本文關(guān)鍵詞：中國(guó)社會(huì)責(zé)任投資基金業(yè)績(jī)及其與資金流量關(guān)系研究　出處：《南京農(nóng)業(yè)大學(xué)》2016年博士論文　論文類(lèi)型：學(xué)位論文

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【摘要】：近年來(lái),中國(guó)在產(chǎn)業(yè)結(jié)構(gòu)轉(zhuǎn)型的背景下進(jìn)入了經(jīng)濟(jì)新常態(tài),產(chǎn)業(yè)轉(zhuǎn)移帶來(lái)結(jié)構(gòu)性減速,依賴(lài)于自然資源和人口紅利的經(jīng)濟(jì)發(fā)展模式無(wú)法持續(xù),一系列ESG問(wèn)題的產(chǎn)生導(dǎo)致經(jīng)濟(jì)發(fā)展與社會(huì)環(huán)境之間的矛盾日趨嚴(yán)重。社會(huì)責(zé)任投資基金作為一種金融投資理念與社會(huì)責(zé)任理念經(jīng)過(guò)長(zhǎng)期實(shí)踐磨形成的新型投資方式,為解決中國(guó)經(jīng)濟(jì)發(fā)展與社會(huì)環(huán)境之間的矛盾提供了切實(shí)有效的新思路,通過(guò)在資本市場(chǎng)的投資行為,逐步引導(dǎo)和改善原來(lái)不均衡的資源配置,讓更多的資本流向愿意履行社會(huì)責(zé)任的企業(yè),從而完成“社會(huì)責(zé)任理念的投資→社會(huì)責(zé)任理念的企業(yè)→和諧社會(huì)”的社會(huì)價(jià)值傳遞,從資本運(yùn)作這一根本層面為中國(guó)經(jīng)濟(jì)發(fā)展轉(zhuǎn)型,實(shí)現(xiàn)可持續(xù)發(fā)展模式注入了新的推動(dòng)力。然而,中國(guó)社會(huì)責(zé)任投資基金市場(chǎng)的發(fā)展正面臨困境。社會(huì)責(zé)任投資基金市場(chǎng)發(fā)展在中國(guó)資本市場(chǎng)起步較晚,基金規(guī)模增長(zhǎng)較為緩慢,并且后期呈現(xiàn)下跌趨勢(shì),致使基金管理公司失去設(shè)立更多社會(huì)責(zé)任投資基金的激勵(lì),導(dǎo)致基金數(shù)量增長(zhǎng)緩慢,不管是與美國(guó)社會(huì)責(zé)任投資基金市場(chǎng)的發(fā)展相比,還是與中國(guó)開(kāi)放式投資基金市場(chǎng)比較,我國(guó)社會(huì)責(zé)任投資基金市場(chǎng)發(fā)展均較為滯后,并且陷入了發(fā)展困境�；鹗袌�(chǎng)規(guī)模增長(zhǎng)本質(zhì)上取決于資金流量這一因素,若投資者選擇申購(gòu)基金份額,則資金流量表現(xiàn)為凈流入,基金市場(chǎng)規(guī)模增加,反之則資金流量表現(xiàn)為凈流出,基金市場(chǎng)規(guī)模減小,社會(huì)責(zé)任投資基金市場(chǎng)同樣如此。標(biāo)準(zhǔn)金融理論認(rèn)為,在理想的、無(wú)摩擦的市場(chǎng)條件下,理性的投資者會(huì)根據(jù)基金歷史業(yè)績(jī)做投資決策,他們會(huì)申購(gòu)或繼續(xù)持有業(yè)績(jī)表現(xiàn)好的基金,贖回業(yè)績(jī)表現(xiàn)差的基金,資金流量主要取決于基金的歷史業(yè)績(jī),但是社會(huì)責(zé)任投資基金的投資和社會(huì)的雙重屬性決定了其業(yè)績(jī)與資金流量關(guān)系有別于傳統(tǒng)基金。因此,文章圍繞社會(huì)責(zé)任投資基金業(yè)績(jī)表現(xiàn)和業(yè)績(jī)資金流量關(guān)系進(jìn)行深入探討,試圖找出社會(huì)責(zé)任投資基金市場(chǎng)陷入發(fā)展困境的原因。本文首先從基金業(yè)績(jī)角度,分析基金業(yè)績(jī)表現(xiàn)是否是導(dǎo)致社會(huì)責(zé)任投資基金市場(chǎng)發(fā)展困境的原因。利用凈值收益率、CAPM模型、FF三因素模型以及Carhart四因素模型對(duì)社會(huì)責(zé)任投資基金整體時(shí)間區(qū)間的業(yè)績(jī)表現(xiàn)和不同時(shí)間區(qū)間的業(yè)績(jī)表現(xiàn)分別進(jìn)行評(píng)價(jià),并與傳統(tǒng)基金做對(duì)比分析,發(fā)現(xiàn)社會(huì)責(zé)任投資基金在整體時(shí)間段的業(yè)績(jī)表現(xiàn)超越市場(chǎng)基準(zhǔn),相較傳統(tǒng)基金也更為優(yōu)秀,并且社會(huì)責(zé)任投資基金業(yè)績(jī)表現(xiàn)在基金市場(chǎng)總體行情好時(shí),表現(xiàn)較傳統(tǒng)基金更好,在總體行情差時(shí),與傳統(tǒng)基金沒(méi)有顯著差異。按照標(biāo)準(zhǔn)金融理論的分析,基金資金流量與歷史業(yè)績(jī)呈正相關(guān)關(guān)系,當(dāng)基金業(yè)績(jī)表現(xiàn)好時(shí),會(huì)產(chǎn)生資金凈流入,而現(xiàn)實(shí)情況中社會(huì)責(zé)任投資基金相對(duì)較好業(yè)績(jī)卻未能形成相應(yīng)的資金流入,反而陷入了發(fā)展困境。因此我們得出初步結(jié)論:社會(huì)責(zé)任投資基金業(yè)績(jī)并非導(dǎo)致其陷入發(fā)展困境的直接原因。社會(huì)責(zé)任投資基金業(yè)績(jī)的實(shí)證結(jié)論表明,社會(huì)責(zé)任投資基金市場(chǎng)并非因?yàn)闃I(yè)績(jī)表現(xiàn)差而陷入發(fā)展困境,那么問(wèn)題根源可能在于社會(huì)責(zé)任投資基金業(yè)績(jī)資金流量關(guān)系中,而社會(huì)責(zé)任投資基金由于其投資和社會(huì)雙重屬性以及較高搜尋成本等原因,使得其業(yè)績(jī)資金流量關(guān)系不能簡(jiǎn)單用標(biāo)準(zhǔn)金融理論解釋,其關(guān)系可能不是簡(jiǎn)單的線(xiàn)性正相關(guān)關(guān)系,因此文章進(jìn)一步展開(kāi)對(duì)中國(guó)社會(huì)責(zé)任投資基金業(yè)績(jī)資金流量關(guān)系的研究,以探究為何在社會(huì)責(zé)任投資基金業(yè)績(jī)相對(duì)較好的情況下,卻未能吸引較多的資金流入的原因。本文在國(guó)內(nèi)外相關(guān)研究的基礎(chǔ)上,進(jìn)一步區(qū)分資金流量對(duì)長(zhǎng)期業(yè)績(jī)和短期業(yè)績(jī)反應(yīng),整體業(yè)績(jī)區(qū)間與不同業(yè)績(jī)區(qū)間的基金業(yè)績(jī)資金流量關(guān)系,并通過(guò)引入社會(huì)責(zé)任虛擬變量設(shè)計(jì)交叉變量的方法比較與傳統(tǒng)基金資金流量業(yè)績(jī)關(guān)系敏感性的差異,利用非平衡面板回歸技術(shù)建模,實(shí)證數(shù)據(jù)表明:(1)社會(huì)責(zé)任投資基金投資者不管是對(duì)短期業(yè)績(jī)還是長(zhǎng)期業(yè)績(jī)的敏感性,均比傳統(tǒng)基金投資者弱,社會(huì)責(zé)任投資基金的管理者必須在業(yè)績(jī)方面付出更多努力獲取相同的收益,這使得管理社會(huì)責(zé)任投資基金獲得管理費(fèi)收入相對(duì)傳統(tǒng)基金更加困難,從而讓基金管理公司不愿繼續(xù)設(shè)立社會(huì)責(zé)任投資基金,這將阻礙社會(huì)責(zé)任投資基金市場(chǎng)的長(zhǎng)遠(yuǎn)發(fā)展。(2)社會(huì)責(zé)任投資基金投資者表現(xiàn)出追逐長(zhǎng)期業(yè)績(jī)的特征,而對(duì)短期業(yè)績(jī)的變化不敏感,但社會(huì)責(zé)任投資基金年度業(yè)績(jī)沒(méi)有顯著持續(xù)性,尤其是績(jī)優(yōu)業(yè)績(jī)區(qū)間年度業(yè)績(jī)出現(xiàn)顯著反轉(zhuǎn),投資者的選擇得不到正向的業(yè)績(jī)反饋,甚至選擇績(jī)優(yōu)基金時(shí)會(huì)得到負(fù)向反饋,長(zhǎng)期會(huì)導(dǎo)致社會(huì)責(zé)任投資基金投資者利益受損,從而引發(fā)投資者的贖回行為,阻礙了其規(guī)模進(jìn)一步增長(zhǎng)。(3)社會(huì)責(zé)任投資基金投資者對(duì)績(jī)劣基金業(yè)績(jī)表現(xiàn)出更弱的敏感性,這一方面使得績(jī)劣社會(huì)責(zé)任投資基金得不到“懲罰”,另一方面在其業(yè)績(jī)上升時(shí),僅會(huì)吸引較少資金流入,基金管理者也會(huì)失去提升績(jī)劣基金業(yè)績(jī)的激勵(lì),從而使得社會(huì)責(zé)任投資基金規(guī)模增長(zhǎng)緩慢,市場(chǎng)發(fā)展陷入困境。(4)社會(huì)責(zé)任投資基金的長(zhǎng)期業(yè)績(jī)存在明星效應(yīng),投資者表現(xiàn)出“追星”行為,明星效應(yīng)可以為基金管理者形成正的邊際管理費(fèi)用,增強(qiáng)了內(nèi)在激勵(lì)作用,這正是我國(guó)社會(huì)責(zé)任投資基金市場(chǎng)發(fā)展的突破口,然而社會(huì)責(zé)任投資基金年度業(yè)績(jī)沒(méi)有顯著持續(xù)性,尤其是績(jī)優(yōu)基金區(qū)間業(yè)績(jī)出現(xiàn)了顯著的反轉(zhuǎn),這讓社會(huì)責(zé)任投資基金的明星效應(yīng)優(yōu)勢(shì)無(wú)法用來(lái)形成超額的管理費(fèi)用收入,導(dǎo)致錯(cuò)失這個(gè)發(fā)展機(jī)遇。(5)社會(huì)責(zé)任投資基金投資者存在“現(xiàn)狀偏好”特征,傾向于持有相同的基金,這是一種投資者的非理性行為,一方面導(dǎo)致基金管理者無(wú)法從好的業(yè)績(jī)表現(xiàn)中獲得相應(yīng)的收入,另一方面投資者傾向于維持當(dāng)前的投資選擇,即使業(yè)績(jī)下降也不會(huì)立即引發(fā)投資者贖回行為,導(dǎo)致社會(huì)責(zé)任投資基金市場(chǎng)失去良性發(fā)展的基石,從而陷入發(fā)展困境。經(jīng)過(guò)以上從基金業(yè)績(jī)和業(yè)績(jī)資金流量關(guān)系層面對(duì)我國(guó)社會(huì)責(zé)任投資基金市場(chǎng)陷入發(fā)展困境成因的系統(tǒng)分析,發(fā)現(xiàn)以上5個(gè)業(yè)績(jī)與資金流量關(guān)系特征構(gòu)成了該問(wèn)題的完整的解釋框架。最后,文章針對(duì)社會(huì)責(zé)任投資基金市場(chǎng)陷入發(fā)展困境的原因,有針對(duì)性的提出了政策建議,幫助我國(guó)社會(huì)責(zé)任投資基金市場(chǎng)擺脫發(fā)展困境,在一定程度上促進(jìn)我國(guó)社會(huì)責(zé)任投資基金的持續(xù)健康發(fā)展。
[Abstract]:In recent years, China entered the new economic norm in the transformation of industrial structure under the background of industrial transfer brings a structural slowdown, depends on natural resources and the demographic dividend model of economic development is not sustainable, a series of ESG problems leads to the contradiction between economic development and the social environment is becoming increasingly serious. A new type of investment of social responsibility investment fund as a financial investment concept and the concept of social responsibility through long-term practice of grinding formation, provides a new idea and effective for solving the contradiction between China economic development and the social environment, the investment behavior in the capital market, and gradually guide and improve original uneven allocation of resources, so that more the flow of capital to corporate social responsibility, so as to complete the "concept of social responsibility investment, the concept of social responsibility of enterprises, harmonious society social value, from the root of the capital operation level for the Chinese transformation of economic development pattern to realize the sustainable development has injected new impetus. However, the development of China's social responsibility investment fund market is facing a difficult situation. The social responsibility investment fund market development started in the late China capital market, the fund size of relatively slow growth, and later decline, resulting in the loss of the fund management company set up more social responsibility investment fund incentive fund amount lead to slow growth, whether it is compared with the development of social responsibility investment fund market in the United States, or compared with Chinese open the investment fund market in our country, the social responsibility investment fund market development lags behind, and in a dilemma. The size of the fund market growth essentially depends on the flow of funds, if investors choose to purchase fund shares, then the flow of funds showed a net inflow of funds, the scale of the market increases, whereas the flow of funds showed a net outflow, the market size of the fund is reduced, the social responsibility investment fund market is the same. That standard finance theory, in the frictionless market conditions, ideal, rational investors can make investment decisions based on the historical performance of the fund, they will purchase or continue to hold the good performance of the fund, the redemption of poor performance of the fund, the flow of funds mainly depends on the fund's historical performance, but the double attribute of social responsibility investment the fund's investment and society determines its performance and cash flow relationship is different from the traditional fund. Therefore, the article focuses on the relationship between the performance and the flow of performance funds, and tries to find out the reasons why the social responsibility investment fund market is in a predicament. From the perspective of fund performance, this paper analyzes whether the performance of the fund is the cause of the development dilemma of the social responsibility investment fund market. The performance and performance of different time interval rate, CAPM model, FF three factor model, Carhart four factor of social responsibility investment fund as a whole time interval using the net income were evaluated, and compared with the traditional fund, found that the social responsibility investment fund performance in the whole time period performance beyond the market benchmark, compared with the traditional fund is more outstanding, and the social responsibility investment fund performance in the fund market when the market is good, better than the traditional fund performance, in the overall market is poor, there was no significant difference with the traditional fund. According to the analysis of standard financial theory, mutual fund flow performance is positively related to historical relationship, when the fund performance is good, can produce a net inflow of funds, and the social responsibility investment fund in reality is relatively good performance but failed to form the corresponding capital inflows, but fall into the dilemma of development. Therefore, we draw a preliminary conclusion: the performance of the social responsibility investment fund is not the direct cause of its development. Conclusion the social responsibility investment fund performance showed that the social responsibility investment fund market is not because of poor performance and predicament, so the root of the problem may lie in the social responsibility investment fund performance fund flow relationship, and social responsibility investment fund because of its investment and social attributes and higher search costs and other reasons, the relationship between the performance of funds the flow can not be simply used the standard financial theory, its relationship is not simple linear correlation, so the further research on the China social responsibility investment fund performance funds flow, to explore why the social responsibility investment fund performance is relatively good condition, reason has failed to attract more capital inflows. Based on the research at home and abroad, to further distinguish between the flow of funds to the long-term performance and short-term performance, the overall performance of different interval interval and the performance of the fund performance and fund flow, through the introduction of social responsibility dummy variable design cross variables compared the difference and relationship between traditional mutual fund flow performance sensitivity, the use of non balance regression modeling, empirical data show that: (1) the social responsibility investment fund investors whether it is sensitive to short-term results and long-term performance, compared with the traditional fund investors is weak, the social responsibility investment fund managers must pay more effort to get the same benefits in terms of performance, which makes the management of social responsibility investment fund management fee the traditional fund income is relatively more difficult, so that the fund management company to continue to set up social responsibility investment fund, This will impede the long-term development of the social responsibility investment fund market. (2) the social responsibility investment fund investors chase characterized by long term performance of changes on the short-term performance is not sensitive, but the social responsibility investment fund annual performance is not remarkably persistent, especially blue performance range of annual performance significantly reversed, investors choose not positive performance feedback, even when the choice of blue chip fund will be negative
【學(xué)位授予單位】：南京農(nóng)業(yè)大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類(lèi)號(hào)】：F832.51;F275
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本文編號(hào)：1347192