本文關(guān)鍵詞：基金家族的績效與風(fēng)險及相關(guān)關(guān)系研究　出處：《湖南大學(xué)》2013年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 基金家族 績效 風(fēng)險 超效率DEA模型 t-Copula-VaR模型

【摘要】：近年來，隨著中國基金業(yè)的飛速發(fā)展，基金家族已經(jīng)成為基金市場最重要的存在形式，受到越來越廣泛的關(guān)注。基金家族內(nèi)部各基金之間存在著錯綜復(fù)雜的關(guān)系，既相互競爭又相互合作，在提高基金市場平均收益的同時也加大了基金市場的波動性。基金家族的整體績效和風(fēng)險是基金家族所有投資者效益和風(fēng)險的集中體現(xiàn)：一方面，單只基金作為基金家族的一個成員，其業(yè)績表現(xiàn)以及風(fēng)險狀況等必然會受其所在基金家族影響；另一方面，家族績效和風(fēng)險將影響投資者對基金家族內(nèi)單只基金的認(rèn)知，進(jìn)而影響投資者的決策�；鸺易宄蓡T的投資風(fēng)格趨同和投資風(fēng)格漂移，以及基金家族所屬基金管理公司的股權(quán)結(jié)構(gòu)對家族績效和風(fēng)險都有著顯著的影響。由此可見，開展基金家族績效與風(fēng)險的研究具有重要的理論價值和現(xiàn)實意義。 針對當(dāng)前基金相關(guān)文獻(xiàn)大多只是基于單只基金層面的績效和風(fēng)險研究的片面性和局限性，以及基金績效與風(fēng)險關(guān)系研究的匱乏性，本文對基金家族的績效、風(fēng)險、投資風(fēng)格漂移和所屬基金管理公司股權(quán)結(jié)構(gòu)等對二者的影響，以及這它們之間的關(guān)系進(jìn)行定量研究。 本文首先進(jìn)行相關(guān)理論分析，從定性角度剖析有關(guān)基金和基金家族的基本問題，包括基本概念，與績效評價相關(guān)的資本資產(chǎn)定價理論、套利定價理論和數(shù)據(jù)包絡(luò)分析理論，以及與風(fēng)險分析相關(guān)的信息不對稱理論、委托代理理論、投資者有限注意理論和投資組合理論，從而為基金家族績效和風(fēng)險的研究奠定基礎(chǔ)。然后，選取中國證券市場2006年1月1日前推出的96只開放式偏股型基金構(gòu)成的31個基金家族為研究對象，以基金的期初單位凈值、單位運營費用、收益率標(biāo)準(zhǔn)差為輸入變量，基金凈值增長率、平均收益率和Sharpe比率為輸出變量，采用超效率DEA方法評價基金家族績效；根據(jù)投資組合的思想，結(jié)合多元t-Copula聯(lián)合分布函數(shù)在刻畫相關(guān)關(guān)系方面的優(yōu)勢和VaR風(fēng)險測度法度量下方風(fēng)險的特點，構(gòu)建一個t-Copula-VaR模型，度量基金家族風(fēng)險；采用基于風(fēng)格分析模型的SDS方法測量投資風(fēng)格漂移程度，利用測量結(jié)果分析投資風(fēng)格漂移對基金家族績效和風(fēng)險的影響；構(gòu)建截面回歸模型，分析基金管理公司股權(quán)機(jī)構(gòu)對基金家族績效和風(fēng)險的影響；考慮不同經(jīng)濟(jì)形勢的影響，采用回歸分析法研究金融危機(jī)前、危機(jī)期間和危機(jī)后基金家族績效與風(fēng)險之間的關(guān)系。最后，總結(jié)基金家族發(fā)展存在的問題以及未來發(fā)展趨勢，并在此基礎(chǔ)上提出中國市場基金家族發(fā)展的3大創(chuàng)新策略。 基金家族績效評價的研究結(jié)果表明，在研究期間中國市場各基金家族之間績效差距較大，且大部分基金家族為DEA無效，此外基金家族在績效持續(xù)性方面并沒有表現(xiàn)出統(tǒng)一的特征；在基金家族風(fēng)險度量研究中，多元t-Copula函數(shù)的非正態(tài)、非線性相關(guān)系數(shù)矩陣的計算結(jié)果顯示，同一基金家族內(nèi)部各成員基金之間存在較強(qiáng)的相關(guān)關(guān)系，并且基金家族所含基金的數(shù)目的多少對于整個基金家族的風(fēng)險值的大小并無顯著的影響；基金家族投資風(fēng)格漂移對基金家族績效和風(fēng)險的影響研究表明，基金家族的投資風(fēng)格漂移程度較大，它與基金家族績效是負(fù)相關(guān)的，而與家族風(fēng)險水平則是正相關(guān)的，并且基金家族績效和風(fēng)險具有明顯的持續(xù)性；基金管理公司股權(quán)結(jié)構(gòu)對基金家族績效和風(fēng)險的影響研究表明，，中國市場基金家族績效和風(fēng)險與所屬基金管理公司股權(quán)集中度均呈現(xiàn)U型關(guān)系。此外，基金管理公司第一大股東控制力的增強(qiáng)以及外資的引入有助于提升基金家族績效，但也會使基金家族面臨更大的風(fēng)險；基金家族風(fēng)險與績效的關(guān)系研究結(jié)論顯示，不同的經(jīng)濟(jì)形式下二者表現(xiàn)出不同的相關(guān)關(guān)系，金融危機(jī)之前和危機(jī)期間兩者顯著負(fù)相關(guān)，而危機(jī)之后兩者關(guān)系不顯著。
[Abstract]:In recent years, with the rapid development of Chinese fund industry, fund family has become the most important form of fund market, attracted more and more attention. A perplexing relationship exists between fund families within the fund, both competition and cooperation, in improving the fund average market profit also increased the volatility of fund market the fund family's overall performance and risk is the concentrated reflection of all the risks and benefits of fund family investors: on the one hand, a single fund as a member of the family fund, its performance and risk status will be affected by the impact of fund family; on the other hand, investors' cognition of fund family in single fund the influence of family performance and risk, thereby affecting investors' decision-making. Family members of fund investment style convergence and investment style drift, and the fund family The ownership structure of the fund management companies has a significant impact on family performance and risk. Therefore, we can see that the research of fund family performance and risk has important theoretical and practical significance.
In view of the current literature mostly just fund performance and risk of a single fund level of one sidedness and limitations and lack of research based on the relationship between fund performance and risk, the performance of fund family risk, investment style drift and the influence of the fund management company ownership structure on the two, quantitative this study as well as the relationship between them.
This paper first analyzes the related theories, analysis of the basic issues related to funds and fund families from the qualitative point of view, including the basic concept, and performance evaluation of capital asset pricing theory, arbitrage pricing theory and data envelopment analysis theory and information asymmetry theory and related risk analysis, principal-agent theory, theory and portfolio investors with limited attention the theory, which lay the foundation for the study of fund family performance and risk. Then, select the Chinese launched in January 1, 2006 the stock market before the 96 open partial stock funds of 31 fund families as the research object, to fund the initial net unit, the unit operation cost, rate of return standard deviation as the input variables, the net value of the fund the growth rate, the average rate of return and Sharpe ratio as output variables, using super efficiency DEA method to evaluate fund family performance; according to the portfolio of thinking Think, below the advantages and characteristics of risk VaR risk measure measure combined with multivariate t-Copula distribution function in the description of related aspects, build a t-Copula-VaR model to measure fund family risk; using SDS method based on style model analysis of investment style drift level, influence the investment style drift of fund family performance and risk analysis the measurement results; building cross-section regression model, analysis of the impact of equity agency fund management company of fund family performance and risk; considering the influence of different economic situation, using regression analysis to study the financial crisis, the relationship between fund family performance and risk during the crisis and post crisis. Finally, summarize the existing problems and the development of fund family the future trend of development, and on the basis of Chinese market fund family development 3 innovative strategies.
Study on the fund family performance evaluation results show that during the study the performance gap between the larger market China fund family, and most of the fund family DEA is invalid, in addition to fund performance persistence in the family did not show uniform characteristics; in the research fund family risk measurement, multiple t-Copula function non normal, nonlinear calculation the correlation matrix shows that there is a strong correlation between the same fund family members and the number of funds, fund family with the number of fund for risk of the fund family values were not significantly; research fund investment style drift family influence on fund family performance and risk that investment style drift of fund family is large, it is negatively related to the fund family performance, and family risk level is positively related to the, And has the apparent persistence of fund family performance and risk; research on the ownership structure of the fund management company of the fund family performance and risk that China equity market fund family performance and risk and the fund management company concentration showed U type. In addition, the fund management company is the largest shareholder of the enhanced control and foreign investment the introduction will help enhance the fund family performance, but also makes the fund families face greater risk; results of the relations between familial risk and performance of fund shows that different economic conditions between the two shows the correlation is not the same, both before and during the financial crisis had a significant negative correlation, and the relationship between the two after the crisis is not significant.

【學(xué)位授予單位】：湖南大學(xué)
【學(xué)位級別】：博士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F275

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