發(fā)布時(shí)間：2018-01-09 00:26

  本文關(guān)鍵詞：基金業(yè)績(jī)、基金競(jìng)爭(zhēng)與會(huì)計(jì)應(yīng)計(jì)異象　出處：《南京大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 應(yīng)計(jì)異象 股票型基金 基金競(jìng)爭(zhēng) 基金業(yè)績(jī)

【摘要】：應(yīng)計(jì)異象的發(fā)現(xiàn)對(duì)有效市場(chǎng)假說提出了進(jìn)一步的質(zhì)疑和挑戰(zhàn)。已有的研究已經(jīng)證實(shí)應(yīng)計(jì)異象是一個(gè)普遍存在的現(xiàn)象,我國(guó)資本市場(chǎng)上同樣存在應(yīng)計(jì)異象。會(huì)計(jì)應(yīng)計(jì)的產(chǎn)生從根源上講,它是由于權(quán)責(zé)發(fā)生制的運(yùn)用導(dǎo)致的。會(huì)計(jì)信息是投資者判斷股票價(jià)格、制定投資決策的重要信息來源,因此會(huì)計(jì)信息質(zhì)量對(duì)投資者決策有重要影響。會(huì)計(jì)應(yīng)計(jì)作為衡量會(huì)計(jì)盈余質(zhì)量的關(guān)鍵指標(biāo),同樣是衡量會(huì)計(jì)信息質(zhì)量和會(huì)計(jì)信息市場(chǎng)效率的重要指標(biāo)。投資者對(duì)會(huì)計(jì)信息市場(chǎng)效率理解的偏差,導(dǎo)致了對(duì)會(huì)計(jì)應(yīng)計(jì)的錯(cuò)誤定價(jià)；買入會(huì)計(jì)應(yīng)計(jì)低的股票并賣出高會(huì)計(jì)應(yīng)計(jì)的股票是常見的應(yīng)計(jì)套利策略。隨著量化投資技術(shù)的運(yùn)用、投資工具的不斷豐富,基金投資策略不斷豐富和完善�；谑袌�(chǎng)異象的投資策略已成為基金重要的投資標(biāo)準(zhǔn),在國(guó)外發(fā)達(dá)的資本市場(chǎng)上,基金等機(jī)構(gòu)投資者普遍運(yùn)用市場(chǎng)異象策略進(jìn)行交易。我國(guó)基金市場(chǎng)規(guī)模的逐漸增大,投資品種的不斷增加及量化投資技術(shù)的逐漸運(yùn)用,為我們研究基金運(yùn)用應(yīng)計(jì)異象進(jìn)行交易提供了良好的研究素材。此外,基金運(yùn)用類似的市場(chǎng)異象策略時(shí),投資決策更多的是依靠模型的構(gòu)建和數(shù)據(jù)處理分析；投資者往往處于非常相似的位置。因此,類似策略的運(yùn)用往往產(chǎn)生集中交易和極端競(jìng)爭(zhēng)；這種策略導(dǎo)致的集中交易和競(jìng)爭(zhēng)勢(shì)必對(duì)基金業(yè)績(jī)產(chǎn)生影響。在國(guó)內(nèi)已有的研究文獻(xiàn)中,我們還未見到關(guān)于基金利用應(yīng)計(jì)異象構(gòu)造投資策略,并考察基金競(jìng)爭(zhēng)對(duì)基金業(yè)績(jī)影響的研究。本文以我國(guó)基金市場(chǎng)2004年-2013年股票型基金、偏股型基金和平衡成長(zhǎng)型基金及其持股組合的季度數(shù)據(jù)為樣本,首次對(duì)我國(guó)股票型基金運(yùn)用應(yīng)計(jì)異象策略及由策略運(yùn)用導(dǎo)致的競(jìng)爭(zhēng)對(duì)基金業(yè)績(jī)的影響進(jìn)行了實(shí)證研究。本文的數(shù)據(jù)來源是Wind資訊金融終端數(shù)據(jù)庫(kù)和CCER數(shù)據(jù)庫(kù)。本文的主要研究發(fā)現(xiàn)有三個(gè)。首先,從基金樣本整體來看,應(yīng)計(jì)異象策略并不是國(guó)內(nèi)股票型基金等主動(dòng)管理型基金普遍運(yùn)用的一種投資策略；只有部分基金采用應(yīng)計(jì)異象進(jìn)行交易；并且應(yīng)計(jì)異象策略不具有顯著的獲利能力。從我們的研究結(jié)果可以看到,基金在各會(huì)計(jì)應(yīng)計(jì)組的持股權(quán)重并沒有明顯的差異；低會(huì)計(jì)應(yīng)計(jì)組(D1)基金并沒有比INACTIVE組基金獲得顯著的高收益。其次,我們還發(fā)現(xiàn)策略帶來的基金競(jìng)爭(zhēng)影響基金的業(yè)績(jī)表現(xiàn)。在積極利用應(yīng)計(jì)異象策略交易的基金中,基金業(yè)績(jī)與策略帶來的競(jìng)爭(zhēng)呈現(xiàn)負(fù)相關(guān)關(guān)系。在所有的SIM4分組中,低競(jìng)爭(zhēng)組(C1)基金持股組合權(quán)重顯著高于高競(jìng)爭(zhēng)組基金的持股組合權(quán)重。另外,我們發(fā)現(xiàn)在最低SIM4組中的低競(jìng)爭(zhēng)組(C1)基金積極利用應(yīng)計(jì)異象策略,獲得比高競(jìng)爭(zhēng)組(C3)高的收益,這表明存在基金利用應(yīng)計(jì)異象策略獲利。最后,我們的研究發(fā)現(xiàn),低會(huì)計(jì)應(yīng)計(jì)組(D1)和運(yùn)用應(yīng)計(jì)異象策略的低競(jìng)爭(zhēng)組(C1)的基金具有資產(chǎn)規(guī)模小,收益波動(dòng)性高的特征。這可能是基金沒有普遍運(yùn)用應(yīng)計(jì)策略的原因之一。本文的研究將基金投資和會(huì)計(jì)應(yīng)計(jì)異象結(jié)合在一起,拓展了會(huì)計(jì)應(yīng)計(jì)的研究范圍,豐富了資本市場(chǎng)效率和資本市場(chǎng)定價(jià)的研究。同時(shí),通過檢驗(yàn)基金對(duì)應(yīng)計(jì)異象的運(yùn)用性及基金競(jìng)爭(zhēng)對(duì)基金業(yè)績(jī)的影響,也為基金管理者的決策提供了理論支持和參考,因此本文的研究結(jié)論對(duì)今后的理論研究和實(shí)踐活動(dòng)都具有一定的指導(dǎo)意義。
[Abstract]:We should find meter vision for the efficient market hypothesis questions and challenges further. Previous research has confirmed that the accrual anomaly is a common phenomenon, the accrual anomaly also exists in China's capital market. The accounting accrual from the essence, it is the result of using the accrual basis the accounting information is the judgment of investors. The stock price, an important source of information to make investment decisions, so the quality of accounting information has an important impact on the decision-making of investors. Accounting as a key indicator to measure the quality of accounting earnings, is also an important indicator to measure the quality of accounting information and accounting information market efficiency. The deviation of accounting information investors understand the market efficiency that leads to the wrong pricing of accounting accrual accruals; buy low and sell high stock accrual stocks are common accrued with arbitrage strategies. The use of quantitative investment technology, investment tools continue to enrich, enrich and perfect the investment strategy of the fund. The investment market anomalies strategy has become an important investment fund based on the standard, developed in the foreign capital market, funds and other institutional investors generally use the market vision trading strategy. Increasing the scale of China's fund market. By gradually increasing investment and quantitative investment technology, accrual anomaly trading provides good research material for us to study the use of the funds. In addition, the use of fund market anomalies similar strategy, investment decision depends more on the establishment of the model and the data processing and analysis; investors often in very similar position. Therefore using a similar strategy, tend to produce concentrated trading and extreme competition; this strategy leads to the concentrated trade and competition is bound to the performance of the fund Impact. In the review, we haven't seen on the fund using the accrual anomaly structure of investment strategy, and to investigate the fund competition impact on fund performance. In 2004 the fund market of China -2013 stock fund quarterly data, partial stock funds and balanced growth fund and stock portfolio as a sample, for the first time China's stock fund use accrual anomaly strategy and influence by strategies lead to competition on fund performance by empirical research. The data source is Wind financial terminal information database and CCER database. The main findings of this paper are three. First of all, the funds from the sample as a whole, should be a kind of investment strategy using vision strategy is not the domestic stock funds and actively managed funds; only part of the fund by the accrual anomaly and transactions; The accrual anomaly strategy has no significant profitability. From our results can be seen, and no significant difference in weight holding accrued in each group fund accounting; low accruals group (D1) the fund did not get high yields significantly more than INACTIVE group fund. Secondly, we also found that the strategy the fund competition influences the performance of the fund. In the active use of the accrual anomaly Trading Strategy Fund, fund performance and competitive strategy has negatively correlated. In SIM4 group all in low group competition (C1) fund portfolio weights significantly higher than the combined weight competition group shareholding fund. In addition, we found that the low group competition at the lowest in the SIM4 group (C1) fund to actively use the accrual anomaly strategy, obtain high competition group (C3) high returns, which indicates the existence of fund use accrual anomaly strategy profit. Finally, we study Found that the low accruals group (D1) and using the low competition group vision strategy (C1) with the fund asset size is small, the characteristics of high return volatility. This fund may not generally use one of the reasons for the accrual strategy. This study will fund investment and accounting accrual anomaly combination together, expand the scope of accounting accruals, enrich the research on the efficiency of capital market and capital market pricing. At the same time, through the examination of the fund accrual anomaly and use fund competition on fund performance, but also provide theoretical support and reference for the fund managers' decision-making, therefore the conclusions of this study are some guiding significance for theory research and practice in the future.

【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F830.42

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 閆作遠(yuǎn);陳超;;基金經(jīng)理選股及擇時(shí)能力研究——來自中國(guó)開放式基金市場(chǎng)的新證據(jù)[J];當(dāng)代財(cái)經(jīng);2008年10期

，

本文編號(hào)：1399309