reviews the basic theories of portfolio theory , capital asset pricing model ( CAPM ) and arbitrage pricing theory ( APT ) , which are the investment portfolio theory ( portfolio theory ) , capital asset pricing model ( CAPM ) and arbitrage pricing theory ( APT ) .
Based on the introduction of fund performance attribution theory , two main lines which affect fund ' s performance are summarized .

secondly , establishing a model : introducing the basis of the selected variable , carrying out qualitative analysis on the influence of each variable on the performance of the fund , and then defining and explaining each variable ;
Finally , the panel data model to be used in the empirical analysis is briefly introduced and the research model is established preliminarily .

III . Empirical section : Select 37 stock - type open - ended funds established by China on December 31 , 2005 as sample funds , select 30 quarters between January 2006 and June 2013 as the research time interval , and analyze the influence of the shareholding concentration , shareholding ratio and fund turnover rate , risk and fund scale on the growth rate of stock - type open - ended funds by means of qualitative analysis and quantitative analysis .

Firstly , descriptive statistics are used to describe the net asset value of the selected 37 funds in 30 quarters from the aspects of mean value , standard deviation , variance , deviation coefficient , peak coefficient , etc .
Then a descriptive statistical analysis is made on the selected variables ( net value growth rate , shareholding concentration , shareholding ratio , fund asset turnover rate , fund yield variation rate and fund scale ) from mean value , median , maximum value , minimum value , standard deviation , deviation degree , peak degree , etc .
Finally , each of 37 funds in the period from 2006 to 2013 is drawn , and each of the 37 funds has a trend graph of shareholding concentration , shareholding ratio , fund turnover rate , yield variation rate and fund scale , etc . The characteristics of each variable over time are observed , and four representative four funds are selected from 37 funds as objects to focus on the trend change .

Then , empirical research is carried out to analyze the impact of the five indexes of shareholding concentration , shareholding ratio , capital turnover rate , risk and fund size on the quarterly net value growth rate of the fund under the long - term market conditions by using Panel Data model .
According to the characteristics of the stock market in China during the period from 2006 to 2013 , the stock market in China is divided into three stages : the rising stage of the stock market , the falling stage and the stage of the stock market oscillation . According to different market conditions , the corresponding panel data model is established to study the influence of the shareholding concentration , the shareholding ratio , the capital turnover rate , the risk and the change of the fund scale on the net value growth rate of the open stock fund in China .

Through the empirical analysis , the following conclusions are drawn : ( 1 ) The shareholding concentration is sensitive to the market dynamics , and in the short - term , when the market price rises , the shareholding concentration becomes the most significant variable of the net value growth rate in all the variables , and the contribution degree to the fund performance is great ;
When the market price falls , the concentration of shares has no significant impact on the performance of the fund ;
There is a significant impact on the fund ' s performance when the market is oscillating . In the long run , the shareholding concentration has a significant impact on the fund ' s net worth growth rate .

On the basis of the conclusion above , the corresponding suggestions are put forward : ( 1 ) For fund investors , the concentration degree of each fund must be the indicator of many factors that affect the performance of the fund . When the stock market goes up , the stock ownership concentration and the proportion of holding the fund are higher and the smaller fund of the fund can get higher returns ;
When the stock market goes down , it is suitable to select the fund with low holding concentration and low holding proportion , and the capital turnover ratio and fund size are high ;
In the short - term , the fund manager should focus on the stock ownership concentration and the proportion of shares , because the fund managers should pay more attention to the operation of the market and adopt a sound investment strategy .

This paper is characterized by the following two aspects :

( 1 ) Based on the theory of fund performance attribution theory , the paper analyzes the influencing factors of fund performance based on the theory of fund performance attribution , and uses common statistical indicators in the market ( such as shareholding concentration , shareholding ratio , fund turnover rate , risk , fund scale and so on ) to analyze the impact factors of fund performance , which is more conducive to guiding the actual investment behavior of fund investors and fund managers .

( 2 ) In addition to the analysis of the long - term market conditions , according to the characteristics of China ' s stock market , this paper analyzes the difference of the influencing factors of the fund ' s performance under the short - term and different market conditions ( rising market , falling market and oscillation ) , and summarizes and elaborates the analysis , and the analysis is complete and complete .

The deficiency of this paper is :

( 1 ) Since 2006 , 37 open - ended stock funds have been selected , which has influenced the robustness of the empirical conclusions in this paper to some extent due to the limited sample space .

( 2 ) With regard to the selection of variables , five variables such as shareholding concentration , shareholding ratio , fund capital turnover rate , risk and fund scale are selected to study the impact on fund performance , however , the factors considered by fund managers and fund investors in actual investment behavior are likely to be more .

【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】：2014
【分類號】：F224;F832.51

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