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  本文關(guān)鍵詞：中國開放式股票型基金經(jīng)理能力研究　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 開放式基金 業(yè)績評價 Carhart四因素模型 Block bootstrap方法

【摘要】：基金作為一種利益共享、風(fēng)險共擔(dān)的集合投資方式,除了有大型機構(gòu)投資者外也吸引了大量散戶的資金,在中國的金融市場發(fā)揮著舉足輕重的作用。自第一只開放式基金發(fā)行以來,開放式基金逐漸取代封閉式基金,成為基金市場發(fā)展的主流。根據(jù)投資目標(biāo)的不同,開放式基金可分為股票基金、債券基金、貨幣市場基金、混合基金等種類。股票基金是以上市交易的股票為主要投資對象的基金。2004年至2011年,中國股市經(jīng)歷了上漲、下跌、震蕩等情況,相應(yīng)的,股票型基金也隨著股市波動而波動。在各種情形下,分辨出真正能獲得超額收益的基金是投資者關(guān)心的重中之重。 本文利用Carhart四因素模型,研究中國開放式股票型基金的業(yè)績表現(xiàn),以及基金經(jīng)理是否有能力獲得超額收益。本文估計了Carhart四因素模型中規(guī)模因子、價值因子、動量因子,研究發(fā)現(xiàn),四因素模型對中國的股票型開放式基金的收益具有較好的解釋能力,但是規(guī)模因子和價值因子對股票型開放式基金的解釋能力不強。股票型開放式基金并沒有表現(xiàn)出超出市場基準(zhǔn)水平的超額收益。市場中存在大量表現(xiàn)較差的基金經(jīng)理,但也存在大量表現(xiàn)較好的基金經(jīng)理。由于Carhart模型直接參數(shù)估計可能存在問題,本文進一步采用Block bootstrap方法研究表現(xiàn)較好的基金的真正能力。Block bootstrap方法的結(jié)果還說明,表現(xiàn)較好的基金經(jīng)理不僅僅是靠運氣,這些基金經(jīng)理確實是有技術(shù)才能有如此表現(xiàn)。 本文的研究為基金管理人和投資者提供了評價基金業(yè)績的新方法,為投資者發(fā)現(xiàn)表現(xiàn)更好的基金,管理者更好地管理基金開拓了新的視野。同時,本文估計的Carhart四因素模型中的規(guī)模因子、價值因子和動量因子也可為學(xué)界、業(yè)界提供基礎(chǔ)性的工作。
[Abstract]:Fund as a benefit sharing, risk-sharing collective investment, in addition to large institutional investors, but also attracted a large number of retail funds. Since the first open-end fund was issued, the open-end fund has gradually replaced the closed-end fund and become the mainstream of fund market development. Open-end fund can be divided into stock fund, bond fund, money market fund, mixed fund and so on. The stock fund is the fund that takes the listed stock as the main investment object. 2004 to 2011. The Chinese stock market has experienced rising, falling, fluctuating and so on. Accordingly, the stock fund also fluctuates with the stock market fluctuation. In all kinds of circumstances. Identifying funds that really earn excess returns is a top priority for investors. This paper uses Carhart four-factor model to study the performance of Chinese open-end equity funds. This paper estimates the scale factor, value factor and momentum factor in Carhart four-factor model. The four-factor model has a good ability to explain the income of China's equity open-end funds. But the scale factor and the value factor have not strong ability to explain the stock open-ended fund. The stock open fund does not show the excess return which exceeds the market benchmark level. There are a large number of poor performance funds in the market. Manager. However, there are also a large number of fund managers who perform well. There may be problems in estimating the direct parameters of the Carhart model. This paper further uses the Block bootstrap method to study the true ability of the better performance fund. Block bootstrap method results also show. It's not just luck that makes better managers; they do have the skills to do so. The research in this paper provides a new method for fund managers and investors to evaluate the performance of funds, for investors to find better performance of funds, managers better management of funds to open new horizons. The scale factor, value factor and momentum factor in the Carhart four-factor model estimated in this paper can also provide the basic work for the academic field and the industry.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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本文編號：1435220