發(fā)布時(shí)間：2018-05-12 02:06

  本文選題：債券型基金 + 擇時(shí)能力�。� 參考：《東北大學(xué)》2010年碩士論文

【摘要】：證券投資基金作為一種專家理財(cái)工具,具有集合投資、分散風(fēng)險(xiǎn)、變現(xiàn)能力強(qiáng)的特點(diǎn),在發(fā)達(dá)國(guó)家已成為投資者的一種重要的投資工具。隨著我國(guó)證券市場(chǎng)不斷的發(fā)展和完善,我國(guó)證券市場(chǎng)投資基金的規(guī)模日趨擴(kuò)大,基金數(shù)量越來(lái)越多,風(fēng)格差別越來(lái)越大,投資者投資基金時(shí)可選擇范圍變得更大,選擇難度也加大。在近期市場(chǎng)大幅震蕩行情下,債券型基金受到投資者的青睞,債券型基金經(jīng)理人的管理水平成為投資者關(guān)注的焦點(diǎn)。市場(chǎng)時(shí)機(jī)把握能力即擇時(shí)能力是衡量基金經(jīng)理人管理水平的重要指標(biāo),且目前關(guān)于股票和混合型基金的研究較多,研究債券型基金較少,因此研究債券型基金的擇時(shí)能力,為投資者提供科學(xué)的投資決策依據(jù)具有重要意義。 本文在系統(tǒng)閱讀基金擇時(shí)能力研究的理論基礎(chǔ),包括Markowitz均值方差理論、資本資產(chǎn)定價(jià)理論以及Fama和French三因素理論,并梳理基金擇時(shí)能力實(shí)證研究方法,包括T-M模型、H-M模型、B-P模型、C-L模型、以“FF3”模型為基礎(chǔ)的回歸模型、GⅡ期權(quán)模型、Ferson和Schadt的條件模型以及Sharpe風(fēng)格分析法。通過(guò)對(duì)評(píng)價(jià)基金擇時(shí)能力的實(shí)證研究方法進(jìn)行深入分析的基礎(chǔ)上,發(fā)現(xiàn)我國(guó)學(xué)者對(duì)基金擇時(shí)力的研究主要是采用國(guó)外的經(jīng)典模型,很少涉及證券投資基金投資組合的分析,因此提出運(yùn)用Sharpe風(fēng)格分析法求解基金的投資組合從而評(píng)價(jià)基金的擇時(shí)能力。本文以我國(guó)經(jīng)濟(jì)背景為依托,選擇12只開(kāi)放式債券型基金作為研究對(duì)象,從債券型基金的現(xiàn)金與債券之間的轉(zhuǎn)換能力、通過(guò)在不同期限債券之間的轉(zhuǎn)換來(lái)抓住市場(chǎng)時(shí)機(jī)的債券期限匹配能力、年度投資組合調(diào)整能力三個(gè)角度對(duì)基金擇時(shí)能力進(jìn)行研究,同時(shí)考察基金在評(píng)價(jià)期內(nèi)的現(xiàn)金流動(dòng)情況,并結(jié)合基金在市場(chǎng)上漲階段和市場(chǎng)調(diào)整階段的表現(xiàn)以及基金收益與大盤收益的關(guān)系對(duì)基金擇時(shí)能力進(jìn)行綜合評(píng)價(jià)。研究發(fā)現(xiàn)南方寶元、興業(yè)轉(zhuǎn)債以及天治財(cái)富增長(zhǎng)三只基金具有擇時(shí)能力,其它樣本基金不具有擇時(shí)能力。
[Abstract]:As an expert financial tool, securities investment fund has been an important investment tool for investors in developed countries. With the continuous development and improvement of the securities market in our country, the scale of the investment funds in the securities market of our country is expanding day by day, the number of funds is more and more, the style difference is more and more big, the choice scope of investors' investment funds becomes bigger, The choice is also more difficult. In the recent market volatility, bond funds are favored by investors, bond fund managers' management level has become the focus of investor attention. The market timing ability is an important index to measure the management level of fund managers. At present, there are more researches on stocks and hybrid funds, less research on bond funds, so the paper studies the timing ability of bond funds. It is of great significance for investors to provide scientific basis for investment decision-making. This paper systematically reads the theoretical basis of the research on the timing ability of funds, including Markowitz mean variance theory, capital asset pricing theory and Fama and French three factor theory, and combs the empirical research methods of fund timing ability. It includes T-M model, H-M model, B-P model and C-L model, the regression model based on "FF3" model, the conditional model of Ferson and Schadt and the Sharpe style analysis method. Based on the deep analysis of the empirical research methods of evaluating the fund timing ability, it is found that the research on the timing ability of the fund is mainly based on the classical model of foreign countries, and seldom involves the analysis of the portfolio of the securities investment fund. Therefore, Sharpe style analysis method is used to solve the portfolio of the fund to evaluate the timing ability of the fund. Based on the economic background of our country, this paper chooses 12 open-end bond funds as the object of study, from the ability of conversion between cash and bonds of bond funds. Through the conversion between bonds with different maturities to grasp the bond maturity matching ability of market opportunity and the ability to adjust the annual portfolio, the paper studies the timing ability of the fund, and examines the cash flow of the fund during the evaluation period. Combined with the performance of the fund in the market rising stage and the market adjustment stage, and the relationship between the fund income and the market income, the comprehensive evaluation of the fund timing ability is carried out. The study found that the three funds of Southern Baoyuan, Societe Generale and Tianzhi Wealth growth have the ability of timing, while the other sample funds do not have the ability of timing.
【學(xué)位授予單位】：東北大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2010
【分類號(hào)】：F224;F832.51

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