本文關(guān)鍵詞： 股票型開(kāi)放式基金 特質(zhì)風(fēng)險(xiǎn) 超額收益 CAPM模型 Fama-French三因子模型　出處：《南京理工大學(xué)》2014年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：經(jīng)典的資產(chǎn)定價(jià)理論對(duì)于風(fēng)險(xiǎn)和收益關(guān)系的一個(gè)觀點(diǎn)是,投資者可以將不同資產(chǎn)組合起來(lái),通過(guò)多元化投資來(lái)有效分散特質(zhì)風(fēng)險(xiǎn),因而只有承擔(dān)系統(tǒng)風(fēng)險(xiǎn)才需要獲得收益補(bǔ)償,承擔(dān)特質(zhì)風(fēng)險(xiǎn)不應(yīng)獲得風(fēng)險(xiǎn)回報(bào)。而在現(xiàn)實(shí)生活中,由于股票市場(chǎng)并非完全有效,投資者會(huì)因?yàn)樾畔⒉煌耆�、�?zhuān)業(yè)知識(shí)與經(jīng)驗(yàn)不充分、資金量不足等原因,無(wú)法通過(guò)構(gòu)建投資組合來(lái)完全分散特質(zhì)風(fēng)險(xiǎn)。另外,越來(lái)越多的研究表明,股票市場(chǎng)存在“風(fēng)險(xiǎn)-收益悖論”,特質(zhì)風(fēng)險(xiǎn)與預(yù)期收益存在著負(fù)相關(guān)關(guān)系,這與傳統(tǒng)的資本資產(chǎn)定價(jià)理論相悖。目前中外文獻(xiàn)對(duì)于特質(zhì)風(fēng)險(xiǎn)的研究主要集中于股票市場(chǎng),而對(duì)于基金收益的研究主要集中于基金績(jī)效評(píng)估、績(jī)效持續(xù)性及基金收益率影響因素等,但是對(duì)于基金特質(zhì)風(fēng)險(xiǎn)與超額收益關(guān)系的實(shí)證研究并不多。因此,研究我國(guó)證券投資基金特質(zhì)風(fēng)險(xiǎn)對(duì)超額收益有什么影響,是否與傳統(tǒng)資本資產(chǎn)定價(jià)理論相一致,就顯得極其迫切。 本文選取了2003年1月1日至2012年12月31日中國(guó)股票型開(kāi)放式基金的月數(shù)據(jù),分別用CAPM模型和Fama-French三因子模型度量開(kāi)放式基金的特質(zhì)風(fēng)險(xiǎn),利用投資組合分析法和Fama-Macbeth橫截面回歸分析法,實(shí)證研究了基金特質(zhì)風(fēng)險(xiǎn)對(duì)超額收益的影響。研究發(fā)現(xiàn)我國(guó)股票型開(kāi)放式基金的特質(zhì)風(fēng)險(xiǎn)和超額收益顯著負(fù)相關(guān),在控制基金規(guī)模、基金費(fèi)用、基金年齡等基金特征變量后,這種負(fù)相關(guān)關(guān)系仍然顯著。此外,基金規(guī)模與超額收益正相關(guān),基金費(fèi)用與超額收益負(fù)相關(guān),基金年齡與超額收益存在一定的正相關(guān)關(guān)系,但是相關(guān)性并不十分顯著。
[Abstract]:One view of the classical asset pricing theory on the relationship between risk and return is that investors can combine different assets together and diversify their investments to effectively disperse the idiosyncratic risk. In real life, because the stock market is not completely effective, investors will be due to incomplete information, inadequate professional knowledge and experience, insufficient capital, and so on. In addition, more and more studies show that there is a "risk-return paradox" in the stock market, and there is a negative correlation between trait risk and expected return. This is contrary to the traditional capital asset pricing theory. At present, Chinese and foreign literatures mainly focus on the research of characteristic risk in the stock market, while the research on fund returns mainly focuses on fund performance evaluation. However, there are few empirical studies on the relationship between fund trait risk and excess return. Whether or not it is consistent with the traditional capital asset pricing theory is extremely urgent. This paper selects the monthly data of Chinese open-end funds from January 1st 2003 to December 31st 2012, and uses CAPM model and Fama-French three-factor model to measure the special risk of open-end funds. By using portfolio analysis and Fama-Macbeth cross section regression analysis, this paper empirically studies the influence of fund trait risk on excess return, and finds that there is a significant negative correlation between trait risk and excess return of equity open-end fund in China. After controlling the fund size, fund cost, fund age and other fund characteristic variables, the negative correlation is still significant. In addition, the fund size is positively correlated with the excess return, and the fund cost is negatively correlated with the excess return. There is a positive correlation between fund age and excess return, but the correlation is not very significant.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類(lèi)號(hào)】：F832.51

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