【摘要】：隨著改革開放的持續(xù)進(jìn)行和市場(chǎng)化程度的不斷加深,近30年來(lái)中國(guó)經(jīng)濟(jì)經(jīng)歷了一個(gè)快速增長(zhǎng)的黃金期,受益于經(jīng)濟(jì)的飛速發(fā)展,中國(guó)的資本市場(chǎng)也迎來(lái)了屬于自己的春天,參與到資本市場(chǎng)的國(guó)內(nèi)投資者數(shù)量也日益龐大。而在資本市場(chǎng)眾多的投資產(chǎn)品中,基金產(chǎn)品由于其代投資者理財(cái)?shù)膶I(yè)性與較為可觀的收益性,受到了廣大投資者的熱切追捧。從1998年中國(guó)發(fā)起設(shè)立第一批公募基金,當(dāng)時(shí)規(guī)模僅有40億元,至2011年底已成長(zhǎng)為逾3.45萬(wàn)億元的市場(chǎng),年均增速達(dá)到驚人的68%,截止到2012年3月30日國(guó)內(nèi)共批準(zhǔn)成立了70家基金管理公司,運(yùn)作的基金達(dá)到1189只。從這些總量數(shù)據(jù)上來(lái)看,我國(guó)的基金行業(yè)確實(shí)已經(jīng)成為了資本市場(chǎng)中發(fā)展最快的行業(yè)之一。 但是在整個(gè)資本市場(chǎng)取得長(zhǎng)足進(jìn)步和快速發(fā)展的同時(shí),也暴露出許多這樣或那樣的問(wèn)題,因?yàn)槲覈?guó)的資本市場(chǎng)總體上仍然處于新興轉(zhuǎn)軌階段,舊體制下殘存的某些制度與行業(yè)慣例可能與轉(zhuǎn)型后的市場(chǎng)產(chǎn)生一些矛盾。例如在基金行業(yè)中,存在基金經(jīng)理人代為投資產(chǎn)生的道德風(fēng)險(xiǎn)和逆向選擇現(xiàn)象,而本文所要研究的基金風(fēng)格漂移現(xiàn)象就是這些問(wèn)題的具體表現(xiàn)之一。從基金投資者購(gòu)買基金產(chǎn)品的那一刻起投資者與基金公司之間實(shí)質(zhì)上已經(jīng)構(gòu)成了契約關(guān)系。本著誠(chéng)信的契約風(fēng)格,投資者遵照契約進(jìn)行基金的購(gòu)買與贖回,同樣基金管理者也應(yīng)該按照基金契約來(lái)履行自身的義務(wù),嚴(yán)格遵照契約的相關(guān)條款對(duì)基金進(jìn)行合法依規(guī)的運(yùn)作。然而由于監(jiān)管部門相關(guān)監(jiān)管的缺失和基金信息披露機(jī)制的不完善,加之投資者對(duì)自身有關(guān)權(quán)益的忽視,導(dǎo)致了諸多基金管理者違背基金契約的問(wèn)題,基金風(fēng)格漂移便是問(wèn)題之一�；痫L(fēng)格漂移是指根據(jù)基金所持有資產(chǎn)的特征所判定的基金風(fēng)格與基金招募說(shuō)明書中所闡述的投資風(fēng)格之間不吻合的現(xiàn)象。 從基金行業(yè)的誕生、興起到如今成熟的行業(yè)運(yùn)作,對(duì)基金投資風(fēng)格的探討與分析從未停止,它代表著一支基金運(yùn)作的原則和關(guān)鍵策略。關(guān)于基金投資風(fēng)格的理論,從最早的有效市場(chǎng)理論、現(xiàn)代投資理論,到后來(lái)的資本資產(chǎn)定價(jià)模型,再到當(dāng)前興起的行為金融學(xué)相關(guān)理論,這些理論的出現(xiàn)都不斷豐富著基金投資風(fēng)格方面的研究。本文在國(guó)內(nèi)外早期對(duì)基金風(fēng)格研究成果綜述的基礎(chǔ)上,采用Gruber因素模型對(duì)基金(本文均選取開放式股票型基金作為研究樣本)正式運(yùn)作后的風(fēng)格進(jìn)行判定,之后與名義風(fēng)格(基金募集時(shí)宣稱的投資風(fēng)格)進(jìn)行橫向比較,發(fā)現(xiàn)國(guó)內(nèi)的股票型基金大部分確實(shí)存在風(fēng)格漂移的現(xiàn)象。其中,將樣本期間切割成三個(gè)不同時(shí)期,縱向研究不同市場(chǎng)行情下基金風(fēng)格漂移存在的一些規(guī)律。通過(guò)實(shí)證研究我們另外發(fā)現(xiàn),基金投資風(fēng)格發(fā)生漂移的同時(shí)還呈現(xiàn)出一定的趨同性,并且同一基金公司旗下基金的趨同性更為明顯。 在某些時(shí)候基金風(fēng)格漂移帶來(lái)了基金收益的增加或損失的減少(相對(duì)于漂移前而言),甚至可以理解為是基金經(jīng)理人面對(duì)瞬息萬(wàn)變市場(chǎng)行情下的積極調(diào)整行為。如此一來(lái)我們將基金風(fēng)格漂移定性為單純的契約和操作違約行為似乎顯得有些過(guò)于偏激；可毫無(wú)疑問(wèn)的是基金風(fēng)格漂移現(xiàn)象的顯然在一定程度上放大了投資的風(fēng)險(xiǎn),違背了基金合約的投資原則和原始的契約精神。基金投資風(fēng)格漂移的發(fā)生有著多方面的原因,其中包括我國(guó)國(guó)內(nèi)市場(chǎng)行情的特殊性、基金經(jīng)理的整體素質(zhì)以及監(jiān)管缺失等,所以作為投資者和監(jiān)管部門更不應(yīng)該忽視對(duì)基金投資風(fēng)格的關(guān)注
[Abstract]:With the continuous deepening of reform and opening up and the deepening of the degree of marketization, China's economy has experienced a golden period of rapid growth in the past 30 years, benefiting from the rapid economic development, China's capital market also ushered in its own spring, and the number of domestic investors involved in the capital market is also increasingly large. In many of the investment products, the fund products have been highly sought after by the investors. The first batch of public funds was set up from China in 1998, with a scale of only 4 billion yuan, which had grown to more than 3 trillion and 450 billion yuan by the end of 2011, and the average annual growth rate reached an astonishing 68%. By the end of March 30, 2012, a total of 70 fund management companies were approved and 1189 funds operated. From these total data, China's fund industry has indeed become one of the fastest growing industries in the capital market.
However, while the whole capital market has made great progress and rapid development, it also exposes many such problems, because the capital market in our country is still in the emerging phase of transition. Some of the existing systems and industry practices under the old system may have some contradictions with the market after the transition. For example, in the fund industry, There is a phenomenon of moral hazard and adverse selection from fund managers to investment, and the phenomenon of fund style drift in this paper is one of the specific manifestations of these problems. From the moment when the fund investors bought fund products, investors and fund companies had formed a contractual relationship in essence. Contract style, investors comply with the contract for the purchase and redemption of the fund, the same fund managers should perform their own obligations according to the fund contract, strictly comply with the relevant provisions of the contract to the operation of the legal compliance of the fund. However, due to the lack of regulatory supervision and imperfect information disclosure mechanism of the fund, and The neglect of the investor's own rights and interests leads to the problem that a lot of fund managers violate the fund contract. The drift of the fund style is one of the problems. The style drift of the fund refers to the disagreement between the fund style and the investment style described in the fund recruitment instructions according to the characteristics of the assets held by the fund.
From the birth of the fund industry to the mature industry, the discussion and analysis of the fund's investment style never stopped. It represents the principle and key strategy of a fund operation. The theory of fund investment style, from the earliest effective market theory, the modern investment theory to the later capital asset pricing model, then to the end. The emergence of behavioral finance related theories, the emergence of these theories constantly enriches the research of fund investment style. On the basis of the early review of the research results of fund style at home and abroad, this paper adopts the Gruber factor model for the formal operation style of the Fund (this article selects the open stock fund as the research sample). After comparing with the nominal style (the investment style declared by the fund raising), it is found that most of the domestic stock funds do have the phenomenon of style drift. Among them, the sample period is cut into three different periods, and some laws of the fund style drift under different market conditions are studied. We also found that the drift of the fund's investment style also showed a certain convergence, and the convergence of the funds under the same fund company was more obvious.
In some cases, fund style drift brings the increase of fund income or loss (as opposed to drift), or even the positive adjustment of fund managers in the face of a fast changing market. Thus, it seems that the style drift of the fund seems to be a simple contract and a breach of contract. Some are excessively extreme; but there is no doubt that the phenomenon of fund style drift obviously amplifies the risk of investment to a certain extent, violates the investment principles of the fund contract and the original spirit of contract. There are many reasons for the occurrence of fund investment style drift, including the particularity of the domestic market market in China, the fund manager The overall quality and lack of supervision, so as investors and regulatory departments should not ignore the concern about the investment style of funds
【學(xué)位授予單位】：江西財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.51;F224

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