【摘要】：隨著我國金融市場的日益成熟，國際化進(jìn)程的加快，證券投資基金規(guī)模不斷的擴(kuò)大，風(fēng)格投資理論也越來越受到廣大投資者和金融研究工作者的關(guān)注，成為現(xiàn)代投資理論研究的熱點(diǎn)問題。 本文選取我國證券市場上90只開放式股票型投資基金為樣本，用風(fēng)格事先劃分的方法可以將這90只基金按照其所持股票市值（規(guī)模）大小分為小盤型和大盤型，按照其所持股票的加權(quán)平均市盈率大小分為價(jià)值型和成長型。通過對2001年-2011年小/大盤型、價(jià)值/成長型基金收益之差進(jìn)行分析得出，我國小盤型基金與大盤型基金的收益率表現(xiàn)為相互交替在均值上下波動(dòng)，，沒有一種能夠始終保持優(yōu)勢；而價(jià)值型基金的市場表現(xiàn)卻明顯的優(yōu)于成長型基金，但在個(gè)別時(shí)段成長型基金還是可以超越價(jià)值型基金的。這說明在我國證券投資基金市場上，風(fēng)格資產(chǎn)的收益具有周期性。 在我國證券市場上風(fēng)格資產(chǎn)收益存在周期性的前提下，運(yùn)用現(xiàn)代統(tǒng)計(jì)分析方法——人工智能神經(jīng)網(wǎng)絡(luò)方法建立風(fēng)格資產(chǎn)收益預(yù)測模型，并對2010年-2011年我國證券投資基金市場上小/大盤風(fēng)格資產(chǎn)和價(jià)值/成長型風(fēng)格資產(chǎn)的收益表現(xiàn)進(jìn)行預(yù)測，根據(jù)預(yù)測結(jié)果建立了規(guī)模風(fēng)格資產(chǎn)輪換策略和價(jià)值/成長型風(fēng)格資產(chǎn)輪換策略，對比它們與消極的持有單一風(fēng)格資產(chǎn)的投資策略的業(yè)績發(fā)現(xiàn)：在我國證券投資基金市場上實(shí)施積極的規(guī)模風(fēng)格資產(chǎn)輪換策略的業(yè)績顯著優(yōu)于消極的持有小/大盤風(fēng)格資產(chǎn)的投資策略；消極的持有價(jià)值型風(fēng)格資產(chǎn)的投資策略的業(yè)績明顯優(yōu)于實(shí)施積極的價(jià)值/成長型風(fēng)格資產(chǎn)輪換策略及消極的持有成長型風(fēng)格資產(chǎn)的投資策略。這說明，在我國證券投資基金市場上適合實(shí)施積極的風(fēng)格資產(chǎn)輪換策略，而不適合實(shí)施積極的價(jià)值/成長型風(fēng)格資產(chǎn)輪換策略。
[Abstract]:With the maturation of our financial market and the acceleration of the internationalization process, the scale of the securities investment funds is constantly expanding, and the theory of style investment has been paid more and more attention by investors and financial researchers. It has become a hot issue in the research of modern investment theory. In this paper, 90 open-end equity investment funds in China's securities market are selected as samples, and the 90 funds can be divided into small market type and large market type according to their stock market value (scale) by the method of style pre-division. It is divided into value type and growth type according to the weighted average price-earnings ratio of its stock. Through the analysis of the difference between the small / large market type, the value / growth fund income from 2001 to 2011, it is concluded that the return rate of the small-cap fund and the large-cap fund in China fluctuates alternately between the average value and the average value, and none of them can always maintain the advantage. But the market performance of the value fund is obviously better than that of the growth fund, but the growth fund can still surpass the value fund in some time. This shows that in China's securities investment fund market, the return of style assets has periodicity. On the premise of the periodicity of the return of style assets in the securities market of our country, the forecasting model of the income of style assets is established by using the modern statistical analysis method-artificial intelligence neural network method. And forecast the income performance of small / large market style assets and value / growth style assets in China's securities investment fund market from 2010 to 2011. Based on the prediction results, the scale style asset rotation strategy and the value / growth style asset rotation strategy are established. Comparing their performance with negative investment strategies with single style assets, it is found that the performance of positive scale style asset rotation strategy in China's securities investment fund market is significantly better than that of negative holding small / large market. Investment strategy of style assets; The negative investment strategy of value style assets is obviously superior to the positive value / growth style asset rotation strategy and the negative investment strategy of holding the growth style assets. This shows that it is suitable to implement the positive style asset rotation strategy in China's securities investment fund market, but not the positive value / growth style asset rotation strategy.
【學(xué)位授予單位】：蘭州商學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;TP18

【參考文獻(xiàn)】

相關(guān)期刊論文 前5條

1 鄧可斌;唐s

本文編號：2196880