本文選題：開(kāi)放式基金 + 資產(chǎn)配置　； 參考：《華南理工大學(xué)》2013年碩士論文

【摘要】：伴隨著我國(guó)資本市場(chǎng)的持續(xù)快速發(fā)展，證券投資基金在金融市場(chǎng)中的重要地位日益凸顯，受到個(gè)人投資者和機(jī)構(gòu)投資者越來(lái)越多的青睞，成為投資者主要的投資方向。截止2012年底，其投資額已超過(guò)了股市總流通市值的20%。其中，開(kāi)放式基金自2001年9月在我國(guó)誕生以來(lái)至2011年底，累計(jì)發(fā)行數(shù)量已經(jīng)達(dá)到了800余只，基金管理規(guī)模達(dá)到了2.18萬(wàn)億元，分別占基金總量的70%和80%。如何科學(xué)合理地對(duì)開(kāi)放式基金的業(yè)績(jī)進(jìn)行衡量和評(píng)價(jià)，進(jìn)而為投資者、基金管理者以及監(jiān)管當(dāng)局提供有價(jià)值的參考信息，幫助他們做出恰當(dāng)?shù)耐顿Y和管理決策，不僅是學(xué)術(shù)界持續(xù)爭(zhēng)論的熱點(diǎn)，同時(shí)也具有十分重要的現(xiàn)實(shí)意義。盡管?chē)?guó)內(nèi)外學(xué)者從不同角度提出了許多業(yè)績(jī)?cè)u(píng)價(jià)模型，但站在投資者的角度，基金經(jīng)理的個(gè)人素質(zhì)尤其是波動(dòng)擇時(shí)能力對(duì)基金業(yè)績(jī)具有很大的影響，是業(yè)績(jī)?cè)u(píng)價(jià)的一個(gè)重要方面。其中，波動(dòng)擇時(shí)是指基金經(jīng)理結(jié)合對(duì)未來(lái)市場(chǎng)波動(dòng)的預(yù)測(cè)調(diào)整投資組合的風(fēng)險(xiǎn)水平，從而提高基金投資效用的行為，即在市場(chǎng)波動(dòng)增大的時(shí)候減少風(fēng)險(xiǎn)資產(chǎn)的持有量，在市場(chǎng)波動(dòng)減小時(shí)增加風(fēng)險(xiǎn)資產(chǎn)的持有量。開(kāi)放式基金波動(dòng)擇時(shí)能力的評(píng)價(jià)作為基金業(yè)績(jī)?cè)u(píng)價(jià)體系中的一部分，一方面是對(duì)基金管理公司之間管理水平優(yōu)劣的比較，另一方面也為基金管理公司評(píng)估投資目標(biāo)、總結(jié)經(jīng)驗(yàn)、提高管理水平提供了理論上的支持，能夠從一個(gè)側(cè)面進(jìn)一步求證基金是否發(fā)揮了專(zhuān)家理財(cái)?shù)膬?yōu)勢(shì)，真正表現(xiàn)出了良好的績(jī)效，成為證券市場(chǎng)上穩(wěn)定大盤(pán)的中堅(jiān)力量。 本文將我國(guó)開(kāi)放式基金作為研究樣本，以實(shí)證研究為主，廣泛采用比較分析法，分兩步對(duì)波動(dòng)擇時(shí)能力展開(kāi)研究：首先，本文嘗試在Busse的波動(dòng)擇時(shí)模型中引入了收益擇時(shí)因子，結(jié)合傳統(tǒng)的擇時(shí)能力評(píng)價(jià)模型TM模型以及FF3模型，構(gòu)建FF3-TM-B模型對(duì)基金的波動(dòng)擇時(shí)能力進(jìn)行實(shí)證檢驗(yàn)，在檢驗(yàn)的過(guò)程中，對(duì)比不同模型下不同特征的基金的波動(dòng)擇時(shí)能力的情況。然后，文章將在此基礎(chǔ)上進(jìn)一步研究波動(dòng)擇時(shí)能力與基金業(yè)績(jī)之間的關(guān)系，所采用的方法有相關(guān)分析、自助法檢驗(yàn)以及條件業(yè)績(jī)?cè)u(píng)價(jià)方法，對(duì)研究結(jié)果還將嘗試做出理論上的解釋。 本文的研究結(jié)果顯示，我國(guó)股票市場(chǎng)的條件收益與波動(dòng)之間無(wú)正相關(guān)關(guān)系，為基金進(jìn)行波動(dòng)擇時(shí)提供了條件，同時(shí)，開(kāi)放式基金普遍具備波動(dòng)擇時(shí)能力，其中期限短、規(guī)模小的基金波動(dòng)擇時(shí)能力更強(qiáng)，而投資類(lèi)型和投資風(fēng)格對(duì)波動(dòng)擇時(shí)能力沒(méi)有影響。最后，本文還發(fā)現(xiàn)波動(dòng)擇時(shí)能力與基金業(yè)績(jī)之間有一定的正相關(guān)性，，即波動(dòng)擇時(shí)能力能夠?yàn)榛饚?lái)業(yè)績(jī)上的提升。
[Abstract]:With the continuous and rapid development of the capital market in China, the important position of the securities investment funds in the financial market is becoming increasingly prominent, which has been more and more favored by individual investors and institutional investors, and has become the main investment direction of investors. By the end of 2012, its investment had exceeded the stock market total circulation of 20% of market value. Since the establishment of open-end funds in our country in September 2001 to the end of 2011, the cumulative number of issuance has reached more than 800, and the scale of fund management has reached 2.18 trillion yuan, accounting for 70% and 80% of the total amount of funds, respectively. How to measure and evaluate the performance of open-end funds scientifically and reasonably, and then provide valuable reference information for investors, fund managers and regulatory authorities to help them make appropriate investment and management decisions. It is not only a hot topic in academic circles, but also a very important practical significance. Although scholars at home and abroad have put forward many performance evaluation models from different angles, from the perspective of investors, the personal qualities of fund managers, especially the volatility timing ability, have a great impact on the performance of the fund. It is an important aspect of performance evaluation. Among them, volatility timing refers to the behavior of fund managers adjusting the risk level of the investment portfolio in combination with the forecast of future market volatility, thereby improving the investment utility of the fund, that is, reducing the holding of risky assets when the market volatility increases. Increase the holdings of risky assets when market volatility decreases. As a part of fund performance evaluation system, the evaluation of open-end fund volatility timing ability is to compare the management level among fund management companies, on the other hand, to evaluate investment objectives for fund management companies and sum up their experiences. Improving the management level provides theoretical support, can further verify whether the fund has played the advantage of expert financial management from a side, has shown good performance, and has become the backbone of the stable market in the securities market. In this paper, the open-end funds in China are taken as the research sample, and the empirical research is the main part, and the comparative analysis is widely used to study the volatility timing ability in two steps. Firstly, this paper attempts to introduce the return timing factor into Busse's volatility timing model. Combining with the traditional time-selecting ability evaluation model TM model and FF3 model, we construct FF3-TM-B model to test the volatility timing ability of funds. In the process of testing, we compare the volatility timing ability of funds with different characteristics under different models. Then, the paper will further study the relationship between volatility timing ability and fund performance. The methods used include correlation analysis, self-help test and conditional performance evaluation. A theoretical explanation will also be sought for the results of the study. The results of this paper show that there is no positive correlation between conditional returns and volatility in China's stock market, which provides conditions for funds to carry out volatility timing. At the same time, open-end funds generally have the ability of volatility timing, in which the duration is short. The small funds have stronger volatility timing ability, while the investment type and investment style have no effect on the volatility timing ability. Finally, it is found that there is a positive correlation between the volatility timing ability and the performance of the fund, that is, the volatility timing ability can improve the performance of the fund.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前10條

1 李金林,趙中秋;證券投資基金績(jī)效評(píng)估的模型與方法[J];北京理工大學(xué)學(xué)報(bào);2003年03期

2 劉霞;證券投資基金績(jī)效評(píng)價(jià)方法及實(shí)證分析[J];商業(yè)研究;2004年05期

3 周澤炯,史本山;我國(guó)開(kāi)放式基金選股能力和擇時(shí)能力的實(shí)證研究[J];財(cái)貿(mào)研究;2004年06期

4 劉凱;;中國(guó)開(kāi)放式基金擇時(shí)能力的實(shí)證研究[J];當(dāng)代經(jīng)濟(jì);2009年17期

5 孔愛(ài)國(guó),劉武;基金的市場(chǎng)時(shí)機(jī)選擇檢驗(yàn)──對(duì)基金管理人業(yè)績(jī)的評(píng)價(jià)[J];復(fù)旦學(xué)報(bào)(社會(huì)科學(xué)版);2001年05期

6 夏嘉霖;證券投資基金績(jī)效評(píng)估模型評(píng)析[J];國(guó)際商務(wù)研究;2003年05期

7 牛鴻,詹俊義;中國(guó)證券投資基金市場(chǎng)擇時(shí)能力的非參數(shù)檢驗(yàn)[J];管理世界;2004年10期

8 彭晗;中國(guó)證券投資基金選股能力和擇機(jī)能力的實(shí)證研究[J];貴州財(cái)經(jīng)學(xué)院學(xué)報(bào);2002年04期

9 熊勝君;楊朝軍;;中國(guó)證券投資基金投資風(fēng)格變化原因分析[J];哈爾濱商業(yè)大學(xué)學(xué)報(bào)(自然科學(xué)版);2005年06期

10 吳世農(nóng);李培標(biāo);;中國(guó)投資基金證券選擇和時(shí)機(jī)選擇能力的實(shí)證研究[J];經(jīng)濟(jì)管理;2002年04期

本文編號(hào)：2050526