【摘要】：明確的基金投資風(fēng)格是投資者根據(jù)自己偏好選擇基金的基本前提，也是進(jìn)行投資的依據(jù)和基準(zhǔn)。但是國(guó)內(nèi)外大量的實(shí)證分析都表明基金投資風(fēng)格存在漂移現(xiàn)象。投資風(fēng)格的漂移違背了投資者當(dāng)時(shí)購(gòu)買基金的投資理念及初衷，可能會(huì)導(dǎo)致投資者基于自身風(fēng)險(xiǎn)偏好的目標(biāo)收益不能實(shí)現(xiàn)，使投資組合面臨新的風(fēng)險(xiǎn)，但也可能帶給投資者超越其目標(biāo)的收益。 另一方面，投資者行為的研究對(duì)監(jiān)管機(jī)構(gòu)、基金管理公司和投資者都有重要的意義，已有的文獻(xiàn)中從宏觀環(huán)境、基金收益率、規(guī)模、分紅等角度進(jìn)行了研究，但是鮮有文獻(xiàn)從基金的風(fēng)格漂移角度考慮。此外一般認(rèn)為機(jī)構(gòu)投資者為獲得穩(wěn)定收益會(huì)要求基金恪守其投資風(fēng)格，而個(gè)人投資者更多的是關(guān)注基金的業(yè)績(jī)，但是鮮有文獻(xiàn)對(duì)此做出實(shí)證研究證明。 為此本文首先運(yùn)用Sharpe模型來(lái)驗(yàn)證各類基金的實(shí)際投資風(fēng)格，并使用SDS指標(biāo)來(lái)測(cè)量風(fēng)格漂移程度。其次，，以投資者申購(gòu)、贖回、凈申購(gòu)為被解釋變量，引入基金業(yè)績(jī)、分紅、規(guī)模、風(fēng)格漂移程度、市場(chǎng)收益率等為解釋變量建立多元回歸模型，分析對(duì)投資者行為的影響。最后為揭示風(fēng)格漂移對(duì)個(gè)人與機(jī)構(gòu)投資者的影響，將投資者區(qū)分為個(gè)人投資者和機(jī)構(gòu)投資者，以凈申購(gòu)率為被解釋變量，通過(guò)多元回歸模型進(jìn)行分析。 通過(guò)本文研究主要得出以下幾點(diǎn)結(jié)論：1、中國(guó)開(kāi)放式基金存在嚴(yán)重風(fēng)格漂移現(xiàn)象，且具有趨同性。2、不同投資風(fēng)格類型、不同階段的基金漂移程度存在差異。3、基金風(fēng)格漂移對(duì)投資者申購(gòu)、贖回、凈申購(gòu)有影響，但不同時(shí)期表現(xiàn)不一。4、基金風(fēng)格漂移不能帶來(lái)基金業(yè)績(jī)的增長(zhǎng)。5、風(fēng)格漂移程度對(duì)個(gè)人與機(jī)構(gòu)投資者存在影響，機(jī)構(gòu)投資者更加厭惡基金的風(fēng)格漂移，且敏感程度也大于個(gè)人投資者。 國(guó)內(nèi)外學(xué)者在基金投資風(fēng)格識(shí)別和量化、投資者申購(gòu)與贖回影響因素方面做了大量的研究，與之前的研究相比，本文的創(chuàng)新與貢獻(xiàn)之處在于： 1、將基金風(fēng)格的漂移程度引入到分析投資者行為的模型中，并將投資者行為區(qū)分為申購(gòu)、贖回和凈申購(gòu)，以分析漂移程度對(duì)其影響。2、將投資者進(jìn)一步區(qū)分為個(gè)人投資者和機(jī)構(gòu)投資者，分析漂移程度對(duì)個(gè)人與機(jī)構(gòu)投資者凈申購(gòu)影響的異同。
[Abstract]:Clear fund investment style is the basic premise for investors to choose funds according to their own preferences, but also the basis and benchmark for investment. However, a large number of empirical analysis at home and abroad show that there is a drift in the style of fund investment. The drift of the investment style violates the investment idea and original intention of the investor at that time, which may lead to the unrealization of the target return of the investor based on his own risk preference, and make the portfolio face new risks. But it could also bring investors gains beyond their targets. On the other hand, the research on investor behavior is of great significance to regulators, fund management companies and investors. In the existing literature, it has been studied from the perspectives of macro-environment, fund yield, scale, dividend, and so on. But few documents look at the style drift of the fund. In addition, it is generally believed that institutional investors will require the fund to adhere to its investment style in order to obtain stable returns, while individual investors pay more attention to the performance of the fund, but few empirical studies have been done to prove it. In this paper, the Sharpe model is first used to verify the actual investment style of various funds, and the SDS index is used to measure the degree of style drift. Secondly, taking investors' requisition, redemption and net requisition as explanatory variables, introducing fund performance, dividend, scale, style drift and market yield as explanatory variables, a multiple regression model is established to analyze the impact on investors' behavior. Finally, in order to reveal the influence of style drift on individual and institutional investors, investors are divided into individual investors and institutional investors. The net requisition rate is taken as the explained variable and analyzed by multivariate regression model. The main conclusions of this paper are as follows: (1) there is a serious style drift phenomenon in China's open-end funds, and it has convergence. 2, there are differences in the degree of fund drift in different investment styles and stages. Fund style drift has an impact on investors' requisition, redemption and net requisition, but the performance of different periods is different. Fund style drift can not bring about the growth of fund performance. 5, the degree of style drift has an impact on individual and institutional investors. Institutional investors are more averse to fund style drift and more sensitive than individual investors. Domestic and foreign scholars have done a lot of research on fund investment style identification and quantification, investors' requisition and redemption influence factors. Compared with previous research, the innovation and contribution of this paper are as follows: 1, The drift degree of fund style is introduced into the model of analyzing investor behavior, and the investor behavior is divided into requisition, redemption and net requisition to analyze the impact of drift degree on it. The investors are further divided into individual investors and institutional investors, and the similarities and differences between individual and institutional investors in the impact of drift on net requisition are analyzed.
【學(xué)位授予單位】：華南理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2012
【分類號(hào)】：F832.5;F224

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