本文選題：基金業(yè)績(jī) + 風(fēng)險(xiǎn)調(diào)整��； 參考：《上海師范大學(xué)》2017年碩士論文

【摘要】：我國(guó)基金業(yè)自從上世紀(jì)九十年代起步以來(lái),經(jīng)過(guò)二十余年的發(fā)展,無(wú)論是市場(chǎng)份額還是投資者數(shù)量都在不斷壯大。越來(lái)越多的人愿意將資金投入到各類(lèi)證券投資基金中。在選擇具體的基金產(chǎn)品時(shí),收益率是人們首先考慮的因素。對(duì)于基金經(jīng)理來(lái)說(shuō)收益率越高,對(duì)自己就越有利。但是資本市場(chǎng)變幻莫測(cè),較高的收益率有時(shí)往往需要投資者承擔(dān)更大的風(fēng)險(xiǎn)。由于基金經(jīng)理與投資者是委托代理關(guān)系,二者之間存在著信息不對(duì)稱問(wèn)題,投資者對(duì)于代理人的投資決策并不能起到絕對(duì)的影響。在選擇投資組合的風(fēng)險(xiǎn)大小時(shí),基金經(jīng)理考慮的因素不僅僅只有投資者利益,甚至可能會(huì)為了自身利益引發(fā)道德風(fēng)險(xiǎn)問(wèn)題�；谏鲜隹赡苄�,國(guó)內(nèi)外學(xué)者進(jìn)行了一系列研究,但針對(duì)基金經(jīng)理的風(fēng)險(xiǎn)調(diào)整問(wèn)題并未達(dá)成一致意見(jiàn)。本文選取了2005-2015年的股票型開(kāi)放式基金數(shù)據(jù),將基金的相對(duì)業(yè)績(jī)排名和基金經(jīng)理的投資組合風(fēng)險(xiǎn)調(diào)整行為作為研究對(duì)象,運(yùn)用列聯(lián)表分析、回歸分析進(jìn)行實(shí)證檢驗(yàn),研究在我國(guó)的基金市場(chǎng),是否存在基金經(jīng)理為了彌補(bǔ)前期業(yè)績(jī)而提高風(fēng)險(xiǎn)的投資行為,以及在基金的自身及外部影響下,如不同的市場(chǎng)狀況、不同的基金規(guī)模以及不同成立時(shí)間的基金中,這種風(fēng)險(xiǎn)調(diào)整行為是否存在差異。最后結(jié)果表明:(1)從2005年-2015年整體情況來(lái)看,贏家、平家和輸家的風(fēng)險(xiǎn)調(diào)整行為確實(shí)存在顯著差異,表現(xiàn)為風(fēng)險(xiǎn)調(diào)整比率與上期業(yè)績(jī)好壞呈正相關(guān)關(guān)系,也就是說(shuō)前期業(yè)績(jī)好的基金更傾向于高的風(fēng)險(xiǎn)調(diào)整比率。(2)在細(xì)分不同年度的基金表現(xiàn)時(shí),我們發(fā)現(xiàn)基金的風(fēng)險(xiǎn)調(diào)整行為呈現(xiàn)出不同的年度特征。在2008年及2011-2015年不同業(yè)績(jī)的基金的風(fēng)險(xiǎn)調(diào)整行為確實(shí)存在較為顯著的差異,但是其他年份并沒(méi)有較大的不同,特別是在較早的年份。但是隨著時(shí)間推進(jìn),在2011年以后,差異逐漸突出。(3)根據(jù)各個(gè)年份表現(xiàn)出的特征,我們將2005到2015年按照牛市、熊市兩種狀態(tài)劃分,結(jié)果發(fā)現(xiàn)在不同的市場(chǎng)狀態(tài)下贏家、輸家基金的行為各有不同。在牛市狀態(tài)下,輸家大部分會(huì)選擇較高的風(fēng)險(xiǎn)調(diào)整率,熊市則相反。(4)在劃分不同的成立時(shí)間時(shí),管理資產(chǎn)規(guī)模大小及是否更換基金經(jīng)理時(shí),回歸分析與分層列聯(lián)表分析得出的實(shí)證結(jié)果不盡相同,一方面是因?yàn)榱新?lián)表分析與回歸分析本身就存在差異,另一方面也因?yàn)闄z驗(yàn)數(shù)據(jù)部分缺失,造成面板數(shù)據(jù)非平衡。但總體來(lái)看,列聯(lián)表與回歸分析得出的結(jié)論大部分是一致的。因此本文針對(duì)以上分析,提出了幾個(gè)政策建議:從投資者角度來(lái)說(shuō),要加強(qiáng)投資者教育,提升應(yīng)對(duì)風(fēng)險(xiǎn)的能力;從基金經(jīng)理的角度來(lái)說(shuō),要不斷培養(yǎng)提高其擇時(shí)能力,促進(jìn)行業(yè)優(yōu)勝劣汰;最后,從監(jiān)管的角度,要根據(jù)市場(chǎng)狀況及過(guò)往業(yè)績(jī),對(duì)基金經(jīng)理的投資行為進(jìn)行有效管控。
[Abstract]:The fund industry in China has been developing for more than 20 years since it started in the 1990s. Both the market share and the number of investors are growing. More and more people are willing to put their money into all kinds of securities investment funds. In the selection of specific fund products, the rate of return is the first factor to be considered. For fund managers, the higher the rate of return, the better for themselves. But capital markets are volatile, with higher yields sometimes requiring investors to take greater risks. As the relationship between fund manager and investor is principal-agent, there is information asymmetry between them, so investors can not play an absolute influence on the investment decision of agent. When choosing the risk of investment portfolio, fund managers consider not only the interests of investors, but also the moral hazard for their own benefit. Based on the above possibility, scholars at home and abroad have carried out a series of studies, but there is no consensus on the risk adjustment of fund managers. This paper selects the data of equity open-end fund from 2005 to 2015, takes the relative performance ranking of the fund and the portfolio risk adjustment behavior of the fund manager as the research object, carries on the empirical test by using the column table analysis and the regression analysis. This paper studies whether there exists the investment behavior of fund managers to improve their risk in order to make up for early performance in the fund market in China, and under the influence of the fund itself and outside, such as different market conditions. Whether there are differences in the risk adjustment behavior among different fund size and time of establishment. The final result shows that from 2005 to 2015 as a whole, there are significant differences in risk adjustment behavior between winners, Ping Jia and losers, which shows that the risk adjustment ratio has a positive correlation with the performance of the previous period. That is to say, the funds with good performance tend to have higher risk adjustment ratio. (2) when the fund performance is subdivided in different years, we find that the risk adjustment behavior of the fund shows different annual characteristics. In 2008 and 2011-2015, the risk adjustment behavior of different performance funds did exist more significant differences, but there was no significant difference in other years, especially in the earlier years. But over time, after 2011, the difference became more pronounced.) according to the characteristics of each year, we divided 2005 to 2015 by bull market and bear market, and found winners in different market states. The losers' funds are behaving differently. In a bull market, most of the losers choose a higher risk adjustment rate, whereas the bear market, on the contrary, manages the size of the assets and whether to replace the fund manager at different founding times. The empirical results of regression analysis and stratified column table analysis are different, on the one hand, because of the difference between column table analysis and regression analysis, on the other hand, because of the lack of test data, panel data is unbalanced. Overall, however, the results of the list and regression analysis are mostly consistent. Therefore, in view of the above analysis, this paper puts forward several policy suggestions: from the perspective of investors, we should strengthen investor education to enhance the ability to cope with risks, and from the perspective of fund managers, we should constantly develop and improve their timing ability. Promote the survival of the fittest in the industry; finally, from a regulatory point of view, according to market conditions and past performance, the investment behavior of fund managers should be effectively controlled.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類(lèi)號(hào)】：F832.51

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