本文關(guān)鍵詞：我國社會責(zé)任投資基金績效和風(fēng)險(xiǎn)的實(shí)證研究　出處：《廣西大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

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【摘要】：社會責(zé)任投資基金(Socially Responsible Investment Fund),是基于社會責(zé)任理念的一種新型的投資產(chǎn)品,它是一類較為特殊的證券投資基金,與傳統(tǒng)基金相比,社會責(zé)任基金投資者在進(jìn)行投資決策時(shí),不僅考慮傳統(tǒng)的財(cái)務(wù)績效,同時(shí)也要考慮該投資將給社會、環(huán)境等方面帶來的積極或消極的影響。歐美等西方國家的社會責(zé)任基金起源于上世紀(jì)60年代的美國,時(shí)值美國越戰(zhàn)時(shí)期,國內(nèi)反戰(zhàn)情緒高漲,在金融市場上表現(xiàn)為拒絕給與越戰(zhàn)相關(guān)的企業(yè)投資,之后投資者開始關(guān)注投資對象中的社會責(zé)任、道德和環(huán)境方面的問題,良好履行社會責(zé)任的企業(yè),會得到更多的投資者的支持。社會責(zé)任基金已成為歐美等西方發(fā)達(dá)國家等主流投資的一個(gè)重要部分。社會責(zé)任基金通過篩選策略、股東主張及社區(qū)投資等投資方式,對符合社會責(zé)任投資標(biāo)準(zhǔn)的投資對象進(jìn)行投資。作為一種全新的投資方式,社會責(zé)任基金在追求投資者經(jīng)濟(jì)收益最大化的同時(shí),還兼顧社會和環(huán)境的收益,從而促使經(jīng)濟(jì)、社會、環(huán)境三者之間形成互補(bǔ)、并存的關(guān)系。而國內(nèi),雖然經(jīng)濟(jì)在過去的幾十年中獲得了舉世矚目的高速增長,但是經(jīng)濟(jì)的粗放式發(fā)展在一定程度上造成了資源浪費(fèi),能源消耗嚴(yán)重,脆弱的自然資源和生態(tài)環(huán)境已經(jīng)威脅到經(jīng)濟(jì)的可持續(xù)發(fā)展。因此,在金融市場上引入可以獲得三重收益的社會責(zé)任基金,對于調(diào)整投資的結(jié)構(gòu),重構(gòu)市場主體的目標(biāo)有著重要作用。目前,社會責(zé)任投資基金在國內(nèi)還處于起步階段,投資規(guī)模不大,基金數(shù)量也不多。國內(nèi)學(xué)者們對這種投資多數(shù)停留在對社會責(zé)任基金的介紹上,對該類基金的績效和風(fēng)險(xiǎn)缺乏實(shí)證上的研究。本文從分析基金進(jìn)行社會責(zé)任投資的理論基礎(chǔ)入手,梳理了國內(nèi)外學(xué)者們對社會責(zé)任基金績效和風(fēng)險(xiǎn)研究文獻(xiàn),總結(jié)了國內(nèi)外社會責(zé)任基金的發(fā)展情況和目前國內(nèi)社會責(zé)任基金發(fā)展存在的問題。本文主要從實(shí)證上研究國內(nèi)社會責(zé)任基金的績效和風(fēng)險(xiǎn)。從國內(nèi)目前的社會責(zé)任基金中選取了6只股票型基金,然后選擇6只設(shè)立時(shí)間相近、投資規(guī)模相似的傳統(tǒng)基金,在基金績效評價(jià)理論和基金風(fēng)險(xiǎn)測量理論的基礎(chǔ)上,通過三因素模型,計(jì)算每只基金的夏普指數(shù),特雷諾指數(shù),詹森指數(shù)及風(fēng)險(xiǎn)等。根據(jù)實(shí)證結(jié)果,可以認(rèn)為社會責(zé)任基金與傳統(tǒng)基金的績效和風(fēng)險(xiǎn)并不優(yōu)于傳統(tǒng)基金,但是這種差異并不明顯。最后,在實(shí)證結(jié)果的基礎(chǔ)上,對國內(nèi)發(fā)展社會責(zé)任基金的提出政策建議。
[Abstract]:The socially responsible Responsible Investment fund is a new type of investment product based on the concept of social responsibility. It is a special kind of securities investment funds. Compared with traditional funds, social responsibility fund investors not only consider the traditional financial performance, but also consider that the investment will be given to the society. Europe and the United States and other Western countries' social responsibility funds originated in the United States in -40s, when the United States during the Vietnam War, the domestic anti-war sentiment is high. In the financial market, investors began to pay attention to the social responsibility, moral and environmental problems in the investment object, and good performance of the corporate social responsibility. Social responsibility funds have become an important part of mainstream investment in western developed countries such as Europe and the United States. Shareholders advocate and community investment and other investment methods to meet the investment standards of social responsibility to invest in the object of investment. As a new way of investment. The social responsibility fund not only pursues the maximization of investors' economic benefits, but also takes into account the social and environmental benefits, thus promoting the complementary and coexisting relationship among economy, society and environment. Although the economy in the past several decades has achieved rapid growth, but the extensive development of the economy to a certain extent caused a waste of resources, energy consumption is serious. The fragile natural resources and ecological environment have threatened the sustainable development of the economy. Therefore, the introduction of the social responsibility fund, which can obtain triple income in the financial market, will adjust the structure of the investment. At present, the social responsibility investment fund is still in the initial stage in China, and the scale of investment is not large. The number of funds is also small. Most of the domestic scholars on this investment stay on the introduction of social responsibility funds. This paper starts with the theoretical basis of social responsibility investment, combing the domestic and foreign scholars on the social responsibility fund performance and risk research literature. This paper summarizes the development of the social responsibility fund at home and abroad and the problems existing in the development of the domestic social responsibility fund. This paper mainly studies the performance and risk of the domestic social responsibility fund from the empirical point of view. In Ren fund, 6 stock funds were selected. Then six traditional funds with similar time and similar investment scale are selected. Based on the performance evaluation theory and risk measurement theory, the Sharpe index of each fund is calculated through a three-factor model. Based on the empirical results, we can conclude that the performance and risk of social responsibility fund and traditional fund are not better than that of traditional fund, but the difference is not obvious. Finally. On the basis of the empirical results, this paper puts forward policy recommendations for the development of social responsibility funds in China.
【學(xué)位授予單位】：廣西大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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