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  本文關(guān)鍵詞： 委托-代理理論 窗飾行為 轉(zhuǎn)換收益率　出處：《復(fù)旦大學(xué)》2012年碩士論文　論文類型：學(xué)位論文

【摘要】：有效市場理論提出之后,眾多學(xué)者對市場有效性進行了檢驗,許多有悖于EMH的異�，F(xiàn)象被發(fā)現(xiàn),其中包括換月效應(yīng)。作為換月效應(yīng)的一種解釋,基金的窗飾行為也受到學(xué)者的普遍關(guān)注。 基金的窗飾行為分為兩種,一種是對投資組合的窗飾,一種是對投資業(yè)績的窗飾,本文的研究對象屬于后者,并設(shè)計了轉(zhuǎn)換收益率這一指標(biāo)來衡量基金對收益的窗飾程度。本文首先從委托-代理理論出發(fā),結(jié)合基金投資者對基金公司和基金經(jīng)理給予的顯性激勵和隱性激勵,對基金公司和基金經(jīng)理采取窗飾行為的動機進行分析,而后又分別對以下三個問題進行實證研究：第一,從整體上來講,我國基金業(yè)是否存在窗飾行為?第二,哪些基金的窗飾行為更為嚴(yán)重?第三,在基金所擁有的投資組合中,哪些股票更容易成為基金在期末進行窗飾的對象? 本文的研究結(jié)果表明：第一,從整體上來講,我國基金業(yè)在年末存在顯著的窗飾行為,但是沒有充足的證據(jù)證明其會在季末對基金業(yè)績進行窗飾；隨著旗下基金數(shù)量的增長,基金公司會從中挑選出一兩只基金進行窗飾,打造明星基金；第二,我國開放式基金在年末的窗飾行為較為嚴(yán)重,而沒有充足的證據(jù)證明封閉式基金會對業(yè)績進行窗飾；相對于前期表現(xiàn)平庸的基金,前期收益率較高或者較低的基金在期末的窗飾行為都更為嚴(yán)重；基金公司對旗下首只基金有較強的打造明星基金的動力,其在年末的窗飾行為顯著大于非首只基金；考慮到管理費用和窗飾的難度,大規(guī)�；鸷托∫�(guī)�；鹪谀昴┑拇帮棾潭蕊@著大于中規(guī)�；穑粸榱私档痛帮楋L(fēng)險,基金公司多選擇前期波動率較高的基金進行窗飾；第三,當(dāng)基金公司旗下多只基金抱團重倉一只股票時,該只股票在年末的窗飾程度較高；此外,一只股票的流動性越好、流通市值越低、前期表現(xiàn)越差、前期波動性越大,其在年末被窗飾的可能性也越大,轉(zhuǎn)換收益率越高。
[Abstract]:After the efficient market theory was put forward, many scholars have tested the market efficiency, and many abnormal phenomena contrary to EMH have been found, including the lunar exchange effect, as an explanation of the moon exchange effect. The fund's window decoration behavior also receives the scholar's universal concern. The window decoration behavior of the fund is divided into two kinds, one is the window decoration of the investment portfolio, the other is the window decoration of the investment performance. The research object of this paper belongs to the latter. And designed the conversion rate of return as an indicator to measure the degree of the return of the fund window decoration. Firstly, this paper starts from the principal-agent theory. Combined with the explicit and implicit incentives given by fund investors to fund companies and fund managers, this paper analyzes the motivation of fund companies and fund managers to take window decoration behavior. Then the following three issues are studied: first, on the whole, is there a window decoration behavior in China's fund industry? Second, which funds are more serious? Third, in the portfolio owned by the Fund, which stocks are more likely to be the end of the Fund window decoration object? The results of this paper show that: first, on the whole, the fund industry in our country has significant window-decoration behavior at the end of the year, but there is no sufficient evidence to prove that it will carry on the window decoration to the fund performance at the end of the season; With the growth of the number of funds, fund companies will pick out one or two funds for window decoration to create star funds; Second, China's open-end funds at the end of the window decoration behavior is more serious, but there is no sufficient evidence to prove that closed-end funds on the performance of window decoration; Compared with the funds with mediocre performance, the funds with higher or lower returns at the end of the period are more serious. Fund company to its first fund has a strong power to build star fund, its window decoration behavior at the end of the year is significantly larger than the first fund; Considering the cost of management and the difficulty of window decoration, the degree of window decoration of large fund and small fund is significantly higher than that of middle scale fund at the end of the year. In order to reduce the risk of window decoration, fund companies choose funds with high volatility in the early stage to carry out window decoration; Third, when the fund company's many funds group heavy positions of a stock, the stock in the end of the window decoration degree is high; In addition, the better the liquidity of a stock, the lower the circulation of market value, the worse the performance, the greater the volatility, the more likely it is to be windowed at the end of the year, and the higher the conversion rate.
【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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