本文關鍵詞： 基金績效評價 DEA模型 持續(xù)性 效率影響因素 Tobit模型　出處：《吉林大學》2013年碩士論文　論文類型：學位論文

【摘要】：基金行業(yè)在我國是發(fā)展比較晚的但是充滿活力的行業(yè)。到2001年，我國的第一支開放式基金-華安創(chuàng)新正式被批準成立，這使我國基金步入了一個全新的時期。隨后，開放式基金在規(guī)模上的發(fā)展出現(xiàn)了迅速的增長。同時伴隨著出現(xiàn)了一些問題。直到2003年10月《證券投資基金法》的頒布并開始實施，是我國基金業(yè)史上的一個至關重要的里程碑，從此進入了穩(wěn)步地，嶄新的發(fā)展階段。在之后，開放式基金迅猛的發(fā)展過程中，其中股票型基金仍然占據(jù)著基金公司發(fā)布的產(chǎn)品中的主導地位。相對于股票，基金由于自身的優(yōu)越性，越來越受個人和機構投資者的追捧。因此，為了使基金業(yè)在競爭激烈的市場中更健康穩(wěn)定的發(fā)展，投資者更加理性準確的選擇目標基金，因此有必要對基金的經(jīng)營效率進行研究，對影響基金效率的重要因素進行實證分析，探討基金業(yè)的經(jīng)營情況，為基金管理公司和投資者提出相應的參考建議。 本文首先運用數(shù)據(jù)包絡分析方法（Data Envelopment Analysis,簡稱DEA）對27只基金2006-2012年的數(shù)據(jù)進行實證分析。文中通過選取17只股票型基金、10只混合型基金，對其加以討論。實證研究結果顯示，2006-2012年間27只基金的技術效率值和規(guī)模效率值的波動較大，這有很大的可能是與當時的全球宏觀經(jīng)濟震蕩波動有關。在2006年和2007年，基金整體的的平均效率值較高，，但是2008年幾乎達到了7年來最低的平均效率值。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)分類分析，對于不同類型的基金，其效率值在不同的年份也有一定的差異�；旧媳憩F(xiàn)為，混合型基金的波動較股票型小一些，并且表現(xiàn)出一定的滯后效應。但是混合型并沒有跟預期一樣，表現(xiàn)出明顯的強勁的抗風險能力以及穩(wěn)定的運營效率。 在對樣本基金的效率值進行分析之后，通過效率值的7年間的排序對基金持續(xù)性進行了簡要分析，得出基金的效率在樣本期間并沒有表現(xiàn)出一定的持續(xù)性。然后通過選擇期初單位凈值、費率、總份額變動率、基金規(guī)模和收益率等五個假設影響基金效率值的變量指標，利用受限因變量模型中的審查回歸模型（Tobit）對其進行回歸，考察對基金效率值產(chǎn)生影響的潛在因素�；貧w結果表明，期初單位凈值對基金的技術效率和規(guī)模效率都有正相關性影響。但是基金規(guī)模對效率值有一定的負相關的影響，其他的幾個影響因素都不是特別顯著的對效率值產(chǎn)生影響。特別注意的是，常數(shù)項對效率值的影響在所有的分析中都是完全顯著的�？梢钥闯觯松厦娴奈⒂^因素對效率值的影響之外，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。 由上面的實證分析可以得出以下結論：首先，證券投資基金本質(zhì)上雖然相對于股票，債券的風險較小，但是研究結果表明基金在幾年間的運營效率值并沒有表現(xiàn)完全有效，只是個別基金表現(xiàn)的相對有效些，且沒有表現(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，不能只看基金的過去盈利情況，因為過去可能在一段時間盈利高，但是整體來看是波動的，并且盈利也不具有持續(xù)性。其次，通過對影響因素的回歸結果顯示，基金的內(nèi)在的因素對基金的影響并不是特別明顯，這就說明基金可能在受自身因素影響下，受宏觀經(jīng)濟或者基金經(jīng)理的選股能力、擇時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.

【學位授予單位】：吉林大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F224;F832.51

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