本文選題：基金持股比例變動 + 股票收益率��； 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：公募基金作為我國重要的機構(gòu)投資者,基金經(jīng)理持股結(jié)構(gòu)信息受到廣大個人投資者的關(guān)注,基金經(jīng)理具備投資的專業(yè)技能以及信息優(yōu)勢,選股能力較強,個人投資者希望通過參考基金經(jīng)理的持股信息來改善自己的投資業(yè)績。而這種方式是否有效取決于基金重倉持有的股票在下一期是否有較高的收益率,于是本文運用2011年第一季度至2013年第三季度的非平衡面板數(shù)據(jù),采用固定效應(yīng)模型,實證分析了基金持股比例變動對股票收益率的影響。以往研究基金持股和股票收益率關(guān)系的文獻中,大多采用簡單的橫截面回歸模型,實證檢驗基金持股比例及其變動對股票收益率的影響,而本文的創(chuàng)新點在于解釋變量不只有基金持股比例變動這一個變量,還同時選取了代表信息傳遞和羊群行為的持股基金數(shù)目變動這一變量作為解釋變量,文章的另一個重要的創(chuàng)新點是不僅對總樣本進行了分析,還對主板、中小板、創(chuàng)業(yè)板分樣本進行了實證分析,并做了板塊之間差異的比較。通過對面板數(shù)據(jù)的固定效應(yīng)分析,本文得到如下實證結(jié)論：從基于總樣本的實證分析結(jié)果來看,基金持股比例變動與股票當期以及下一期的收益率均呈正向相關(guān)關(guān)系。如果同時考察基金持股比例變動和持股基金數(shù)目對股票下一期收益率的影響時,基金持股比例變動對股票下一期收益率的影響變小了,這說明明星基金經(jīng)理持股信息在其他基金及個人投資者傳遞并引發(fā)的羊群行為放大了明星基金經(jīng)理的選股能力。從主板、中小板、創(chuàng)業(yè)板分樣本的實證分析結(jié)果來看,持股基金數(shù)目變動對股票下一期收益率的影響在主板、中小板、創(chuàng)業(yè)板中存在顯著的板塊差異,其中創(chuàng)業(yè)板中的影響系數(shù)最大,中小板次之,主板最小�；鸪止杀壤儎訉善毕乱黄谑找媛实挠绊懺谥靼�、中小板、創(chuàng)業(yè)板中也存在顯著的板塊差異,其中創(chuàng)業(yè)板中的影響系數(shù)最小,中小板次之,主板最大。
[Abstract]:As an important institutional investor in China, the information of fund manager holding structure has been concerned by the majority of individual investors. Fund managers have the professional skills and information advantages of investment, and have a strong ability to select stocks.Individual investors hope to improve their investment performance by referring to fund managers' shareholding information.Whether this approach is effective or not depends on whether the stocks held by the fund have a higher yield in the next period, so this paper uses the non-equilibrium panel data from the first quarter of 2011 to the third quarter of 2013, and adopts the fixed effect model.The paper empirically analyzes the influence of the change of the fund shareholding ratio on the stock return.In the previous literatures on the relationship between fund shareholding and stock return, a simple cross-section regression model was used to empirically test the effect of fund shareholding ratio and its change on stock yield.The innovation of this paper is that the explanatory variable is not only the variable of fund shareholding ratio, but also the variable of the number of shareholding funds which represents information transmission and herd behavior as the explanatory variable.Another important innovation of this paper is not only the analysis of the total sample, but also the empirical analysis of the main board, the small and medium-sized board, and the gem sample, and the comparison of the differences between the plates.Through the fixed effect analysis of panel data, this paper draws the following empirical conclusions: from the empirical analysis results based on the total sample, the change of fund shareholding ratio is positively correlated with the current and the next stock returns.If we examine the influence of the change of fund shareholding ratio and the number of shareholding funds on the next stock yield at the same time, the effect of the change of fund shareholding ratio on the next stock yield is reduced.This indicates that the herding behavior transmitted by star fund managers in other funds and individual investors magnifies the ability of star fund managers to choose stocks.From the empirical analysis of the main board, the small and medium-sized board, and the gem, we can see that there are significant plate differences among the main board, the small and medium-sized board, and the growth enterprise board, and the effect of the change of the number of the shareholding funds on the stock yield in the next period.Among them, the influence coefficient of gem is the biggest, the small board is the second, and the main board is the smallest.There are significant differences among main board, small board and growth enterprise board, among which the influence coefficient of growth enterprise board is the least, small and medium-sized board is the second, and main board is the biggest.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

【相似文獻】

相關(guān)期刊論文 前10條

1 武東;張青;湯銀才;;基于穩(wěn)定分布的股票收益率的特征分析[J];統(tǒng)計與決策;2006年19期

2 劉忠江;;股票收益率與通貨膨脹率關(guān)系——對中國1992-2007年的實證研究[J];求索;2008年03期

3 楊小燕;王建穩(wěn);;股票收益率的行業(yè)效應(yīng)分析[J];北方工業(yè)大學(xué)學(xué)報;2008年03期

4 黃雯霞;劉曉棟;;我國股票收益率與通貨膨脹率相關(guān)性研究[J];東方企業(yè)文化;2011年04期

5 王璐;胡曉麗;;股票收益率與通貨膨脹率之謎:1992-2011[J];統(tǒng)計與管理;2012年05期

6 周蓮子;;通貨膨脹與股票收益率關(guān)系及流動性過度釋放的“效應(yīng)分解”——基于中國1996-2012年的實證研究[J];金融經(jīng)濟;2012年22期

7 趙祥功 ,陳文杰 ,張小蒂;公司規(guī)模對股票收益率的影響分析[J];浙江金融;2002年04期

8 陳俊芳,劉鳳元,王志明;鋁業(yè)上市公司股票收益率模型及投資價值分析[J];技術(shù)經(jīng)濟與管理研究;2003年06期

9 甘霖敏,楊p，

本文編號：1767123