發(fā)布時間：2018-06-25 05:18

  本文選題：動量策略 + 反轉(zhuǎn)策略��； 參考：《華南理工大學》2014年碩士論文

【摘要】：中國證券市場自成立以來長期經(jīng)歷了暴漲暴跌，在中國證券投資基金成立之前，個人投資者被學界和實踐層普遍認為是造成市場動蕩的主要原因，在“超常規(guī)發(fā)展戰(zhàn)略投資者”的指導下，管理層開始大量的發(fā)展機構(gòu)投資者，基金作為市場最主要的投資者，管理層大量培育基金的目的是為了穩(wěn)定市場，而基金要穩(wěn)定市場與基金的投資行為有關(guān)，投資行為與市場的效率有關(guān)，在市場完全有效時，任何基金都不可能跑贏市場獲得超額收益，，而大量的學者研究指出我國的證券市場存在動量與反轉(zhuǎn)效應(yīng)，投資者基于動量與反轉(zhuǎn)效應(yīng)所采取的動量與反轉(zhuǎn)投資策略可以獲得超額收益，基金公司作為一個專業(yè)的管理者，其非常關(guān)注基金的收益，理論上來說，只要有利于基金業(yè)績提升，基金公司都不會放過這樣的機會，那么在我國的證券市場投資實踐上，基金公司是否采用了動量與反轉(zhuǎn)投資策略，如果采用了，是否基金動量與反轉(zhuǎn)投資策略對基金績效有貢獻，貢獻度有多大，這都是本文的研究出發(fā)點。另一方面，大量的學者研究表明，基金采取動量與反轉(zhuǎn)投資策略損害了市場的有效性，這與管理層發(fā)展機構(gòu)投資者的初衷相違背，以往的研究表明基金采取動量與反轉(zhuǎn)投資策略可以獲得長期的超額收益，這就造成了基金公司與管理層不可調(diào)和的矛盾。如果基金公司采用了動量與反轉(zhuǎn)投資策略后，基金的業(yè)績有很大提升，那么管理層需要重新考慮基金在市場中的作用和地位，并采取一定的政策措施以規(guī)范基金的運作行為和基金績效的評價；如果基金采用了動量與反轉(zhuǎn)投資策略對業(yè)績提升并不大，甚至損害了基金的業(yè)績，那么基金公司就做了“既不利己也不利人”的事情，一方面基金公司并沒有提升基金的業(yè)績，另一方面，基金公司還造成了市場的波動，導致市場的非有效。 本文正是基于以上的研究背景，首先從行為金融學的角度解釋動量與反轉(zhuǎn)投資策略，及對基金績效評價理論做了梳理，然后選取2006年1月1日之前成立的40只股票型開放式基金作為研究樣本，以2006年至2012年為全樣本研究期間，研究基金動量與反轉(zhuǎn)投資策略的存在性及具體采用的策略，接下來研究不同的市場波動下采用這兩種投資策略的區(qū)別，對基金績效的影響又如何，在此基礎(chǔ)上提出對基金公司的一些投資策略操作建議及基金管理層的一些政策建議，以豐富現(xiàn)有的研究成果。
[Abstract]:China's securities market has experienced a long period of ups and downs since its establishment. Before the establishment of the China Securities Investment Fund, individual investors were generally considered by scholars and practitioners to be the main causes of market turmoil. Under the guidance of "extraordinary development strategy investors", the management began to have a large number of development institutional investors. The fund, as the most important investor in the market, was cultivated by the management in order to stabilize the market. However, if the fund wants to stabilize the market, it has to do with the investment behavior of the fund, which is related to the efficiency of the market. When the market is completely effective, no fund is likely to outperform the market to obtain excess returns. However, a large number of scholars have pointed out that there are momentum and reversal effects in China's securities market, and investors can obtain excess returns by adopting momentum and reverse investment strategies based on momentum and reversal effects. Fund companies are a professional manager. It is very concerned about the return of the fund. Theoretically, as long as it is conducive to the improvement of the fund's performance, the fund company will not miss such an opportunity. Well, in the practice of investing in the securities market in our country, Whether the fund company has adopted momentum and reversal investment strategy, if so, whether the fund momentum and reverse investment strategy have contributed to the fund performance, which is the starting point of this paper. On the other hand, a large number of scholars have shown that the momentum and reverse investment strategies adopted by the fund undermine the effectiveness of the market, which is contrary to the original intention of the management to develop institutional investors. Previous studies have shown that funds can achieve long-term excess returns by adopting momentum and reverse investment strategies, which leads to irreconcilable contradictions between fund companies and management. If the fund company adopts a momentum and reversal investment strategy, the performance of the fund will improve greatly, then the management will need to reconsider the role and position of the fund in the market. And take certain policy measures to standardize the fund's operational behavior and fund performance evaluation; if the fund adopts momentum and reverse investment strategy to improve the performance of the fund, even damage the performance of the fund. On the one hand, the fund company has not promoted the performance of the fund, on the other hand, the fund company has also caused the market volatility, resulting in the market is not effective. Based on the above research background, this paper firstly explains momentum and reverse investment strategy from the perspective of behavioral finance, and combs the theory of fund performance evaluation. Then we select 40 open-end stock funds which were established before January 1, 2006 as the research sample. During the period from 2006 to 2012, we study the existence of the momentum and reverse investment strategies and the specific strategies adopted. Then the paper studies the difference between these two investment strategies under different market fluctuations, and how to influence the fund performance. On this basis, it puts forward some investment strategy operation suggestions to the fund company and some policy recommendations of the fund management. In order to enrich the existing research results.
【學位授予單位】：華南理工大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F830.42

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本文編號：2064762