本文關(guān)鍵詞：基于非線性前沿面DEA模型的基金績(jī)效評(píng)價(jià)研究　出處：《天津大學(xué)》2016年博士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 證券投資基金 績(jī)效評(píng)價(jià) 數(shù)據(jù)包絡(luò)分析 非線性前沿面 績(jī)效持續(xù)性

【摘要】：隨著我國(guó)證券投資基金行業(yè)的快速發(fā)展,基金績(jī)效評(píng)價(jià)成為了備受關(guān)注的研究熱點(diǎn)。從靜態(tài)的角度,證券投資基金是一類具有風(fēng)險(xiǎn)-收益特征的金融產(chǎn)品,因此傳統(tǒng)的績(jī)效評(píng)價(jià)方法均遵循資產(chǎn)定價(jià)理論的分析框架,采用風(fēng)險(xiǎn)調(diào)整收益作為相應(yīng)的績(jī)效指標(biāo)。然而,從動(dòng)態(tài)的角度,風(fēng)險(xiǎn)向收益的轉(zhuǎn)化類似于一項(xiàng)生產(chǎn)過(guò)程,所以可以把證券投資基金視為通過(guò)輸入一定風(fēng)險(xiǎn)而獲得相應(yīng)收益輸出的持續(xù)性系統(tǒng)。基于這一思路,本文構(gòu)造了具有非線性生產(chǎn)前沿面的超效率DEA模型,并引入Malmquist-DEA指數(shù)的概念,利用連續(xù)多期的橫截面數(shù)據(jù)與面板數(shù)據(jù),對(duì)2007-2013年間我國(guó)開(kāi)放式股票型基金的績(jī)效表現(xiàn)、持續(xù)性特征與效率變動(dòng)軌跡進(jìn)行了實(shí)證檢驗(yàn),并在此基礎(chǔ)上進(jìn)一步揭示了影響基金績(jī)效的關(guān)鍵性因素。首先,選取標(biāo)準(zhǔn)差、Beta系數(shù)、在險(xiǎn)價(jià)值和單位基金凈資產(chǎn)費(fèi)用率作為輸入指標(biāo),選取復(fù)權(quán)單位凈值增長(zhǎng)率和加權(quán)平均凈值利潤(rùn)率作為輸出指標(biāo),針對(duì)最優(yōu)生產(chǎn)前沿面的非線性特點(diǎn),采用雙對(duì)數(shù)處理方式建立Log型超效率DEA模型,實(shí)證分析了我國(guó)開(kāi)放式股票型基金市場(chǎng)的整體績(jī)效情況。然后,在此基礎(chǔ)上將DEA綜合效率進(jìn)一步分解為技術(shù)效率和規(guī)模效率,討論了基金業(yè)績(jī)的橫截面差異并進(jìn)行歸因研究。就經(jīng)濟(jì)含義而言,規(guī)模效率可理解為基金承受的風(fēng)險(xiǎn)水平,技術(shù)效率則反映了基金經(jīng)理管理這部分風(fēng)險(xiǎn)的能力接下來(lái),以DEA效率為代理指標(biāo),通過(guò)雙向表法和相關(guān)性檢驗(yàn)的非參數(shù)方法,重點(diǎn)考察了基金業(yè)績(jī)的持續(xù)性特征及其影響因素。另外,考慮最優(yōu)生產(chǎn)前沿面的變動(dòng),在空間與時(shí)間的雙重維度下構(gòu)建Malmquist-DEA模型,對(duì)我國(guó)開(kāi)放式股票型基金績(jī)效進(jìn)行動(dòng)態(tài)評(píng)價(jià),以反映效率水平的變動(dòng)軌跡。最后,總結(jié)全文,指出文中存在的不足,并在此基礎(chǔ)上圍繞DEA模型背后的經(jīng)濟(jì)含義、基金業(yè)績(jī)橫截面差異與市場(chǎng)環(huán)境的關(guān)系等問(wèn)題,對(duì)未來(lái)研究做出了展望。
[Abstract]:With the rapid development of the securities investment fund industry in China, fund performance evaluation has become a hot research topic. From the static point of view, the securities investment fund is a kind of financial products with the characteristics of risk-income. Therefore, the traditional performance evaluation methods follow the analytical framework of asset pricing theory, using risk-adjusted returns as the corresponding performance indicators. However, from a dynamic point of view. The transformation from risk to income is similar to a production process, so the securities investment fund can be regarded as a continuous system to obtain the corresponding income output through the input of certain risks. In this paper, the super-efficiency DEA model with nonlinear production frontier is constructed, and the concept of Malmquist-DEA exponent is introduced, and the cross-section data and panel data of continuous multi-period are used. This paper empirically tests the performance, persistence and efficiency of open-end equity funds in China from 2007 to 2013. And on this basis further revealed the key factors that affect the performance of the fund. First, select the Beta coefficient of standard deviation, in the risk value and the unit fund net asset expense rate as the input index. This paper selects the growth rate of unit net worth and the weighted average profit rate of net worth as output indexes, aiming at the nonlinear characteristics of the optimal production frontier, the Log super-efficiency DEA model is established by double logarithmic processing. Empirical analysis of the overall performance of China's open-end equity fund market. Then, on this basis, the comprehensive efficiency of DEA is further divided into technical efficiency and scale efficiency. This paper discusses the cross-sectional differences of fund performance and makes a attribution study. In terms of economic meaning, scale efficiency can be understood as the risk level to which the fund is exposed. The technical efficiency reflects the fund manager's ability to manage this part of the risk. Then, taking the DEA efficiency as the proxy index, the non-parametric method through two-way table method and correlation test is adopted. In addition, considering the change of the optimal production frontier, the Malmquist-DEA model is constructed under the dual dimension of space and time. The performance of open-end equity funds in China is dynamically evaluated to reflect the changing track of efficiency level. Finally, the paper summarizes the full text and points out the deficiencies in the paper. On this basis, the future research is prospected around the economic meaning behind the DEA model, the relationship between the cross-section difference of fund performance and the market environment and so on.
【學(xué)位授予單位】：天津大學(xué)
【學(xué)位級(jí)別】：博士
【學(xué)位授予年份】：2016
【分類號(hào)】：F224;F832.51
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本文編號(hào)：1375014