在金融投資領(lǐng)域里,社會責任投資在今天逐漸成為一項迅速發(fā)展的趨勢,并在業(yè)內(nèi)各界引發(fā)各種研究熱潮。然而在中國,該領(lǐng)域尚未被研究與探索。本文通過使用中國大陸、香港及臺灣共49余個社會責任共同基金的數(shù)據(jù),將前人對該倫理基金性能的研究進行擴展及補充。我們運用共同基金性能評估分析的傳統(tǒng)工具,例如JENSEN的單因素模型,FAMA和FRENCH的三因素模型,和夏普及特雷諾比率,對該基金在2005到2010年期間的月收益進行分析研究。在對香港及臺灣的倫理基金市場進行研究之前,我們還針對中國大陸的社會責任基金及相對應的傳統(tǒng)基金樣本,在性能及成效上進行比較。我們的研究發(fā)現(xiàn),中國這兩種取決于選定準則的社會責任投資基金,在市場上或者表現(xiàn)超越市場,或者表現(xiàn)平平,但都已經(jīng)遠遠勝過其他類似的傳統(tǒng)基金。與此同時,我們還發(fā)現(xiàn),該社會責任基金的經(jīng)理人市場在把握時間的能力方面與傳統(tǒng)基金幾乎不相上下,甚至更勝一籌�；貧w模型的結(jié)果表明,大部分香港社會責任投資基金并沒有顯示出明顯的高于或低于市場的成效;然而,臺灣基金卻表現(xiàn)偏弱,并與市場走向相反,盡管幅度較為輕微。在比較上述三種投資基金過去兩年的表現(xiàn)時,我們發(fā)現(xiàn)香港與大陸基金的夏... 

【文章來源】：清華大學北京市 211工程院校 985工程院校 教育部直屬院校

【文章頁數(shù)】：108 頁

【學位級別】：碩士

【文章目錄】：
摘要
Abstract
Chapter 1 Introduction
    1.1 Presentation
    1.2 Research topic
    1.3 Methodology
    1.4 Plan of the thesis
Chapter 2 Socially Responsible Funds
    2.1 Research Background
        2.1.1 Definition
        2.1.2 A Brief History and Explanation of SRI
        2.1.3 Strategies used for SRI
    2.2 SRI in the World
        2.2.1 Global Context
        2.2.2 Possible reasons behind the fast growth of SRI market
    2.3 SRI In Mainland China
        2.3.1 SRI mutual funds in China
        2.3.2 China’s first series of environment themed closed‐ended funds
        2.3.3 China’s first environmental industry fund
        2.3.4 A SRI Hedge Fund In Hong‐Kong investing in China
        2.3.5 The first social index in China
        2.3.6 A growing number of future SRI funds
    2.4 SRI In Hong‐Kong
    2.5 SRI In Taiwan
Chapter 3 Literature Review
Chapter 4 Methodology
    4.1 Modelling Mean Returns with Jensen’s alpha
    4.2 Evaluating the Fund Manager’s Market Timing Capability: the Treynor‐Mazuy Mode
    4.3 Modelling Mean Returns with a multi‐factor model : Fama and French
        4.3.1 Formation of the Six Portfolio at Time t
    4.4 Modelling the Variability of Returns: GARCH(1, 1)
    4.5 Ranking of Mutual Funds based on risk‐adjusted performance
        4.5.1 The Treynor Index
        4.5.2 The Sharpe Ratio
        4.5.3 The Spearman Rank Correlation Coefficient and the t‐value
Chapter 5 Data
    5.1 Mainland China
        5.1.1 The SRI Funds in China
        5.1.2 Benchmarks
        5.1.3 Construction of the six Fama‐and‐French Portfolios for each year
    5.2 Greater China
        5.2.1 Taiwan and Hong‐Kong SRI funds
        5.2.2 Risk‐free Rates in Hong‐Kong and Taiwan
        5.2.3 Market Returns in Hong‐Kong and Taiwan
        5.2.4 Survivorship Bias
Chapter 6 Results
    6.1 Mainland China
        6.1.1 Modelling Mean Returns with Jensen’s Alpha
        6.1.2 Multi‐factor Model: Fama and French Results
        6.1.3 Ranking of Mutual Funds Based on Risk‐Adjusted Performance
        6.1.4 Treynor‐Mazuy regression results
        6.1.5 Modelling variability of returns: GARCH(1,1) results
    6.2 Greater China: Comparison with SRI funds in Hong‐Kong and Taiwan
        6.2.1 Jensen CAPM Results
        6.2.2 The Persistence Of Differences In Performance
Chapter 7 Conclusion and future work
    7.1 Conclusion on the results of this research
    7.2 Future work
References
Acknowledgements
Resume



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