本文選題：風(fēng)險(xiǎn)轉(zhuǎn)移 + 開(kāi)放式基金��； 參考：《西南財(cái)經(jīng)大學(xué)》2013年碩士論文

【摘要】：證券投資基金是證券市場(chǎng)發(fā)展的必然產(chǎn)物,在發(fā)達(dá)國(guó)家已有上百年的歷史,在中國(guó)也發(fā)展了二十多年�；仡欁C券投資基金在我國(guó)二十多年的發(fā)展歷史,它大致經(jīng)歷了三個(gè)階段：早期探索階段、試點(diǎn)發(fā)展階段、快速發(fā)展階段。1997年11月14日頒布的《證券投資基金管理暫行辦法》和2004年6月1日頒布的《證券投資基金法》是兩個(gè)重要的轉(zhuǎn)折點(diǎn)。但在證券投資基金高速發(fā)展的同時(shí),也存在很多問(wèn)題。因此,必須使基金的運(yùn)作行為規(guī)范化,其中最關(guān)鍵的就是要對(duì)基金的風(fēng)險(xiǎn)與績(jī)效等問(wèn)題進(jìn)行研究。 Ippolito (1992)、Chevalier和Ellison (1997)等大量研究認(rèn)為基金流量與基金績(jī)效的關(guān)系(FPR)是正相關(guān)且非對(duì)稱的,投資者的投資對(duì)基金經(jīng)理產(chǎn)生了一種隱性激勵(lì),即績(jī)效好的基金有大量現(xiàn)金流入,但是績(jī)效差的基金并沒(méi)有大量現(xiàn)金流出。由于這種隱性激勵(lì),基金經(jīng)理可能為了增加預(yù)期投資者資金的投入或者操縱基金的業(yè)績(jī)排名而從戰(zhàn)略上改變基金的風(fēng)險(xiǎn)水平。Brown等(1996)、Chevalier和Ellison (1997)等大量研究認(rèn)為這類風(fēng)險(xiǎn)轉(zhuǎn)移會(huì)降低基金績(jī)效,對(duì)投資者是不利的,應(yīng)該避免。因?yàn)轱L(fēng)險(xiǎn)轉(zhuǎn)移會(huì)引起交易成本,限制投資機(jī)會(huì),讓基金經(jīng)理從投資最有潛力的證券中分散注意力,并且低能力的基金更有風(fēng)險(xiǎn)轉(zhuǎn)移的傾向。但是也有一些研究認(rèn)為基金進(jìn)行風(fēng)險(xiǎn)轉(zhuǎn)移并不一定會(huì)損害投資者的利益。Huang等(2010)認(rèn)為基金經(jīng)理為了獲得較大的資金流入而與其他基金競(jìng)爭(zhēng)會(huì)發(fā)生的風(fēng)險(xiǎn)轉(zhuǎn)移,這種風(fēng)險(xiǎn)轉(zhuǎn)移可能不會(huì)使投資者受到影響。Ippolito (1989)、Ferson和Schadt (1996)等大量研究認(rèn)為基金經(jīng)理利用自己優(yōu)秀的能力進(jìn)行投資交易,改變基金資產(chǎn)組合的構(gòu)成,會(huì)間接發(fā)生風(fēng)險(xiǎn)轉(zhuǎn)移,這種風(fēng)險(xiǎn)轉(zhuǎn)移可能有益于投資者。 可見(jiàn),發(fā)生風(fēng)險(xiǎn)轉(zhuǎn)移后的基金績(jī)效結(jié)果與進(jìn)行風(fēng)險(xiǎn)轉(zhuǎn)移背后的經(jīng)濟(jì)動(dòng)機(jī)有很大的關(guān)系。之前有大量文獻(xiàn)研究基金經(jīng)理進(jìn)行風(fēng)險(xiǎn)轉(zhuǎn)移的動(dòng)機(jī),但很少有人研究風(fēng)險(xiǎn)轉(zhuǎn)移是高投資能力的信號(hào)還是錯(cuò)誤投資動(dòng)機(jī)的信號(hào)。因此,有必要研究風(fēng)險(xiǎn)轉(zhuǎn)移對(duì)證券投資基金績(jī)效的影響,分析風(fēng)險(xiǎn)轉(zhuǎn)移的途徑和原因,從而根據(jù)風(fēng)險(xiǎn)轉(zhuǎn)移的情況判斷基金績(jī)效的變化。 本文選取了2004年至2010年中國(guó)開(kāi)放式基金的數(shù)據(jù),研究了基金風(fēng)險(xiǎn)轉(zhuǎn)移對(duì)基金績(jī)效的影響,以及風(fēng)險(xiǎn)轉(zhuǎn)移低績(jī)效的途徑和原因。論文一共分為六章。第一章是引言；第二章是文獻(xiàn)綜述；第三章是模型和數(shù)據(jù),介紹了本文所采用的六種風(fēng)險(xiǎn)轉(zhuǎn)移的度量、五種基金績(jī)效的度量,基于Fama-Macbeth回歸方法的兩步驟多元回歸模型；第四、五章是實(shí)證分析,分別研究了風(fēng)險(xiǎn)轉(zhuǎn)移對(duì)基金績(jī)效的影響以及產(chǎn)生影響的途徑和原因。第六章對(duì)全文進(jìn)行總結(jié)。給出本文的主要結(jié)論,對(duì)投資者的投資建議,并指出了幾點(diǎn)可能的研究方向。 在風(fēng)險(xiǎn)轉(zhuǎn)移對(duì)基金績(jī)效的影響的研究中,本文做了以下四個(gè)方面的工作。首先,根據(jù)風(fēng)險(xiǎn)轉(zhuǎn)移大小對(duì)基金分類,計(jì)算了各分類下的基金特征均值。接著,為了考察風(fēng)險(xiǎn)轉(zhuǎn)移對(duì)基金績(jī)效的影響,分別計(jì)算風(fēng)險(xiǎn)轉(zhuǎn)移分類下的基金績(jī)效結(jié)果。然后,為了考察風(fēng)險(xiǎn)轉(zhuǎn)移影響的持續(xù)性,按照1、2、3個(gè)月前的風(fēng)險(xiǎn)轉(zhuǎn)移大小分類,并測(cè)量了各類基金績(jī)效結(jié)果,分析了基金進(jìn)行風(fēng)險(xiǎn)轉(zhuǎn)移對(duì)長(zhǎng)期基金績(jī)效的影響。為了進(jìn)一步考察風(fēng)險(xiǎn)轉(zhuǎn)移狀態(tài)的持續(xù)性,計(jì)算了風(fēng)險(xiǎn)轉(zhuǎn)移分類下的五類基金在之前4個(gè)月和之后8個(gè)月的風(fēng)險(xiǎn)轉(zhuǎn)移度量值。最后,為了考察風(fēng)險(xiǎn)轉(zhuǎn)移及其他基金特征與基金績(jī)效的相關(guān)性,基于Fama-Macbeth回歸方法,建立了兩步驟多元回歸模型,分析風(fēng)險(xiǎn)轉(zhuǎn)移及其他基金特征與基金績(jī)效的相關(guān)關(guān)系。 在風(fēng)險(xiǎn)轉(zhuǎn)移低績(jī)效的途徑和原因的研究中,本文做了以下三個(gè)方面的工作。首先,為了考察基金進(jìn)行風(fēng)險(xiǎn)轉(zhuǎn)移的方式,測(cè)量了風(fēng)險(xiǎn)轉(zhuǎn)移分類下的五類風(fēng)險(xiǎn)基金的現(xiàn)金比例、系統(tǒng)風(fēng)險(xiǎn)、非系統(tǒng)風(fēng)險(xiǎn)、規(guī)模因子、價(jià)值因子、動(dòng)量因子、控股數(shù)量這7個(gè)指標(biāo)的月均值與年均值之差。然后,為了考察風(fēng)險(xiǎn)轉(zhuǎn)移的主要途徑,分別計(jì)算了按六種風(fēng)險(xiǎn)轉(zhuǎn)移度量分類下,各類基金的績(jī)效。最后,為了考察風(fēng)險(xiǎn)轉(zhuǎn)移低績(jī)效的原因,在風(fēng)險(xiǎn)轉(zhuǎn)移分類下,基金特征指標(biāo)值和交易成本指標(biāo)值的大與小分別對(duì)基金績(jī)效的影響。 本文的研究主要得到了以下幾個(gè)方面的結(jié)論。(1)風(fēng)險(xiǎn)轉(zhuǎn)移會(huì)降低基金績(jī)效,且增加風(fēng)險(xiǎn)水平對(duì)基金績(jī)效的負(fù)影響更顯著。因此,風(fēng)險(xiǎn)轉(zhuǎn)移是基金經(jīng)理的錯(cuò)誤交易動(dòng)機(jī)和低能力的信號(hào)。(2)風(fēng)險(xiǎn)轉(zhuǎn)移是基金績(jī)效的先行指標(biāo),可預(yù)測(cè)差的基金績(jī)效。(3)風(fēng)險(xiǎn)轉(zhuǎn)移低績(jī)效的主要途徑是增加基準(zhǔn)偏離程度、增加股票所帶來(lái)的風(fēng)險(xiǎn)、增加非系統(tǒng)性風(fēng)險(xiǎn),其他途徑是減少現(xiàn)金持有比例、增加系統(tǒng)性風(fēng)險(xiǎn)。(4)費(fèi)用比率高、持續(xù)時(shí)間短、規(guī)模小、上年績(jī)效低的基金更傾向于進(jìn)行風(fēng)險(xiǎn)轉(zhuǎn)移,且對(duì)風(fēng)險(xiǎn)轉(zhuǎn)移低績(jī)效的敏感性更高；交易成本不是風(fēng)險(xiǎn)轉(zhuǎn)移的低績(jī)效的原因。 本文還可以從以下四個(gè)方面深入研究。進(jìn)一步探測(cè)風(fēng)險(xiǎn)轉(zhuǎn)移的形成期和消失期的長(zhǎng)度；增加投資行業(yè)集中指數(shù)(ICI)作為除所持股票數(shù)量外的另一個(gè)反映非系統(tǒng)性風(fēng)險(xiǎn)的指標(biāo)；進(jìn)一步挖掘其他的風(fēng)險(xiǎn)度量方式；考慮采用更多不同的基金績(jī)效度量方式進(jìn)行對(duì)比研究,以排除績(jī)效度量的模型誤差。 總體而言,本文的創(chuàng)新之處主要體現(xiàn)在如下三個(gè)方面。首先,國(guó)內(nèi)沒(méi)有人做過(guò)關(guān)于風(fēng)險(xiǎn)轉(zhuǎn)移對(duì)基金績(jī)效的影響的研究,在國(guó)外,最早的相關(guān)研究文獻(xiàn)是Huang等(2010),研究了美國(guó)的共同基金風(fēng)險(xiǎn)轉(zhuǎn)移與其績(jī)效的關(guān)系。因此,本文的研究在國(guó)內(nèi)尚屬首次研究風(fēng)險(xiǎn)轉(zhuǎn)移對(duì)基金績(jī)效的影響。其次,本文使用當(dāng)前波動(dòng)率與歷史波動(dòng)率之差作為度量風(fēng)險(xiǎn)轉(zhuǎn)移的指標(biāo),比傳統(tǒng)的直接使用所控股票的風(fēng)險(xiǎn)變化水平的度量以及通過(guò)比較前后兩個(gè)不重疊時(shí)期段的基金收益率的波動(dòng)率的度量更能準(zhǔn)確的反應(yīng)基金改變風(fēng)險(xiǎn)水平的程度。本文還采用了多種風(fēng)險(xiǎn)的風(fēng)險(xiǎn)轉(zhuǎn)移度量方法：基于現(xiàn)金的風(fēng)險(xiǎn)轉(zhuǎn)移度量、基于股票的風(fēng)險(xiǎn)轉(zhuǎn)移度量、基于系統(tǒng)性風(fēng)險(xiǎn)的風(fēng)險(xiǎn)轉(zhuǎn)移度量和基于非系統(tǒng)性風(fēng)險(xiǎn)的風(fēng)險(xiǎn)轉(zhuǎn)移度量、基于基準(zhǔn)偏離風(fēng)險(xiǎn)的風(fēng)險(xiǎn)轉(zhuǎn)移度量。最后,傳統(tǒng)使用Fama-Macbeth回歸方法的所用的時(shí)間序列回歸方程與橫截面回歸方程是相同的,本文從研究需要出發(fā),在Fama-Macbeth回歸方法的基礎(chǔ)上,建立了時(shí)間序列回歸方程與橫截面回歸方程不同的兩步驟多元回歸模型。其中被解釋變量是基金績(jī)效,時(shí)間序列回歸方程的解釋變量是基金績(jī)效的度量,而橫截面回歸方程的解釋變量是風(fēng)險(xiǎn)轉(zhuǎn)移及基金特征等基金績(jī)效的影響因素。
[Abstract]:The securities investment fund is the inevitable product of the development of securities market . It has been developed for more than 20 years in developed countries . It has experienced three stages : early exploration stage , pilot development stage and rapid development stage .

A large number of studies , such as Ippolito ( 1992 ) , Chemists , and Estates ( 1997 ) , believe that the relationship between fund flows and fund performance ( FPR ) is positive and asymmetric , and investors ' investment has generated a hidden incentive to fund managers , that is , a good performance fund has a large amount of cash inflows , but poor performance funds do not have a large amount of cash outflows . As a result of this implicit incentive , fund managers may not be affected by the risk transfer of fund managers . Mr . Brown et al . ( 1996 ) , Ferson and Schadt ( 1996 ) believe that fund managers use their own outstanding capabilities to invest in transactions , change the composition of fund portfolios , and may indirectly risk transfers , which may benefit investors .

Therefore , it is necessary to study the impact of risk transfer on the performance of securities investment fund , analyze the ways and reasons of risk transfer , and judge the change of fund performance based on the situation of risk transfer .

This paper selects the data of China Open Fund from 2004 to 2010 , and studies the impact of fund risk transfer on fund performance and the ways and reasons of low risk transfer performance . The thesis is divided into six chapters . The first chapter is introduction ;
The second chapter is the literature review .
The third chapter is the model and the data , introduces the measure of six kinds of risk transfer , the measure of five fund performance , the two - step multiple regression model based on Fama - Macbeth regression method .
The fourth and fifth chapters are positive analysis , respectively study the impact of risk transfer on fund performance and the ways and reasons for its impact . Chapter 6 summarizes the whole text . It gives the main conclusions of this paper , puts forward some suggestions for investors ' investment , and points out some possible research directions .

In order to examine the effect of risk transfer on fund performance , the paper calculates the fund performance results under the classification of risk transfer . Then , in order to investigate the impact of risk transfer on fund performance , the paper calculates the risk transfer measure value of five kinds of funds before and after four months and eight months . In order to investigate the persistence of risk transfer , the paper establishes two step multiple regression models , analyzes the correlation between risk transfer and other fund characteristics and fund performance .

In the study of the ways and reasons for the low performance of risk transfer , the paper has done the following three aspects : Firstly , in order to examine the way of the risk transfer of the fund , the difference between the monthly mean value and the annual mean value of the five risk funds under the risk transfer classification is measured . Then , in order to examine the main ways of the risk transfer , the performance of the various funds is calculated according to the six risk transfer measures . Finally , in order to examine the causes of the low performance of the risk transfer , the impact of the fund characteristic index value and the transaction cost index value on the performance of the fund is calculated under the risk transfer classification under the classification of risk transfer .

( 3 ) Risk transfer is the leading indicator of fund performance and can predict poor fund performance . ( 2 ) Risk transfer is the leading indicator of fund performance , which can predict poor fund performance . ( 3 ) The main approach to risk transfer is to increase the base deviation degree , increase the systemic risk .
Transaction cost is not the cause of low performance of risk transfer .

In this paper , the length of the formative period and the disappearance period of the risk transfer can be further studied in the following four aspects :
Increase the investment industry concentration index ( ICI ) as an indicator reflecting the non - systemic risk in addition to the number of shares held ;
Further excavation of other risk measures ;
Consider using more different fund performance metrics to conduct comparative studies to exclude model errors of performance metrics .

In general , the innovation in this paper is mainly embodied in the following three aspects : Firstly , no one has done the study on the impact of risk transfer on fund performance . In the foreign countries , the earliest relevant research literature is Huang et al . ( 2010 ) , which is based on the risk transfer measure of the stock , the two - step multiple regression model which is based on the risk transfer measure of the systemic risk and the risk transfer measure based on the non - systemic risk .

【學(xué)位授予單位】：西南財(cái)經(jīng)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;F224

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本文編號(hào)：1887893