本文選題：開放式基金 + 投資風(fēng)格　； 參考：《東華大學(xué)》2014年碩士論文

【摘要】：20世紀80年代后,世界證券投資基金業(yè)得到了快速發(fā)展,開放式基金更是步入了飛速發(fā)展時代。資本市場的成熟發(fā)展也推動了基金業(yè)的繁榮,隨著基金產(chǎn)品的持續(xù)大量發(fā)行,特別是開放式股票型基金規(guī)模的上升,為全球基金業(yè)創(chuàng)新發(fā)展打開了空間。截至2012年底,我國己成立80家基金公司,至2013年7月10日,我國開放式基金中股票型基金542只,混合型基金257只,債券型586只,LOF95只,ETF74只,QDII89只。開放式股票型基金已經(jīng)成為我國資本市場上重要的機構(gòu)投資者,也是促進資本市場健康發(fā)展的重要工具。 目前,國際上對基金投資風(fēng)格的研究主要使用兩種方法,基于組合的研究方法和基于收益的研究方法。前者需要獲得持有的全部股票的情況,因此存在數(shù)據(jù)的適時性和收集成本大等問題。后者由于應(yīng)用方便,是研究投資風(fēng)格時應(yīng)用最廣泛的方法。本文通過對基金投資風(fēng)格的識別及風(fēng)格漂移風(fēng)險測度兩方面對我國開放式股票型基金進行了深入的研究,通過比較分析,篩選風(fēng)格識別分析模型,并建立計量經(jīng)濟模型對基金風(fēng)格漂移進行了實證研究,分析各基金在研究期間的實際投資風(fēng)格情況及風(fēng)格變化情況,將所得結(jié)果與各基金事先聲稱的投資風(fēng)格相比較并分析其原因,并進一步探索風(fēng)格漂移風(fēng)險及其對基金績效的影響,針對研究中所發(fā)現(xiàn)的問題提出建議。 本文共分6章：第1章緒論部分,闡述了本文的研究背景及意義、基金投資風(fēng)格漂移的國內(nèi)外文獻綜述,以及論文的結(jié)構(gòu)框架和研究方法。第2章基金投資風(fēng)格研究的相關(guān)理論。本章先給出了基金投資風(fēng)格的定義,解釋了什么是風(fēng)格漂移、漂移風(fēng)險,并對投資風(fēng)格進行了分類。再者本章闡述并分析了投資風(fēng)格形成及風(fēng)格漂移形成的理論基礎(chǔ)。第3章是對我國基金投資風(fēng)格發(fā)展?fàn)顩r的研究。首先介紹了我國基金業(yè)的發(fā)展歷史并對開放式基金的發(fā)展?fàn)顩r進行分析,其次對于中美兩國的基金風(fēng)格的發(fā)展過程進行了比較。第4章是基金投資風(fēng)格的分析方法及篩選。詳細介紹了兩種事后風(fēng)格分析方法——基于組合的風(fēng)格分析法(PBSA)和基于收益率的風(fēng)格分析法(RBSA),并對兩種方法進行了比較,并提出了風(fēng)格識別方法的模型,對不同模型進行了分析,篩選出本文采用的識別模型。第5章是本文的重點。它是在第4章所選取的模型基礎(chǔ)上對基金風(fēng)格漂移進行實證分析,發(fā)現(xiàn)部分基金的實際風(fēng)格與名義風(fēng)格確實存在出入,發(fā)生了風(fēng)格漂移現(xiàn)象。通過分析實證結(jié)論,推斷風(fēng)格漂移現(xiàn)象產(chǎn)生的可能原因,并且進一步測度了風(fēng)格漂移的風(fēng)險,分析其對基金績效的影響。第6章是本文的結(jié)論,并根據(jù)結(jié)論提出政策建議。 本文可能的創(chuàng)新之處有三點：第一是研究的視角方面,由于開放式投資基金進入我國較晚,加之市場投資者投資理念的不成熟,國內(nèi)對基金投資風(fēng)格鮮有關(guān)注,涉及此方面的專業(yè)研究則更少；第二為了克服解釋變量自身的多重共線性問題,在研究方法上,使用橫向差分處理法,盡量消除多重共線性帶來的影響；第三研究的內(nèi)容方面,在分析名義投資風(fēng)格與實際投資風(fēng)格不同的基礎(chǔ)上,度量了基金風(fēng)格漂移現(xiàn)象的風(fēng)險,進一步分析基金風(fēng)格漂移對其績效的影響。
[Abstract]:After 1980s, the securities investment fund industry has been the rapid development of the open-end fund is also entered the era of rapid development. The mature development of capital market also contributed to the prosperity of the fund industry, with the continuous issuance of a large amount of fund products, especially the rise of open-end fund scale, open up space for the global fund industry the innovation and development. By the end of 2012, China has established 80 fund companies, to July 10, 2013, the stock fund open-end fund in 542, 257 hybrid funds, 586 bond, LOF95, ETF74, QDII89. Open stock fund has become an important capital market of our country institutional investors, it is also an important tool to promote the healthy development of the capital market.
At present, the research on investment style mainly use two kinds of methods, based on the combination of research methods and research methods based on income. The former need to obtain all the shares held by the situation, so there is the problem of data collection and timely cost. The latter method is convenient due to the application, Research on investment style of the most widely. In this paper, through two aspects of the fund's investment style and style drift risk identification measurement conducted in-depth research on the open-end funds in China, through the comparative analysis, screening style identification analysis model, and the establishment of econometric model for empirical research on fund style drift, analysis of the fund's actual investment style and during the study of the style changes, the results with the fund's investment style compared to prior claim and analysis of its causes, and further exploration of the wind Lattice drift risk and its impact on the performance of the fund, according to the research which found that the problems are proposed.
This paper is divided into 6 chapters: the first chapter is introduction, expounds the background and significance of this research, literature review of fund investment style drift, and the structure of the framework and research methods. The second chapter related theory research on investment style of fund. This chapter first gives the definition of investment style, explains what is style drift, drift risk, and classifies the investment style. Moreover this chapter describes and analyzes the investment style formation and theoretical basis of the formation of style drift. The third chapter is the research on the development situation of China's investment style. First it introduces the development history of China's fund industry and analyzed the development situation of open the second type fund, the development process for the Sino US fund style were compared. The fourth chapter is the analysis and selection of fund investment style. We introduced two kinds of post style analysis method Analysis of portfolio based style analysis method (PBSA) and the rate of return based style (RBSA), and the two methods were compared, and put forward the style recognition model of different models are analyzed, screening out the recognition model used in this paper. The fifth chapter is the focus of this paper. It is in the fourth chapter, the basis of the selected model of fund style drift empirical analysis, found that the actual name of the part of the fund's style and style really out there, the style drift phenomenon. Through the empirical analysis conclusion, may cause the inference of style drift phenomenon, and further to measure the risk of style drift, analyzes its influence to the fund performance. The sixth chapter is the conclusion, and puts forward some policy suggestions according to the conclusion.
The possible innovation of this paper has three points: first, from the perspective of research, due to the open investment fund into relatively late in China, and the market investors is not mature, the fund investment style little attention, professional research in this area is less; second self explanatory variables in order to overcome the multicollinearity problem in research methods, the use of transverse differential processing method to eliminate the influence of multicollinearity brought third aspects; the contents of the study, based on the analysis of nominal investment style and the actual investment style of different risk measure, the fund style drift phenomenon, further analysis of the impact of fund style drift on its performance.

【學(xué)位授予單位】：東華大學(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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