【摘要】：隨著經(jīng)濟(jì)的發(fā)展,私募基金已發(fā)展成為我國(guó)資本市場(chǎng)上的主要機(jī)構(gòu)投資者之一,當(dāng)前有關(guān)私募基金的研究主要集中在與其相關(guān)的法規(guī)建設(shè)、監(jiān)管制度等方面,而量化方面的研究卻鮮有涉及,更別說是考察私募基金經(jīng)理與基金業(yè)績(jī)之間的關(guān)系了。由于私募基金經(jīng)理是私募基金的直接操控者,對(duì)投資者而言,私募基金經(jīng)理的重要性就毋庸置疑了,這正如西方市場(chǎng)上流行的一種說法:“買基金就是買基金經(jīng)理”,那么什么樣的私募基金經(jīng)理能會(huì)投資者帶來更多的回報(bào)呢?相信這是每一個(gè)投資者在投資私募基金時(shí)首要關(guān)注的問題,從這一角度從發(fā),本文對(duì)私募基金經(jīng)理的相關(guān)特征與基金業(yè)績(jī)之間的關(guān)系進(jìn)行量化研究,以對(duì)投資者投資私募基金提供參考。 研究私募基金經(jīng)理的相關(guān)特征與基金業(yè)績(jī)之間的關(guān)系,其前提是私募基金經(jīng)理具有一定的投資管理才能(證券選擇能力、市場(chǎng)時(shí)機(jī)把握能力),通過積極的運(yùn)作,私募基金經(jīng)理能夠有效影響到基金的業(yè)績(jī),在這一前提下考察私募基金經(jīng)理的相關(guān)特征與基金業(yè)績(jī)之間的關(guān)系才具有價(jià)值。因此本文首先運(yùn)用成熟的T-M模型、H-M模型等分別對(duì)61個(gè)樣本基金進(jìn)行實(shí)證分析,以檢驗(yàn)國(guó)內(nèi)私募基金經(jīng)理的投資管理能力(證券選擇能力、市場(chǎng)時(shí)機(jī)把握能力),結(jié)果顯示,國(guó)內(nèi)私募基金經(jīng)理整體上具有一定的投資管理能力(主要表現(xiàn)為證券選擇能力),這一結(jié)論為本文接下來考察私募基金經(jīng)理特征與基金業(yè)績(jī)的關(guān)系奠定了基礎(chǔ)。 在上述研究的基礎(chǔ)上,本文考察了私募基金經(jīng)理相關(guān)特征(包括年齡、從業(yè)經(jīng)驗(yàn)、畢業(yè)學(xué)校、學(xué)歷、出身狀況、海外背景、MBA學(xué)位、管理基金數(shù)量等)與基金業(yè)績(jī)之間的關(guān)系,為使結(jié)論具有更好的代表性和可靠性,本文針對(duì)不同的市場(chǎng)行情,分上升和下降兩個(gè)階段對(duì)私募基金經(jīng)理的相關(guān)特征與基金業(yè)績(jī)之間的關(guān)系進(jìn)行研究,系統(tǒng)考察私募基金經(jīng)理相關(guān)特征狀況對(duì)基金業(yè)績(jī)的影響及在不同的市場(chǎng)條件下其對(duì)基金業(yè)績(jī)影響的異同。實(shí)證結(jié)果表明:私募基金經(jīng)理的年齡是影響基金業(yè)績(jī)的一項(xiàng)因素,在一定從業(yè)經(jīng)驗(yàn)的前提下,年輕的基金經(jīng)理更適合私募投資這一職業(yè);基金業(yè)績(jī)與基金經(jīng)理學(xué)歷的高低并不成正比;名校畢業(yè)的基金經(jīng)理更傾向于取得較好的業(yè)績(jī);正規(guī)出身的私募基金經(jīng)理(公募出身、券商出身)更值得市場(chǎng)投資者的信任;從業(yè)經(jīng)驗(yàn)和MBA在不同的市場(chǎng)行情下具有一致的差異性(市場(chǎng)下降階段,對(duì)基金業(yè)績(jī)的影響顯著為正;市場(chǎng)上升階段,對(duì)基金業(yè)績(jī)的影響為負(fù)),表明具有系統(tǒng)的金融投資理論與實(shí)戰(zhàn)經(jīng)驗(yàn)的基金經(jīng)理更傾向于理性投資而獲得穩(wěn)定的業(yè)績(jī)。研究結(jié)果對(duì)投資者、監(jiān)管當(dāng)局均具有重要的啟示意義。
[Abstract]:With the development of economy, private equity fund has developed into one of the main institutional investors in the capital market of our country. However, quantitative research is rarely involved, let alone examining the relationship between private equity managers and fund performance. Since private equity managers are direct manipulators of private equity funds, there is no doubt about the importance of private equity managers to investors, as is popular in Western markets: "buying funds is buying fund managers." So what kind of private equity managers can bring more returns to investors? It is believed that this is the primary concern of every investor when investing in private funds. From this perspective, this paper makes a quantitative study on the relationship between the relevant characteristics of private equity fund managers and the performance of private equity funds. To provide a reference for investors to invest in private funds. To study the relationship between the relevant characteristics of private equity fund managers and fund performance, the premise is that private equity managers have certain investment management ability (securities selection ability, market timing ability), through active operation, Private equity managers can effectively affect the performance of the fund, under this premise to investigate the relationship between the relevant characteristics of private equity fund managers and fund performance has value. Therefore, this paper first uses mature T-M model and H-M model to analyze 61 sample funds respectively to test the investment management ability of domestic private equity fund managers (securities selection ability, market timing ability). The results show that the domestic private equity managers as a whole have a certain ability of investment management (mainly the ability of securities selection). This conclusion lays a foundation for the next study of the relationship between the characteristics of private equity fund managers and fund performance. On the basis of the above research, this paper examines the relationship between the performance of private equity fund managers and the relevant characteristics (including age, employment experience, graduate school, education, background, overseas background, MBA degree, number of funds managed, etc.). In order to make the conclusion more representative and reliable, this paper studies the relationship between the related characteristics of private equity fund managers and fund performance in two stages of rising and falling according to different market conditions. This paper systematically investigates the influence of the relevant characteristics of private equity fund managers on fund performance and the similarities and differences of their effects on fund performance under different market conditions. The empirical results show that: the age of private equity managers is one of the factors that affect the performance of funds. Under the premise of certain experience, young fund managers are more suitable for private equity investment. The fund performance is not directly proportional to the fund manager's education; the fund manager who graduated from the famous school is more inclined to obtain better performance; the private equity fund manager with formal background (public offering background, securities firm origin) is more worthy of the trust of market investors; The employment experience and MBA have the same difference in different market prices (market decline stage, the impact on fund performance is significantly positive; At the stage of market rising, the influence on fund performance is negative, which indicates that fund managers with systematic financial investment theory and practical experience tend to invest rationally and obtain stable performance. The results of the study have important implications for investors and regulatory authorities.
【學(xué)位授予單位】：浙江財(cái)經(jīng)學(xué)院
【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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本文編號(hào)：2325505