本文關(guān)鍵詞： 基金績(jī)效評(píng)價(jià) DEA模型 持續(xù)性 效率影響因素 Tobit模型　出處：《吉林大學(xué)》2013年碩士論文　論文類(lèi)型：學(xué)位論文

【摘要】：基金行業(yè)在我國(guó)是發(fā)展比較晚的但是充滿活力的行業(yè)。到2001年，我國(guó)的第一支開(kāi)放式基金-華安創(chuàng)新正式被批準(zhǔn)成立，這使我國(guó)基金步入了一個(gè)全新的時(shí)期。隨后，開(kāi)放式基金在規(guī)模上的發(fā)展出現(xiàn)了迅速的增長(zhǎng)。同時(shí)伴隨著出現(xiàn)了一些問(wèn)題。直到2003年10月《證券投資基金法》的頒布并開(kāi)始實(shí)施，是我國(guó)基金業(yè)史上的一個(gè)至關(guān)重要的里程碑，從此進(jìn)入了穩(wěn)步地，嶄新的發(fā)展階段。在之后，開(kāi)放式基金迅猛的發(fā)展過(guò)程中，其中股票型基金仍然占據(jù)著基金公司發(fā)布的產(chǎn)品中的主導(dǎo)地位。相對(duì)于股票，基金由于自身的優(yōu)越性，越來(lái)越受個(gè)人和機(jī)構(gòu)投資者的追捧。因此，為了使基金業(yè)在競(jìng)爭(zhēng)激烈的市場(chǎng)中更健康穩(wěn)定的發(fā)展，投資者更加理性準(zhǔn)確的選擇目標(biāo)基金，因此有必要對(duì)基金的經(jīng)營(yíng)效率進(jìn)行研究，對(duì)影響基金效率的重要因素進(jìn)行實(shí)證分析，探討基金業(yè)的經(jīng)營(yíng)情況，為基金管理公司和投資者提出相應(yīng)的參考建議。 本文首先運(yùn)用數(shù)據(jù)包絡(luò)分析方法（Data Envelopment Analysis,簡(jiǎn)稱(chēng)DEA）對(duì)27只基金2006-2012年的數(shù)據(jù)進(jìn)行實(shí)證分析。文中通過(guò)選取17只股票型基金、10只混合型基金，對(duì)其加以討論。實(shí)證研究結(jié)果顯示，2006-2012年間27只基金的技術(shù)效率值和規(guī)模效率值的波動(dòng)較大，這有很大的可能是與當(dāng)時(shí)的全球宏觀經(jīng)濟(jì)震蕩波動(dòng)有關(guān)。在2006年和2007年，基金整體的的平均效率值較高，，但是2008年幾乎達(dá)到了7年來(lái)最低的平均效率值。2009年，整體的平均效率值又迅速的得到回升。2010年和2011年又一次的下探。2012年整體基本上表現(xiàn)為回升。另外，根據(jù)分類(lèi)分析，對(duì)于不同類(lèi)型的基金，其效率值在不同的年份也有一定的差異�；旧媳憩F(xiàn)為，混合型基金的波動(dòng)較股票型小一些，并且表現(xiàn)出一定的滯后效應(yīng)。但是混合型并沒(méi)有跟預(yù)期一樣，表現(xiàn)出明顯的強(qiáng)勁的抗風(fēng)險(xiǎn)能力以及穩(wěn)定的運(yùn)營(yíng)效率。 在對(duì)樣本基金的效率值進(jìn)行分析之后，通過(guò)效率值的7年間的排序?qū)鸪掷m(xù)性進(jìn)行了簡(jiǎn)要分析，得出基金的效率在樣本期間并沒(méi)有表現(xiàn)出一定的持續(xù)性。然后通過(guò)選擇期初單位凈值、費(fèi)率、總份額變動(dòng)率、基金規(guī)模和收益率等五個(gè)假設(shè)影響基金效率值的變量指標(biāo)，利用受限因變量模型中的審查回歸模型（Tobit）對(duì)其進(jìn)行回歸，考察對(duì)基金效率值產(chǎn)生影響的潛在因素。回歸結(jié)果表明，期初單位凈值對(duì)基金的技術(shù)效率和規(guī)模效率都有正相關(guān)性影響。但是基金規(guī)模對(duì)效率值有一定的負(fù)相關(guān)的影響，其他的幾個(gè)影響因素都不是特別顯著的對(duì)效率值產(chǎn)生影響。特別注意的是，常數(shù)項(xiàng)對(duì)效率值的影響在所有的分析中都是完全顯著的。可以看出，除了上面的微觀因素對(duì)效率值的影響之外，基金還受其他因素，比如宏觀因素中的滬深300指數(shù)收益率，利率等等的影響。 由上面的實(shí)證分析可以得出以下結(jié)論：首先，證券投資基金本質(zhì)上雖然相對(duì)于股票，債券的風(fēng)險(xiǎn)較小，但是研究結(jié)果表明基金在幾年間的運(yùn)營(yíng)效率值并沒(méi)有表現(xiàn)完全有效，只是個(gè)別基金表現(xiàn)的相對(duì)有效些，且沒(méi)有表現(xiàn)出穩(wěn)定高效的持續(xù)性。由此建議投資者在選擇基金時(shí)，不能只看基金的過(guò)去盈利情況，因?yàn)檫^(guò)去可能在一段時(shí)間盈利高，但是整體來(lái)看是波動(dòng)的，并且盈利也不具有持續(xù)性。其次，通過(guò)對(duì)影響因素的回歸結(jié)果顯示，基金的內(nèi)在的因素對(duì)基金的影響并不是特別明顯，這就說(shuō)明基金可能在受自身因素影響下，受宏觀經(jīng)濟(jì)或者基金經(jīng)理的選股能力、擇時(shí)能力等多方面的影響因素比較多，從這方面考慮基金管理公司就要在培養(yǎng)高素質(zhì)，經(jīng)驗(yàn)豐富的基金經(jīng)理方面投入更多。
[Abstract]:The fund industry in China is relatively late development but vibrant industry. By 2001, the first opening of China's Innovation Fund - Huaan officially approved the establishment of the fund in China has entered a new period. Subsequently, the open-end funds in the scale of development there is a rapid growth. At the same time, along with the emergence of some problems. Until October 2003 "securities investment fund law" promulgated and implemented, is one of the most important milepost in China's fund industry history, has now entered steadily, a new stage of development. In the development process, the open-end fund rapidly, including stock funds still dominated fund company released product. Compared to the stock fund, because of its advantages, more and more individuals and institutional investors. Therefore, in order to make the fund industry in the fierce competition in the market In the development of a more healthy and stable, investors are more rational choice of target fund accurately, so it is necessary to study the fund's operating efficiency, to analyze the important factors affecting the efficiency of fund, operation of the fund industry, put forward the corresponding suggestions for the fund management companies and investment.
This paper uses the method of data envelopment analysis (Data Envelopment Analysis, referred to as DEA) to make an empirical analysis on 27 fund 2006-2012 years. A total of 17 stock funds in this paper, 10 hybrid funds, to be discussed. The empirical results show that the technical efficiency of 2006-2012 years, 27 fund value and scale the efficiency value of volatility, which is very likely with the relevant global macroeconomic shock wave. In 2006 and 2007, the average efficiency of the fund's overall value is higher, but in 2008 reached almost 7 years to the lowest average efficiency value of.2009 years, the average efficiency value of the overall picked up quickly in.2010 and in 2011 once again dropping the.2012 overall rebound basically. In addition, according to the classification analysis for the different types of funds, the efficiency value in different years are different. This shows that the volatility of mixed funds is smaller than that of stock type, and shows a certain lag effect. However, the mixed type is not as strong as expected, showing strong strong anti risk ability and stable operation efficiency.
The efficiency of the sample value of the fund was analyzed after 7 years, through the efficiency value ranking gives a brief analysis on the foundation of sustainability, efficiency that fund in the sample period did not show some persistence. Then by choosing the initial net unit, total share rate, the rate of change in the variable index fund size and the yield of five assumptions affect the efficiency of fund utilization value, limited dependent variable model in censored regression model (Tobit) of the regression, study of funds efficiency value potential influence factors. The regression results show that the initial net unit there was a positive correlation between the impact on fund technical efficiency and scale efficiency. But the fund size on the efficiency value of the negative effect of some relevant factors, the other is not a particularly significant impact on the efficiency value. Special attention is constant on the efficiency value. All the analysis is quite significant. It can be seen that besides the influence of the above microscopic factors on the efficiency, the fund is also influenced by other factors, such as the yield and interest rate of the CSI 300 index in the macro factors.
From the above analysis we can draw the following conclusions: first, the securities investment fund in essence though relative to the stock, the bond risk is small, but the results of the study show that the efficiency of fund operations in the past few years the value of not completely effective, but the individual fund performance of more effective, and did not show continuous stable and efficient. It is suggested that the investors in the choice of funds, not only the fund's past earnings, because in the past in a period of time may be highly profitable, but overall is fluctuating, and earnings are not sustainable. Secondly, through analyzing the influence factors of the regression results show that the fund's internal factors impact on the fund is not especially, the fund may be affected by its own factors, affected by macroeconomic or the fund manager's stock picking ability, timing ability and other aspects of the factors affecting the ratio More, from this point of view, the fund management companies should invest more in training high quality and experienced fund managers.

【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類(lèi)號(hào)】：F224;F832.51

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