本文選題：主權(quán)財(cái)富基金 + 投資收益��； 參考：《昆明理工大學(xué)》2013年碩士論文

【摘要】：作為重要的投資載體,主權(quán)財(cái)富基金在國(guó)際金融市場(chǎng)已成為最有影響力的投資者之一,其增長(zhǎng)十分迅速,規(guī)模越來越大,因此被國(guó)內(nèi)外廣大學(xué)者所廣泛關(guān)注。截至2013年3月,中國(guó)外匯儲(chǔ)備余額已經(jīng)達(dá)到3.44萬(wàn)億美元。近年我國(guó)外匯儲(chǔ)備迅速增長(zhǎng)引發(fā)了諸多問題,包括人民幣升值,外匯儲(chǔ)備貶值,以及國(guó)內(nèi)貨幣超發(fā)等。同時(shí)在外圍國(guó)際市場(chǎng)的波動(dòng)加劇、不確定性增強(qiáng)的背景下,使得成立時(shí)間較短、經(jīng)驗(yàn)較少的我國(guó)主權(quán)財(cái)富基金——中投公司,面臨著較大的挑戰(zhàn)。為此,研究全球主權(quán)財(cái)富基金投資收益的影響因素,有助于我們識(shí)別投資價(jià)值,為我國(guó)主權(quán)財(cái)富基金投資提供借鑒和參考,進(jìn)而提高我國(guó)主權(quán)財(cái)富基金的投資收益和使用效率。 本論文首先基于文獻(xiàn)梳理和全球財(cái)富基金的發(fā)展現(xiàn)狀分析,從主權(quán)財(cái)富基金自身因素、投資策略、全球經(jīng)濟(jì)環(huán)境三個(gè)角度,提出影響主權(quán)財(cái)富基金投資收益的因素。接著在以上分析的基礎(chǔ)上進(jìn)行兩個(gè)方面的實(shí)證研究,一方面是以全球20家主要主權(quán)財(cái)富基金的年度數(shù)據(jù)為研究對(duì)象,進(jìn)行面板數(shù)據(jù)的回歸分析；另一方面是把智利社會(huì)經(jīng)濟(jì)穩(wěn)定基金作為典型案例,以其12個(gè)月月度數(shù)據(jù)進(jìn)行分位數(shù)回歸分析,得出以下結(jié)論。第一,投資發(fā)達(dá)市場(chǎng)的比例越大,SWFs基金收益率表現(xiàn)越不好,說明發(fā)達(dá)市場(chǎng)的發(fā)展和投資潛力有限,市場(chǎng)是十分完全的,反而不如在新興市場(chǎng)里的收益空間更大。第二,SWFs投資規(guī)模越大,SWFs基金收益率表現(xiàn)越好,說明SWFs具有規(guī)模報(bào)酬遞增的效應(yīng),這可能是由于專業(yè)化、精細(xì)化促進(jìn)作用的。第三,信息披露越多的基金,收益表現(xiàn)越不好,說明信息披露越多,給市場(chǎng)投機(jī)者利用和挖掘的空間越大,好的投資策略可能在國(guó)際市場(chǎng)套利面前,也將獲利甚微。第四,在控制了宏觀經(jīng)濟(jì)變量后,全球綜合債券指數(shù)和MSCI的全球股票價(jià)格指數(shù)對(duì)SWFs基金收益率有著顯著的正向作用,說明市場(chǎng)環(huán)境是影響投資收益的主要因素,并且債券市場(chǎng)和股市市場(chǎng)的表現(xiàn)對(duì)SWFs基金收益率息息相關(guān),這是由于SWFs的資產(chǎn)投資去向相當(dāng)大的部分是投資于股票與債券市場(chǎng)的。第五,隨著基金收益率逐漸提高的發(fā)展過程,以基金市場(chǎng)價(jià)值增長(zhǎng)率為代表基金規(guī)模對(duì)基金收益增長(zhǎng)率的促進(jìn)作用先變大后變小。 基于以上提出的影響主權(quán)財(cái)富基金投資收益因素的研究,本文最后提出了我國(guó)主權(quán)財(cái)富基金對(duì)外投資的對(duì)策與啟示。我國(guó)主權(quán)財(cái)富基金要在合適的范圍內(nèi)選擇合理的透明度,以和他國(guó)建立相互信任的合作聯(lián)盟為手段,加快多元化的投資進(jìn)程,并且應(yīng)當(dāng)積極參與新興市場(chǎng)的投資,從而最終實(shí)現(xiàn)主權(quán)財(cái)富基金的投資效益增長(zhǎng),藉此以更好地融入國(guó)際游戲規(guī)則中為我國(guó)主權(quán)財(cái)富基金對(duì)外投資戰(zhàn)略服務(wù)。
[Abstract]:As an important investment carrier, sovereign wealth fund has become one of the most influential investors in the international financial market. As of March 2013, the balance of China's foreign exchange reserves had reached $3.44 trillion. In recent years, the rapid growth of China's foreign exchange reserves has caused many problems, including the appreciation of the RMB, the depreciation of foreign exchange reserves, and the over-issuance of domestic currencies. At the same time, under the background of increasing volatility and uncertainty in the peripheral international market, China Investment Corporation (CIC), which has a short time and less experience, is facing a great challenge. Therefore, it is helpful for us to identify the investment value of the global sovereign wealth fund, to provide reference and reference for our country's sovereign wealth fund investment, and to improve the investment income and utilization efficiency of our country's sovereign wealth fund. Based on the literature review and the analysis of the current situation of global wealth funds, this paper puts forward the factors that affect the investment returns of sovereign wealth funds from the perspectives of sovereign wealth funds' own factors, investment strategies and the global economic environment. On the basis of the above analysis, two aspects of empirical research are carried out. On the one hand, the annual data of 20 major sovereign wealth funds in the world are taken as the research object, and the panel data regression analysis is carried out. On the other hand, taking the Chilean Social and Economic Stability Fund as a typical case, the following conclusions can be drawn by using the monthly data of 12 months for quantile regression analysis. First, the greater the proportion of SWFs in developed markets, the worse the return rate of SWFs funds is, which indicates that the developed markets have limited development and investment potential, and the market is very complete, but it is not as good as the return space in emerging markets. Secondly, the larger the investment scale of SWFs is, the better the return rate of SWFs is, which indicates that SWFs have the effect of increasing returns of scale, which may be due to specialization and refinement. Third, the more information disclosure funds, the worse the income performance, indicating that the more information disclosure, the greater the space for market speculators to use and explore, good investment strategy may be in front of the international market arbitrage, and will make little profit. Fourth, after controlling for macroeconomic variables, the global composite bond index and MSCI's global stock price index have a significant positive effect on SWFs fund returns, indicating that the market environment is the main factor affecting investment returns. And the performance of the bond market and the stock market is closely related to the return of SWFs funds, which is due to the fact that a large part of SWFs' assets are invested in the stock and bond markets. Fifthly, along with the development process of increasing the fund return rate, the fund market value growth rate is taken as the representative of the fund scale to promote the fund income growth rate. Based on the above research on the factors affecting the investment returns of SWFs, this paper finally puts forward the countermeasures and revelations of SWFs' investment abroad in China. Our sovereign wealth fund should choose reasonable transparency within the appropriate scope, speed up the process of diversified investment by establishing a cooperative alliance of mutual trust with other countries, and should actively participate in investment in emerging markets. Finally, the investment benefit of the sovereign wealth fund will be increased, so as to better integrate into the international rules of the game and serve the foreign investment strategy of our country's sovereign wealth fund.
【學(xué)位授予單位】：昆明理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F831.51;F832.51

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