【摘要】：證券投資基金是一種利益共享、風(fēng)險共擔(dān)的集合證券投資方式。通過發(fā)行基金單位,集中投資者的資金,由基金托管人托管,由基金管理人管理和運用資金從事股票、證券等金融工具投資,證券投資基金發(fā)展到今天已成為世界范圍內(nèi)一種重要的投資渠道和理財工具。我國的基金業(yè)雖然起步較晚,但發(fā)展十分迅速。在短短十多年里,無論是基金發(fā)行的數(shù)量還是基金管理資產(chǎn)的規(guī)模都呈現(xiàn)出幾何式的增長。隨著投資者參與基金投資的熱情越來越高,基金業(yè)績好壞的評判成為越來越多人關(guān)心的問題�；饦I(yè)績是否能超越市場表現(xiàn)、過去表現(xiàn)優(yōu)異的基金能否在未來依舊獲得較好的收益成為廣大投資者關(guān)注的焦點。正因為如此,基金業(yè)績評價和基金業(yè)績的持續(xù)性研究應(yīng)運而生。由于國外證券投資基金發(fā)展時間較長,相關(guān)理論和實踐相對成熟,實證研究也非常深入,已經(jīng)形成了系統(tǒng)化的業(yè)績評價理論和體系。國內(nèi)業(yè)界在這些理論體系的基礎(chǔ)上對從業(yè)績持續(xù)性角度尋找績優(yōu)基金方面也做了大量的相關(guān)研究,然而由于方法不同也得出了相異的結(jié)論。 本文歸納整理了證券投資基金業(yè)績評價理論和業(yè)績持續(xù)性方面的主要方法,在分析研究Fama和French三因素模型的基礎(chǔ)上,借鑒國外研究經(jīng)驗并結(jié)合我國證券市場的實際情況和特點,構(gòu)建了四因素模型。通過實證研究,從絕對收益和風(fēng)險調(diào)整收益等不同角度對基金前后業(yè)績進行對比及相關(guān)性分析,最后總結(jié)了模型對于基金投資的實踐意義。 第一章為導(dǎo)論和文獻綜述。這部分內(nèi)容主要闡述了本文的研究背景和意義,具體介紹了國內(nèi)外學(xué)者在基金業(yè)績評價和業(yè)績持續(xù)性研究方面的理論成果。然后,介紹了本文的研究思路和研究方法,并對創(chuàng)新之處進行了總結(jié)歸納。 第二章是對證券投資基金業(yè)績評估理論的概述,介紹了證券投資基金業(yè)績評價理論及其方法,并對基金業(yè)績持續(xù)性研究相關(guān)內(nèi)容進行了闡述,其中包括評價理論及方法、影響因素及研究意義。 第三章是對證券投資基金的概述,介紹了證券投資基金的概念、分類以及我國基金業(yè)近幾年的發(fā)展情況,具體包括基金市場總量、資產(chǎn)份額、投資回報以及部分基金業(yè)績比較。 第四章四因素模型的構(gòu)建。這部分中首先詳細介紹了Fama Freneh三因素模型的理論體系和假設(shè)條件,在此基礎(chǔ)上提出了四因素模型,并對不同因素選取的變量進行了分析和介紹。這部分中還介紹了本文選取的研究樣本和業(yè)績衡量方法。 第五章是本文的核心內(nèi)容。這部分運用前文所構(gòu)建的四囚素模型對樣本數(shù)據(jù)進行回歸得到風(fēng)險調(diào)整收益,根據(jù)風(fēng)險調(diào)整收益對基金進行分組和排序。通過觀察基金在絕對收益、風(fēng)險調(diào)整收益、短期以及長期等不同維度上前后業(yè)績的對比,從而尋找模型對于基金業(yè)績持續(xù)性的解釋能力。 最后總結(jié)了本文的結(jié)論和對基金投資的啟示。
[Abstract]:Securities investment fund is a kind of collective securities investment mode which shares interests and shares risks. Through the issuance of fund units, the funds of the investors shall be centralized and managed and used by the fund managers to invest in stocks, securities and other financial instruments. Securities investment fund has become an important investment channel and financial tool all over the world. Although the fund industry of our country starts late, it develops very quickly. In more than a decade, both the number of fund issuance and the size of fund assets under management have shown geometric growth. With the increasing enthusiasm of investors to participate in fund investment, the evaluation of fund performance has become an issue of more and more concern. Whether fund performance can outperform market performance, and whether funds with excellent performance in the past can still achieve better returns in the future has become the focus of investors. Because of this, fund performance evaluation and fund performance research emerge as the times require. Due to the long development of foreign securities investment funds, the relative mature theory and practice, the empirical research is also very deep, has formed a systematic performance evaluation theory and system. On the basis of these theoretical systems, the domestic industry has also done a lot of research on looking for outstanding funds from the perspective of performance sustainability. However, different conclusions have been drawn because of the different methods. This paper summarizes the main methods of performance evaluation theory and performance persistence of securities investment funds. On the basis of analyzing and studying the three factor models of Fama and French, this paper draws lessons from foreign research experience and combines the actual situation and characteristics of China's securities market. A four-factor model is constructed. Through the empirical research, this paper compares and analyzes the performance of the fund before and after from the perspective of absolute income and risk-adjusted income, and finally summarizes the practical significance of the model for fund investment. The first chapter is introduction and literature review. This part mainly expounds the research background and significance of this paper, and introduces the theoretical achievements of domestic and foreign scholars in the field of fund performance evaluation and performance sustainability. Then, this paper introduces the research ideas and research methods, and summarizes the innovation. The second chapter is an overview of the performance evaluation theory of securities investment funds, introduces the performance evaluation theory and methods of securities investment funds, and describes the relevant contents of the performance sustainability research, including the evaluation theory and methods. Influencing factors and significance of research. The third chapter is an overview of the securities investment fund. It introduces the concept and classification of the securities investment fund and the development of the fund industry in China in recent years, including the total amount of the fund market, the share of assets, the return on investment and the comparison of the performance of some funds. The fourth chapter is the construction of four-factor model. In this part, the theoretical system and hypothetical conditions of Fama Freneh three-factor model are introduced in detail, and then the four-factor model is put forward, and the variables selected by different factors are analyzed and introduced. This part also introduces the selected research samples and performance measurement methods. The fifth chapter is the core content of this paper. In this part, we use the four-element model to regress the sample data to get the risk-adjusted income, and group and sort the fund according to the risk-adjusted income. By observing the comparison between the performance of the fund in different dimensions, such as absolute income, risk-adjusted return, short-term and long-term, so as to find out the explanatory ability of the model for fund performance sustainability. Finally, the conclusion of this paper and the inspiration to fund investment are summarized.
【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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