本文關(guān)鍵詞：基于網(wǎng)絡(luò)輿論與文本分析的公募基金主觀評級研究　出處：《西南財(cái)經(jīng)大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 主觀評級 主觀評價(jià)模型 文本分析

【摘要】：基金業(yè)與基金評級業(yè)的發(fā)展是相輔相成的。無論是對于金融市場發(fā)達(dá)的歐美還是金融市場剛剛起步的發(fā)展中國家來說,基金評級對于基金業(yè)都是非常重要的。一方面,基金業(yè)的發(fā)展,需要基金評級為其保駕護(hù)航；另外一方面,基金評級的發(fā)展使得評級結(jié)果更加真實(shí)可靠。進(jìn)一步來說,投資者對于基金評級的精準(zhǔn)度的要求也越來越高,也是促進(jìn)基金評級業(yè)循序前進(jìn)的主要?jiǎng)恿Α?我國的基金業(yè)發(fā)展至今已經(jīng)有30年的歷史了,2005年之后,我國資本是市場發(fā)展迅猛,截止2011年底,國內(nèi)一共有66家基金管理公司,發(fā)行并管理了914公募基金,基金資產(chǎn)份額總規(guī)模為26464.65億份,管理的基金資產(chǎn)凈值總規(guī)模為21879.79億元,但與國外成熟的市場比較來說仍處于起步階段,運(yùn)作過程中還存在著許多不規(guī)范的地方。隨著我國基金業(yè)的持續(xù)發(fā)展,基金經(jīng)理的能力高低不等,基金產(chǎn)品良莠不齊的狀況愈發(fā)明顯,基金的業(yè)績有較大的差距,但是投資者卻無法從披露信息、去判斷基金的好壞。隨著我國資本市場的發(fā)展和投資理念的普及,基金投資者的數(shù)量出現(xiàn)了飛速增長的態(tài)勢。在選擇基金進(jìn)行投資的時(shí)候,大多數(shù)散戶投資者依據(jù)基金的評價(jià)指標(biāo)來選擇基金進(jìn)行投資,如根據(jù)各個(gè)中介機(jī)構(gòu)對基金的評級排名,該基金的歷史收益率等來選擇合適投資對象。而這些選擇的方法都是屬于客觀評級的范疇。但是,當(dāng)前的客觀評級研究的狀況并不能很好的保護(hù)投資者,相當(dāng)多的投資者在投資證券投資基金的時(shí)候依然無所適從,個(gè)體風(fēng)險(xiǎn)很大。因此,從保護(hù)投資者利益和防范基金投資風(fēng)險(xiǎn)的角度出發(fā),我們急需研究出一個(gè)和客觀評級相對應(yīng)的主觀評級方法來指導(dǎo)投資者投資。并且基于一個(gè)更好的評級方法可以更好的為投資者的理性投資提供參考,更好的激勵(lì)基金經(jīng)理提高業(yè)績、約束基金經(jīng)理不端行為,更好的促進(jìn)整個(gè)是基金市場穩(wěn)定有序發(fā)展,更好的提升資本市場的運(yùn)作效率這四個(gè)理由。在本文中,筆者嘗試?yán)梦谋痉治龅默F(xiàn)代方法,從文本數(shù)據(jù)和主觀評價(jià)數(shù)據(jù)最活躍的論壇數(shù)據(jù)入手,利用主觀評價(jià)的方法對基金進(jìn)行主觀業(yè)績評價(jià),從而得到一個(gè)主觀評級的方法。 本文主要采用理論分析的方法,輔之以實(shí)證分析,考察互聯(lián)網(wǎng)視角下公募基金的實(shí)際年收益與主觀評價(jià)之間相互影響的關(guān)系,從理論和實(shí)證上對公募基金主觀評價(jià)體系進(jìn)行了研究。本文將沿著文獻(xiàn)綜述、理論分析到假設(shè)、實(shí)證檢驗(yàn)再到結(jié)論與政策建議的技術(shù)路線來搭建研究的框架。通過提出主觀評級可以真實(shí)反映基金的業(yè)績實(shí)際狀況、公募基金主觀評級對收益率的敏感度超過客觀評級、公募基金的主觀評級和客觀評級相互獨(dú)立的關(guān)系三個(gè)假設(shè),并通過實(shí)證證實(shí)了這三個(gè)假設(shè)的真實(shí)性。 本文共分為七個(gè)部分,具體如下： 第一部分為緒論,作為本文研究的起點(diǎn),主要介紹選題的相關(guān)背景、研究的目的及意義、思路與方法、本文的創(chuàng)新點(diǎn)。 第二部分是國內(nèi)外相關(guān)研究文獻(xiàn)的綜述與分析。介紹國內(nèi)外對公募基金業(yè)績評價(jià)的研究現(xiàn)狀及成果、國內(nèi)外對基金評級的研究與應(yīng)用,最后對已有文獻(xiàn)進(jìn)行了總結(jié)并引出本文的研究。 第三部分是基于文本挖掘的主觀業(yè)績評價(jià)理論分析。本部分主要介紹了行為金融學(xué)中關(guān)于主觀業(yè)績評價(jià)的理論,信息不充分條件下投資者所采取的羊群行為,并提出主觀評價(jià)理論和公募基金主觀業(yè)績評價(jià)的三個(gè)假設(shè)。 第四部分是主觀評價(jià)模型中所用文本挖掘的技術(shù)介紹。介紹了數(shù)據(jù)挖掘和文本挖掘的理論基礎(chǔ)、文本挖掘的方法和步驟,接著按照文本挖掘的理論和方法構(gòu)建主觀評價(jià)模型 第五部分是主觀評價(jià)模型的運(yùn)行。本文選取天天基金網(wǎng)中的數(shù)據(jù),截取了2011年30只公募基金的子論壇所發(fā)帖子的文本數(shù)據(jù)作為基礎(chǔ)樣本,選擇合適的控制變量,構(gòu)建自己的理論模型進(jìn)行分析檢驗(yàn)。 第六部分是對上一部分所提取的數(shù)據(jù)進(jìn)行多角度的分析,從統(tǒng)計(jì)角度來說,通過引進(jìn)評錯(cuò)率,波動(dòng)率和準(zhǔn)確性對主客觀評級進(jìn)行分析,隨后利用統(tǒng)計(jì)模型驗(yàn)證主觀評級、客觀評級和實(shí)際收益率之間的相關(guān)關(guān)系 第七部分是本文研究的結(jié)論。根據(jù)理論分析、現(xiàn)實(shí)分析及實(shí)證分析得出結(jié)論,由此提出關(guān)于建立我國公募基金主觀評價(jià)體系的政策性建議,并總結(jié)了本文研究的局限性和不足,提出了后續(xù)研究的方向。 本文的創(chuàng)新之處體現(xiàn)在以下三個(gè)方面： (1)理論創(chuàng)新。首次在理論界提出以主觀評價(jià)的方式來判斷基金業(yè)績,并建立起主觀評價(jià)的模型。在主觀評價(jià)理論的基礎(chǔ)上,結(jié)合實(shí)際提出主觀評級的三大假設(shè)。 (2)方法創(chuàng)新。把數(shù)據(jù)挖掘和文本挖掘相關(guān)方法實(shí)際運(yùn)用在金融領(lǐng)域,把主觀評價(jià)的指標(biāo)納入基金評價(jià)體系,在實(shí)證分析的基礎(chǔ)上構(gòu)建主觀評價(jià)方法,提出一套完整的公募基金主觀評級模型。 (3)應(yīng)用創(chuàng)新。把成熟的客觀評級模型應(yīng)用在主觀評價(jià)領(lǐng)域,把信息交流最為密切的論壇數(shù)據(jù)作為研究的對象,把海量的文本數(shù)據(jù)轉(zhuǎn)化為主觀評價(jià)的特征,最后應(yīng)用于金融領(lǐng)域的研究。這和大多數(shù)基金評級研究的思路是不一致的。 最后,由于時(shí)間和個(gè)人能力有限,本文的研究還存在著許多不足和有待改進(jìn)的地方,具體表現(xiàn)在： 第一、對于構(gòu)建公募基金的主觀評級系統(tǒng)來說,30只基金的803個(gè)帖子作為樣本偏小,如果想要構(gòu)建真實(shí)可靠的主觀評級系統(tǒng)需要更多相關(guān)論壇的帖子為數(shù)據(jù)源,必須以互聯(lián)網(wǎng)為研究基礎(chǔ)。以海量的文本數(shù)據(jù)所得出的主觀評價(jià)是真實(shí)可靠的,可以使公募基金的主觀評級會(huì)更有實(shí)踐意義。 第二、本文最終所選取5個(gè)具有普遍性的主觀指標(biāo)是通過文本挖掘的方法得到的。如果對5大主觀指標(biāo)進(jìn)行進(jìn)一步的細(xì)分,加入一些二級指標(biāo),那基金的主觀評級結(jié)果是否會(huì)發(fā)生改變呢?這個(gè)還需要后來人對該問題進(jìn)行更深層次的研究。 第三、本文僅證實(shí)了主觀評級與基金實(shí)際收益率的相關(guān)性,驗(yàn)證了主觀評價(jià)作為基金評級必不可少的一部分,而對于投資者依靠主觀評級系統(tǒng)來進(jìn)行投資的結(jié)果本文并未進(jìn)行涉及,而這方面的研究還需要進(jìn)行近一步的實(shí)證檢驗(yàn)。
[Abstract]:The development of the fund industry and fund rating industry are complementary to each other. Whether it is for the developed financial market and financial market has just started developing countries, the fund rating is very important for the fund industry. On the one hand, the development of the fund industry, fund rating required for the escort; on the other hand, the development of the fund rating the rating results are more reliable. Furthermore, investors have become for the fund rating accuracy of the higher requirements, is the main driving force to promote the fund rating industry step by step.
The development of the fund industry in China has a history of 30 years, after 2005, the rapid development of Chinese capital market, by the end of 2011, China has a total of 66 fund management companies, issuance and management of 914 public fund, the total size of the fund assets accounted for 2 trillion and 646 billion 465 million, the total size of the net assets of the fund management for 2 trillion and 187 billion 979 million yuan, but compared with the foreign mature market is still in its infancy, there are still in the process of many non-standard place. With the continuous development of China's fund industry, fund manager ability ranging from the level of fund products, the status of uneven in quality is becoming increasingly apparent, the performance of the fund has a large gap, but investors but not from the disclosure of information to judge the fund directly. With the popularization and development of China's capital market and investment philosophy, the number of fund investors in the trend of rapid growth in the choice of base. When the gold investment evaluation index, most retail investors on the basis of the fund to fund investment, such as by various intermediaries to rank the fund rating, the fund's historical return to choose the appropriate investment. And these choices are the objective rating category. However, investor protection objective rating study on the current situation is not very good, many investors are still at a loss, the individual risk greatly. Therefore, the investment risk prevention fund and protect the interests of investors from the point of view, we need to research the subjective rating method with an objective rating corresponding to guide investors and a better rating methods can better based on rational investment for investors to provide a reference, better incentive fund managers to improve performance, Bound fund manager misconduct, better promote the stable and orderly development of fund market, the four reason to promote capital market better operational efficiency. In this paper, the author tries to use modern methods of textual analysis, starting from the text data and subjective data of the live data to the forum, of subjective performance evaluation of the fund the use of subjective evaluation, resulting in a subjective rating methods.
This paper mainly adopts the method of theoretical analysis, supplemented by empirical analysis, relationship between the study from the perspective of Internet public offering of the fund's actual income and subjective evaluation, conducted the research on the subjective evaluation system of public fund from the theoretical and empirical analysis. This article will follow the literature review, theoretical analysis to the hypothesis, empirical framework test the technical route to the conclusions and policy recommendations to build the research. Through the performance of the actual situation to give subjective ratings may reflect the fund, public fund subjective rating for yield sensitivity over objective rating, relationship between the public offering of the fund's subjective rating and objective rating of three independent hypotheses, and the authenticity of this three hypotheses were verified through empirical research.
This article is divided into seven parts, which are as follows:
The first part is the introduction, which is the starting point of this study. It mainly introduces the background of the topic, the purpose and significance of the study, the ideas and methods, and the innovation of this article.
The second part is the summary and analysis of related research literature at home and abroad. It introduces the research status and achievements of public fund performance evaluation at home and abroad, and the research and application of fund rating at home and abroad. Finally, it summarizes the existing literature and leads to the research in this paper.
The third part is the analysis of subjective performance evaluation based on the theory of text mining. This part mainly introduces Behavioral Finance on subjective performance evaluation theory, the herd behavior of investors to take under the condition of insufficient information, and put forward three hypotheses of subjective evaluation theory and subjective performance evaluation of public fund.
The fourth part is the introduction of text mining technology in the subjective evaluation model. It introduces the theoretical basis of data mining and text mining, the methods and steps of text mining, and then constructs the subjective evaluation model according to the theory and method of text mining.
The fifth part is the operation of the subjective evaluation model. This paper selects the data from the daily fund net, intercepts the textual data of the 30 public offering sub forums in 2011 as the basic sample, selects the appropriate control variables, and builds their own theoretical models for analysis and verification.
The sixth part is the analysis of the extracted data on the part of the multi angle, from a statistical point of view, through the introduction of the assessment error rate, fluctuation rate and accuracy of objective and subjective ratings were analyzed, then verify the subjective rating using statistical model, objective rating and the actual rate of return correlation between
The seventh part is the conclusion of this study. According to the theoretical analysis, practical analysis and empirical analysis conclusion, puts forward policy suggestions on the establishment of subjective evaluation system of raised funds in China, and summarizes the limitations and shortcomings of this study, put forward the direction for further research.
The innovation of this article is embodied in the following three aspects:
(1) theoretical innovation. For the first time, in the theoretical circle, we propose to evaluate the fund performance by subjective evaluation and set up a subjective evaluation model. Based on the subjective evaluation theory, we put forward three hypotheses of subjective rating based on the reality.
(2) method innovation. Data mining and text mining methods are applied in the financial field, and the subjective evaluation indicators are included in the fund evaluation system. Based on the empirical analysis, a subjective evaluation method is constructed, and a complete set of subjective rating models for public offering funds is put forward.
(3) the application of innovation. The mature objective rating model used in the field of subjective evaluation, the most significant forum data as the object of study for the exchange of information, the massive text data into the subjective evaluation of the characteristics, and finally used in the financial sector. The fund rating and most of research is not consistent.
Finally, because of the limited time and personal ability, there are many deficiencies and areas to be improved in this paper.
First, the subjective rating system construction of public fund, 803 post 30 fund as the sample is small, if you want to build a subjective rating system more reliable forum posts as the data source, must be on the Internet. On the basis of the subjective assessment the massive text data is true and reliable that can make the public offering of the fund's subjective ratings will be more practical significance.
Second, this paper finally selected 5 subjective index universal is obtained by text mining. If further divided the 5 subjective indicators, adding some two indicators, the fund's subjective rating results will change? This need later for a deeper study of the the problem.
Third, this article only confirmed the correlation between subjective rating and the actual yield of the fund, as part of the validation of subjective evaluation is essential for the fund rating, investors rely on the subjective rating system to invest the results in this paper are not involved, and this research also need to empirically test the next step.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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