本文關(guān)鍵詞： 基金投資組合 非系統(tǒng)性風(fēng)險(xiǎn) 系統(tǒng)性風(fēng)險(xiǎn) 選股擇時(shí)能力　出處：《上海師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：由于委托代理問題的存在，基金投資者無法了解基金經(jīng)理的投資行為是否是為了實(shí)現(xiàn)投資者利潤最大化，基金經(jīng)理可能為了自身的利益而改變基金投資組合的構(gòu)成，使基金收益的波動(dòng)性增大，從而有損基金投資者的利益。本文的研究重點(diǎn)是基金投資組合的風(fēng)險(xiǎn)結(jié)構(gòu)在業(yè)績排名激勵(lì)下所發(fā)生的變化，并且深入分析了基金經(jīng)理的選股擇時(shí)能力以解釋基金投資組合非系統(tǒng)性風(fēng)險(xiǎn)與系統(tǒng)性風(fēng)險(xiǎn)發(fā)生變動(dòng)的原因。本文拓展了基金業(yè)績排名對(duì)基金經(jīng)理投資風(fēng)險(xiǎn)調(diào)整行為研究的理論與方法，具有一定的理論與現(xiàn)實(shí)意義。 國內(nèi)外學(xué)者關(guān)于投資基金在業(yè)績排序期前后風(fēng)險(xiǎn)變化的研究成果已相當(dāng)豐富，，但是最后得出的結(jié)論有一定的沖突。已有的研究主要集中于分析基金總風(fēng)險(xiǎn)在業(yè)績排名激勵(lì)下的變動(dòng)情況，而沒有對(duì)非系統(tǒng)性風(fēng)險(xiǎn)和系統(tǒng)性風(fēng)險(xiǎn)做區(qū)別的分析，但是兩者在基金風(fēng)險(xiǎn)變化中的地位不同，分別體現(xiàn)了基金經(jīng)理的不同能力。本文的創(chuàng)新之處在于利用資本資產(chǎn)定價(jià)模型將基金風(fēng)險(xiǎn)加以分解，分別研究基金非系統(tǒng)性風(fēng)險(xiǎn)與系統(tǒng)性風(fēng)險(xiǎn)在業(yè)績排名激勵(lì)下發(fā)生的變動(dòng)，為了深入解釋風(fēng)險(xiǎn)變動(dòng)的原因，文章選取詹森指數(shù)、H-M和T-M模型分析了基金經(jīng)理的選股擇時(shí)能力，以此來分析基金經(jīng)理的風(fēng)險(xiǎn)調(diào)整行為是否是理性的，是否有利于基金份額持有者的利益。 本文選取50只積極成長型開放式基金作為樣本，收集了它們從2008年至2012年的收益數(shù)據(jù)，利用資本資產(chǎn)定價(jià)模型將基金投資組合的風(fēng)險(xiǎn)分解為系統(tǒng)性風(fēng)險(xiǎn)和非系統(tǒng)性風(fēng)險(xiǎn)，運(yùn)用列聯(lián)表法研究了不同基金業(yè)績排序標(biāo)準(zhǔn)下，基金總風(fēng)險(xiǎn)、系統(tǒng)性風(fēng)險(xiǎn)和非系統(tǒng)性風(fēng)險(xiǎn)在排名前后期發(fā)生的變化。結(jié)論表明，投資基金的風(fēng)險(xiǎn)并沒有隨業(yè)績排名的變化而變化，前期業(yè)績較好的基金并沒有在后期降低基金組合的風(fēng)險(xiǎn)，而業(yè)績較差的基金也沒在后期增加投資組合的風(fēng)險(xiǎn)以追求超額收益。投資基金的風(fēng)險(xiǎn)，不管是基金的總風(fēng)險(xiǎn)、系統(tǒng)性風(fēng)險(xiǎn)還是非系統(tǒng)性風(fēng)險(xiǎn)， 都表現(xiàn)出強(qiáng)烈的市場傾向性，當(dāng)大盤上升時(shí)，風(fēng)險(xiǎn)趨于上升；當(dāng)大盤下跌時(shí)風(fēng)險(xiǎn)趨于降低。基金經(jīng)理的風(fēng)險(xiǎn)調(diào)整行為是其能力的體現(xiàn)呢？本文采用詹森指數(shù)、H-M模型、T-M模型對(duì)基金經(jīng)理的選股擇時(shí)能力進(jìn)行了分析，研究結(jié)果表示基金經(jīng)理沒有明顯的市場時(shí)機(jī)把握能力和對(duì)有價(jià)值股票的選擇能力，其投資行為有很強(qiáng)的盲目性。最后，針對(duì)我國基金投資中存在的不理性和不合理現(xiàn)象，文章分析了我國基金經(jīng)理激勵(lì)機(jī)制方面存在的不足，提出了健全基金市場投資的合理化建議，使基金經(jīng)理和基金投資者在市場投資行為中的信息不對(duì)稱情況得以改善，保障基金投資者的利益。
[Abstract]:Because of the existence of principal-agent problem, fund investors can not understand whether the investment behavior of fund managers is to maximize the profits of investors. Fund managers may change the composition of the fund portfolio for their own benefit, which will increase the volatility of the fund returns. This paper focuses on the changes of the risk structure of the fund portfolio under the incentive of performance ranking. Furthermore, the paper deeply analyzes the stock timing ability of fund managers to explain the reasons for the changes of non-systemic risk and systemic risk in the fund portfolio. This paper extends the fund performance ranking to the adjustment of fund managers' investment risk. To study the theory and method. It has certain theoretical and practical significance. Domestic and foreign scholars on investment funds in the performance ranking period before and after the risk changes have been quite rich research results. However, there are some conflicts in the conclusion. The existing studies mainly focus on the analysis of the total risk of the fund under the incentive of performance ranking, but not on the non-systemic risk and systemic risk. But they have different status in the change of fund risk, which reflects the different ability of fund manager. The innovation of this paper is that the capital asset pricing model is used to decompose the fund risk. In order to explain the causes of risk change, the paper chooses Jensen index to study the changes of non-systemic risk and systemic risk under the incentive of performance ranking respectively. The H-M and T-M models analyze the stock timing ability of fund managers, so as to analyze whether the risk adjustment behavior of fund managers is rational and beneficial to the interests of fund share holders. This paper selects 50 active growth open-end funds as samples and collects their income data from 2008 to 2012. Using the capital asset pricing model, the risk of the fund portfolio is decomposed into systemic risk and non-systemic risk, and the total risk of the fund under different performance ranking criteria is studied by using the column table method. The changes of systemic risk and non-systemic risk in the first and later stages of the ranking. The conclusion shows that the risk of investment funds does not change with the change of performance ranking. The funds with better performance did not reduce the risk of the fund portfolio in the later period, and the funds with poor performance did not increase the risk of the portfolio in the later period to pursue the excess return. The risk of the investment fund. Whether it is the total risk of the fund, the systemic risk or the non-systemic risk, When the market is rising, the risk tends to rise; when the market falls, the risk tends to decrease. The risk adjustment behavior of fund managers is the embodiment of their ability? In this paper, the Jensen index H-M model and T-M model are used to analyze the stock timing ability of fund managers. The results show that fund managers have no obvious market opportunity grasp ability and the ability to select valuable stocks, their investment behavior is very blind. Finally. In view of the irrational and unreasonable phenomenon in China's fund investment, this paper analyzes the deficiencies in the incentive mechanism of fund managers in our country, and puts forward some reasonable suggestions on how to perfect the fund market investment. The information asymmetry between fund managers and fund investors in the market investment behavior can be improved to protect the interests of fund investors.
【學(xué)位授予單位】：上海師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51

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