本文選題：基金經(jīng)理 + 基金風(fēng)險　； 參考：《吉林大學(xué)》2013年碩士論文

【摘要】：證券投資基金是資本市場重要的投資工具，經(jīng)過多年的探索和實踐，我國基金市場正在日趨成熟，基金已經(jīng)成為被投資者普遍認可并接受的投資工具。另一方面，基金是一種集合投資、專業(yè)理財?shù)耐顿Y方式，投資者、基金管理公司和基金經(jīng)理之間以信任為基礎(chǔ)，形成了層層的委托代理關(guān)系，基金經(jīng)理在其中是至關(guān)重要的一環(huán)。基金經(jīng)理管理著基金資產(chǎn)，決定投資方向和投資策略，對基金資產(chǎn)價值的變化有著不可替代的責(zé)任。對于股票型基金來說，基金經(jīng)理在眾多的股票中挑選能夠升值保值的組合，由于受到基金規(guī)模的影響，每只基金可選擇股票的數(shù)量是有限的，每只基金投資的股票種類的和投資比例不可能完全相同，從而各個基金的風(fēng)險有所不同，基金經(jīng)理對倉位的選擇可能與他們的風(fēng)險偏好程度有關(guān)，而風(fēng)險偏好程度則可能受到來自于基金經(jīng)理本身的個人特征的影響，因此基金經(jīng)理的個人特征可能影響基金的風(fēng)險。二十世紀六七十年代興起的行為金融學(xué)的一部分研究也證實投資者本身的特征有可能影響投資心態(tài)。2008年，世界性金融危機波及我國資本市場，投資環(huán)境低迷，股票市場進入了熊市階段，，基金市場業(yè)績大幅下滑。在熊市中，風(fēng)險控制問題自然而然地成為一個投資者十分關(guān)心的問題，如果基金經(jīng)理能在熊市階段表現(xiàn)出十分出色的風(fēng)險控制水平，將為自身和基金管理公司贏得更多的信任。對于處于熊市中的市場來說，基金的風(fēng)險控制有利于穩(wěn)定投資者情緒，從而影響整個市場市場的平穩(wěn)運行，影響經(jīng)濟回暖和發(fā)展的步伐。 本文從生理特征、教育背景、技能水平和職業(yè)生涯四個方面刻畫基金經(jīng)理個人特征，研究他們對股票型基金的系統(tǒng)風(fēng)險、總風(fēng)險和極端風(fēng)險的影響，對基金經(jīng)理個人特征與基金風(fēng)險關(guān)系的問題給出一個全面的思考。在數(shù)據(jù)處理方面，本文在處理基金經(jīng)理頻繁更換的問題時采用了與以往國內(nèi)學(xué)者不同的方法，同時兼顧了樣本數(shù)量和任期連續(xù)的問題；在數(shù)據(jù)估計時，為了使數(shù)據(jù)包含的信息盡量完整地呈現(xiàn)出來，本文采用了帶有固定時間效應(yīng)的非平衡面板數(shù)據(jù)模型，同時以時間截面回歸的方法確認估計結(jié)果的可靠性。根據(jù)本文的研究結(jié)果，女性、技能水平較高的基金經(jīng)理表現(xiàn)出較好的風(fēng)險控制水平。有CPA資質(zhì)的基金經(jīng)理在控制系統(tǒng)風(fēng)險方面表現(xiàn)較好，有CFA資質(zhì)的基金經(jīng)理在極端風(fēng)險控制方面表現(xiàn)較好。其他基金經(jīng)理個人特征，比如從業(yè)時間的長短、是否有國外工作學(xué)習(xí)的經(jīng)驗或者是否參加MBA項目等，與基金風(fēng)險的關(guān)系不顯著。
[Abstract]:Securities investment fund is an important investment tool in the capital market. After many years of exploration and practice, the fund market of our country is maturing day by day, the fund has become the investment tool that is generally accepted and accepted by the investors. On the other hand, the fund is a kind of investment mode of collective investment, professional financial management, investors, fund management companies and fund managers based on trust, forming layers of principal-agent relationship. Fund managers are a vital part of it. The fund manager manages the fund assets, decides the investment direction and the investment strategy, has the irreplaceable responsibility for the change of the fund assets value. For equity funds, fund managers choose a portfolio of stocks that can appreciate and maintain their value. Because of the size of the fund, the number of stocks each fund can choose is limited. The type and proportion of stocks invested by each fund cannot be exactly the same, so the risk varies from fund to fund, and fund managers' choice of positions may depend on the degree of their risk appetite. The degree of risk preference may be affected by the personal characteristics of the fund manager, so the personal characteristics of the fund manager may affect the risk of the fund. Some studies on behavioral finance, which emerged in the 1960s and 1970s, also confirmed that the characteristics of investors themselves may have an impact on the investment mentality. In 2008, the global financial crisis spread to China's capital market and the investment environment was low. Stock market entered bear market stage, fund market achievement drops sharply. In a bear market, risk control naturally becomes an issue of great concern to investors. If fund managers can display a very good level of risk control during the bear market, they will win more trust for themselves and fund management companies. For a market in a bear market, the risk control of the fund is conducive to stabilizing investor sentiment, thus affecting the smooth operation of the market as a whole, and affecting the pace of economic recovery and development. This paper describes the personal characteristics of fund managers from the aspects of physiological characteristics, educational background, skill level and career, and studies their influence on systematic risk, total risk and extreme risk of stock fund. This paper gives a comprehensive consideration on the relationship between fund manager's personal characteristics and fund risk. In the aspect of data processing, this paper adopts a different method when dealing with the problem of frequent turnover of fund managers, while taking into account the problem of sample size and continuous tenure. In order to make the information contained in the data as complete as possible, a non-equilibrium panel data model with fixed time effect is adopted in this paper, and the reliability of the estimation results is confirmed by the method of time section regression. According to the results of this study, female fund managers with higher skill level showed better risk control level. Fund managers with CPA qualifications perform better in controlling system risks, while those with CFA qualifications perform better in extreme risk control. Other fund managers' personal characteristics, such as the length of employment, whether they have foreign work and study experience or whether they participate in MBA projects, are not significantly related to fund risk.
【學(xué)位授予單位】：吉林大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51

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