本文選題：開放式股票型基金 + 基金績效　； 參考：《哈爾濱工業(yè)大學(xué)》2014年碩士論文

【摘要】：流動性對資產(chǎn)收益的影響是目前學(xué)者研究的熱點之一。流動性對資產(chǎn)收益的實現(xiàn)至關(guān)重要。國內(nèi)外學(xué)者對流動性與股票橫截面收益之間的關(guān)系進行了大量的研究,主要集中在流動性的測度和對股票橫截面收益的影響上,關(guān)于流動性對基金績效影響的研究還比較缺乏。特質(zhì)風(fēng)險也是目前微觀金融結(jié)構(gòu)領(lǐng)域的熱點問題。特別是在市場波動保持穩(wěn)定時,股票間的相關(guān)性下降,系統(tǒng)性風(fēng)險在資產(chǎn)定價中的作用減弱,特質(zhì)風(fēng)險成為影響資產(chǎn)價格的重要因素。眾多文獻研究發(fā)現(xiàn)特質(zhì)風(fēng)險與股票收益之間存在正向相關(guān)關(guān)系,但是較少有人去論述特質(zhì)風(fēng)險對基金績效的影響。流動性高會導(dǎo)致資產(chǎn)價格快速上升或下跌,進而導(dǎo)致特質(zhì)風(fēng)險升高,同時,特質(zhì)風(fēng)險的升高之后有可能引起資產(chǎn)流動性降低,有必要將二者結(jié)合起來研究其共同對基金績效的影響,目前國內(nèi)外關(guān)于這方面的研究鮮有著述。本文以開放式主動型股票基金為研究樣本,研究流動性和特質(zhì)風(fēng)險單獨以及共同對基金績效的影響。通過Haunsman檢驗,采用隨機效應(yīng)面板數(shù)據(jù)回歸方法,基于加入流動性和特質(zhì)風(fēng)險的CAPM模型進行實證分析發(fā)現(xiàn):流動性與基金績效顯著負相關(guān),非流動性風(fēng)險越大,基金績效越高,與流動性溢價理論相符;特質(zhì)風(fēng)險與基金績效顯著正相關(guān),說明特質(zhì)風(fēng)險是基金績效的定價因素。將加入流動性和特質(zhì)風(fēng)險的CAPM模型引入流動性和特質(zhì)風(fēng)險的交互項后,交互項與基金績效顯著負相關(guān),說明在研究基金績效時,單一考慮流動性和特質(zhì)風(fēng)險是不完全的,應(yīng)該考慮兩個因子的交互影響。使用Fama-French三因素模型和Carhart四因素模型進行穩(wěn)健性檢驗,發(fā)現(xiàn)上述結(jié)果仍然成立。本文分析并驗證了流動性和特質(zhì)風(fēng)險對基金績效存在單一影響和交互影響。該發(fā)現(xiàn)在國內(nèi)相關(guān)文獻中尚未有討論。本文研究對投資者和基金經(jīng)理在投資決策時有所幫助。投資者衡量基金表現(xiàn)時有必要的關(guān)注流動性溢價和特質(zhì)風(fēng)險溢價�；鸾�(jīng)理在投資選股時,有必要同時關(guān)注特質(zhì)風(fēng)險和流動性,發(fā)現(xiàn)真實價值被高估或低估的證券,把握投資機會,提高投資回報。
[Abstract]:At present, the influence of liquidity on asset returns is one of the hotspots of scholars. Liquidity is crucial to the realization of asset returns. Scholars at home and abroad have done a lot of research on the relationship between liquidity and cross-section returns of stocks, mainly on the measurement of liquidity and the impact on cross-section returns of stocks, but the research on the impact of liquidity on fund performance is relatively scarce. Trait risk is also a hot issue in the field of micro financial structure. Especially when the market volatility remains stable, the correlation between stocks decreases, the role of systemic risk in asset pricing weakens, and idiosyncratic risk becomes an important factor affecting asset prices. Many studies have found that there is a positive correlation between trait risk and stock return, but there are few people to discuss the impact of trait risk on fund performance. High liquidity can lead to a rapid rise or fall in asset prices, which in turn leads to an increase in idiosyncratic risk, which, at the same time, may lead to a decrease in asset liquidity. It is necessary to combine the two to study the influence of the two on the performance of the fund. At present, there are few works on this aspect at home and abroad. This paper studies the effects of liquidity and idiosyncratic risk on the performance of open active stock funds. Through the Haunsman test, using the random effect panel data regression method, based on the CAPM model with liquidity and trait risk, it is found that liquidity is negatively correlated with fund performance, and the greater the illiquidity risk is, the higher the fund performance is. It is consistent with liquidity premium theory, and trait risk is positively correlated with fund performance, indicating that trait risk is the pricing factor of fund performance. After introducing the CAPM model of liquidity and trait risk into the interaction of liquidity and trait risk, the interaction item is negatively correlated with fund performance, which indicates that it is incomplete to consider liquidity and trait risk alone in the study of fund performance. The interaction of two factors should be considered. By using Fama-French three-factor model and Carhart four-factor model to test the robustness, it is found that the above results are still valid. This paper analyzes and verifies that liquidity and idiosyncratic risk have a single and interactive impact on fund performance. This finding has not been discussed in domestic literature. This study is helpful to investors and fund managers in their investment decisions. When investors measure fund performance, it is necessary to focus on liquidity premium and trait risk premium. It is necessary for fund managers to pay attention to both idiosyncratic risk and liquidity when they invest in stocks, and find out that the real value of securities is overvalued or undervalued, so as to grasp the investment opportunities and improve the return on investment.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51

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相關(guān)期刊論文 前1條

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本文編號：1779560