本文選題：基金業(yè)績 + 投資者投資行為　； 參考：《南京理工大學(xué)》2017年碩士論文

【摘要】：開放式基金的申購贖回制度,保證了投資者可隨時申購業(yè)績表現(xiàn)好的基金,贖回業(yè)績表現(xiàn)差的基金,對基金產(chǎn)品發(fā)揮了 "優(yōu)勝劣汰"的作用。然而在現(xiàn)實的基金市場中,業(yè)績上漲的基金反而可能會面臨贖回壓力,即投資者做出了 "反向選擇",贖回了業(yè)績表現(xiàn)好的基金。顯然這既不利于投資者獲得良好的投資回報,又增加了基金公司的管理壓力,同時加劇了基金市場的波動。國內(nèi)學(xué)者對此進行了大量研究,但主要研究對象是總體的投資者,而很少單獨考慮個人投資者的行為表現(xiàn)。目前,我國證券投資基金市場已呈現(xiàn)明顯的"散戶化"狀態(tài),個人基金投資者已成為基金投資的主力軍。因此對個人投資者的投資選擇行為進行研究,具有重要的現(xiàn)實意義。本文將基金投資者區(qū)分為個人投資者與機構(gòu)投資者,以不同類型投資者對偏股型與股票型基金的投資選擇行為為研究對象,通過實證來驗證個人投資者的"反向選擇"行為并進行解釋。具體而言,文章首先選取從2007年一季度到2014年四季度共96個季度(短期)與從2007年到2014年共8個年度(長期)的樣本區(qū)間,運用固定效應(yīng)的非平衡面板模型,對基金資金凈流量與基金歷史、本期業(yè)績的關(guān)系進行回歸分析,發(fā)現(xiàn)在短期、長期內(nèi)個人投資者均會"反向選擇";其次,從投資者對基金業(yè)績持續(xù)性的預(yù)期以及投資者投資策略兩個方向去解釋投資者的行為,認為:個人投資者對持有基金業(yè)績的持續(xù)增長缺乏信心,傾向贖回獲利基金來鎖住已得收益;如果前期的股市表現(xiàn)不好,更會增加投資者的不安情緒,個人投資者的動量追隨策略也會驅(qū)使其提前收回獲利基金。事實上,短期內(nèi)基金業(yè)績并不持續(xù),投資者的"反向選擇"行為,雖然不能使投資者獲得最高的收益,但是可以幫助投資者鎖住前期收益。而在長期內(nèi),基金業(yè)績具有持續(xù)性,投資者的"反向選擇"行為會使其不能得到良好的投資回報更有可能使其面臨損失。最后,對基金資金凈流量與未來業(yè)績的關(guān)系進行回歸分析,并結(jié)合GT投資組合變動法來檢驗投資者是否具有選擇基金的能力,結(jié)果表明我國基金投資者并不具有選擇基金的能力。根據(jù)實證結(jié)果,本文對個人投資者提出了相關(guān)建議:(1)培養(yǎng)風險意識以及分散投資觀念;(2)要正確的認識基金,培養(yǎng)長期的投資觀念;(3)加強金融理論學(xué)習,提升投資能力。
[Abstract]:The open-end fund requisition and redemption system ensures that investors can apply for the fund with good performance at any time, and redeem the fund with poor performance, which plays the role of "survival of the fittest" to fund products.However, in the real fund market, the fund with higher performance may face the pressure of redemption instead, that is, investors make a "reverse choice" and redeem the fund with good performance.Obviously this is not only bad for investors to obtain good return on investment, but also increases the management pressure of fund companies, and increases the volatility of fund market.Domestic scholars have done a lot of research on this, but the main object of study is the overall investors, but rarely consider the behavior of individual investors.At present, the securities investment fund market of our country has presented the obvious "retail investment" state, the individual fund investor has become the fund investment main force.Therefore, it is of great practical significance to study the investment choice behavior of individual investors.In this paper, fund investors are divided into individual investors and institutional investors.To verify the "reverse choice" behavior of individual investors and explain it.Specifically, the paper first selects 96 quarters (short term) from the first quarter of 2007 to the fourth quarter of 2014 and 8 years (long term) from 2007 to 2014, and uses the fixed effect non-equilibrium panel model.The regression analysis of the relationship between fund net flow and fund history, current performance shows that in the short term, in the long run, individual investors will "choose in the opposite direction"; secondly,To explain investors' behavior in terms of investors' expectation of fund performance sustainability and investor's investment strategy, it is believed that individual investors lack confidence in the continued growth of fund performance.The tendency to redeem profit-making funds to lock in gains; if the stock market does not perform well in the previous period, it will increase investor anxiety, and individual investors' momentum following strategy will also drive them to withdraw profit-making funds early.In fact, in the short run, fund performance is not sustainable, and investors'"reverse selection" behavior can help them lock up their upfront earnings, although they cannot achieve the highest return.In the long run, the performance of the fund is sustainable, and the investors' behavior of "reverse selection" will make it more likely to face losses if they fail to get a good return on their investment.Finally, the relationship between fund net flow and future performance is regressed, and the GT portfolio change method is used to test whether investors have the ability to select funds.The results show that Chinese fund investors do not have the ability to choose funds.According to the empirical results, this paper puts forward relevant suggestions to individual investors: 1) to cultivate risk consciousness and the concept of diversification. 2) to understand funds correctly and to cultivate long-term investment concepts. 3) to strengthen financial theory learning and to enhance investment ability.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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