本文選題：開放式股票基金 + 基金業(yè)績　； 參考：《華僑大學(xué)》2013年碩士論文

【摘要】：我國股票市場自從設(shè)立之后，個人投資者主導(dǎo)的市場投機(jī)氛圍濃厚,為避免暴漲暴跌，穩(wěn)定市場，2001年證監(jiān)會提出超常規(guī)發(fā)展機(jī)構(gòu)投資者的戰(zhàn)略，而證券投資基金積少成多、集中理財(cái)、專業(yè)投資的特性使其擔(dān)當(dāng)起穩(wěn)定大市的重任，并受到了各項(xiàng)政策和法律法規(guī)的支持，由此基金業(yè)在我國得以蓬勃發(fā)展�？v觀這幾年我國基金業(yè)的發(fā)展，開放式基金已成為基金業(yè)的主流，而股票基金則占據(jù)了開放式基金的半壁江山，開放式股票基金作為一種集合證券投資方式越來越成為投資者投資的熱點(diǎn)和重點(diǎn)，，因此對開放式股票基金業(yè)績進(jìn)行評價(jià)成為基金管理公司、投資者及監(jiān)管當(dāng)局的一個重要議題。 已有研究表明，處于同一時期的不同基金在業(yè)績上存在著較大的差異，這種差異主要是由基金自身的內(nèi)在因素造成的。本文在借鑒國內(nèi)外研究的基礎(chǔ)上，結(jié)合我國基金的現(xiàn)狀和開放式股票基金的特點(diǎn)，探討了不同指標(biāo)的基金業(yè)績與基金費(fèi)用、基金規(guī)模、持股周轉(zhuǎn)率、基金存續(xù)期及基金經(jīng)理變更頻率之間的關(guān)系。本文按照銀河證券基金分類體系的規(guī)定，選取2005年12月31日前成立的43只開放式股票基金為研究樣本，以2006年1月1日到2012年12月31日為評價(jià)期，每半年為1個時段，總共有14個時段，采用面板數(shù)據(jù)回歸方法探討不同指標(biāo)業(yè)績與各影響因素之間的關(guān)系。 本文分別以基金的風(fēng)險(xiǎn)未調(diào)整收益、特雷諾指數(shù)、夏普指數(shù)、詹森指數(shù)、Fama-French三因子調(diào)整收益為因變量，以交易費(fèi)用占收益比、總費(fèi)用占收益比、基金規(guī)模對數(shù)、持股周轉(zhuǎn)率、基金存續(xù)期、基金經(jīng)理變更頻率為自變量，采用面板數(shù)據(jù)回歸分析，得出以下結(jié)論：基金業(yè)績與基金規(guī)模、基金存續(xù)期顯著負(fù)相關(guān)，與基金持股周轉(zhuǎn)率顯著正相關(guān)；基金業(yè)績與交易費(fèi)用占收益比正相關(guān)，但不是非常顯著；基金業(yè)績與總費(fèi)用占收益比沒有明顯的關(guān)系；基金經(jīng)理變更頻率對基金的風(fēng)險(xiǎn)未調(diào)整收益、特雷諾指數(shù)、夏普指數(shù)沒有明顯影響，對詹森指數(shù)和Fama-French三因子調(diào)整收益有一定的負(fù)向影響，但不是非常顯著。
[Abstract]:Since the establishment of the stock market in China, the speculative atmosphere dominated by individual investors has been strong. In order to avoid soaring and plummeting and to stabilize the market, the Securities Regulatory Commission in 2001 put forward the strategy of developing institutional investors in an extraordinary way, while the securities investment funds accumulated a small amount of money. The characteristics of centralized financial management and professional investment make it take on the important task of stabilizing the market, and it is supported by various policies and laws and regulations, so the fund industry can flourish in our country. Looking at the development of the fund industry in China in recent years, the open-end fund has become the mainstream of the fund industry, and the stock fund has occupied half of the open-end fund. As a kind of pooled securities investment, open-end stock fund has become the focus of investors' investment. Therefore, it is an important issue for fund management companies, investors and regulatory authorities to evaluate the performance of open-end stock funds. Previous studies have shown that there are great differences in the performance of different funds in the same period, which are mainly caused by the internal factors of the funds themselves. On the basis of domestic and foreign research, combined with the current situation of Chinese funds and the characteristics of open-end stock funds, this paper discusses the fund performance and fund cost, fund scale, shareholding turnover of different indicators. The relationship between the duration of the fund and the change frequency of the fund manager. According to the classification system of Galaxy Securities Fund, this paper selects 43 open-end stock funds established before December 31, 2005 as the research sample, and takes the period from January 1, 2006 to December 31, 2012 as the evaluation period, every six months as a period. In a total of 14 periods, the panel data regression method was used to study the relationship between the performance of different indicators and the influencing factors. This paper takes the risk unadjusted income of the fund, Traineau index, Sharp index, Jensen index and Fama-French adjusted income as the dependent variables, taking the transaction cost as the income ratio, the total cost as the income ratio, the logarithm of the fund size, and the stock holding turnover. The paper uses panel data regression analysis to draw the following conclusions: fund performance is negatively correlated with fund size, fund duration is significantly negative, and fund ownership turnover is significantly positive; Fund performance is positively correlated with the ratio of transaction cost to income, but it is not very significant; there is no obvious relationship between fund performance and the ratio of total cost to income; the change frequency of fund manager has no adjusted return on the risk of the fund, Traineau index, Sharp index has no obvious influence on Jensen index and Fama-French three-factor adjustment income, but it is not very significant.
【學(xué)位授予單位】：華僑大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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