本文選題：開放式基金 + 風(fēng)格漂移�。� 參考：《天津商業(yè)大學(xué)》2014年碩士論文

【摘要】：2004年《基金法》的頒布實施為我國基金業(yè)的發(fā)展奠定了法制基礎(chǔ)，我國基金業(yè)的監(jiān)管日趨完善，基金投資者的行為也逐漸規(guī)范，我國的基金行業(yè)進入了一個全新的迅猛的發(fā)展階段�；饦I(yè)的快速發(fā)展特別是開放式基金的崛起使基金業(yè)成為金融行業(yè)中發(fā)展最快的子行業(yè)。同時，隨著基金數(shù)目的不斷增加，基金行業(yè)的競爭也日趨激烈，為了滿足不同類型投資者的需求，基金公司推出不同投資風(fēng)格和投資策略的基金以區(qū)別于其他基金。但是在基金的實際投資中基金并不能堅守自己所宣稱的投資風(fēng)格，這就是本文所研究的基金風(fēng)格漂移現(xiàn)象。基金投資風(fēng)格漂移不但違背了基金契約精神，而且使得投資者承受了與自身承受能力不相符的風(fēng)險。因此本文對我國基金的投資風(fēng)格漂移識別及投資風(fēng)格漂移基金績效影響的研究具有重要的現(xiàn)實意義。 首先，本文對國內(nèi)外投資風(fēng)格漂移及投資風(fēng)格漂移對基金績效影響方面的相關(guān)文獻進行了梳理；其次，本文運用信息經(jīng)濟學(xué)和行為金融學(xué)理論對風(fēng)格漂移的成因進行了闡述，并重點介紹了基金投資風(fēng)格的事后識別方法，然后運用基于收益率的Gruber回歸模型對金融危機后的三個時期我國開放式股票型基金的投資風(fēng)格漂移情況進行了研究；最后，本文重點介紹了風(fēng)格漂移對基金績效影響的理論，并運用Gruber模型中的α指標(biāo)和Sharp比率對風(fēng)格漂移后的基金績效進行了衡量，最后并分析了風(fēng)格漂移的原因。 本文研究顯示：第一、我國開放式股票型基金在金融危機后的三個時期普遍存在風(fēng)格漂移現(xiàn)象，沒有表現(xiàn)出固定的投資風(fēng)格。第二、在金融危機后的上升時期基金普遍表現(xiàn)出大中盤平衡型風(fēng)格，震蕩整理時期基金風(fēng)格有所分化，下跌時期主要表現(xiàn)為大中盤成長型，存在風(fēng)格趨同現(xiàn)象。第三，投資風(fēng)格漂移對基金績效影響方面的實證分析表明，，在市場上升時風(fēng)格漂移有助于基金績效的提高，在下跌和整理時期則會削弱基金績效。
[Abstract]:The promulgation and implementation of the Fund Law in 2004 has laid a legal foundation for the development of the fund industry in China. The supervision of the fund industry in our country has become more and more perfect, and the behavior of fund investors has been gradually standardized. China's fund industry has entered a new rapid development stage. With the rapid development of fund industry, especially the rise of open-end funds, fund industry has become the fastest-growing sub-industry in financial industry. At the same time, with the increasing number of funds, the competition of fund industry is becoming more and more fierce. In order to meet the needs of different types of investors, fund companies introduce different investment styles and investment strategies of funds to distinguish them from other funds. But in the actual investment of the fund, the fund can not stick to its own investment style, which is the phenomenon of the drift of the fund style studied in this paper. The drift of fund investment style not only violates the spirit of fund contract, but also makes investors bear the risk which is inconsistent with their bearing ability. Therefore, this paper has important practical significance for the identification of investment style drift and the influence of investment style drift fund performance. First of all, this paper combs the relevant literature on investment style drift and the influence of investment style drift on fund performance. Secondly, this paper uses the theory of information economics and behavioral finance to explain the causes of style drift. Then the paper studies the drift of the investment style of open-end stock funds in three periods after the financial crisis by using the Gruber regression model based on the rate of return. This paper mainly introduces the theory of the influence of style drift on fund performance, and measures the fund performance after style drift by using 偽 index and Sharp ratio in Gruber model, and finally analyzes the reasons of style drift. The research shows that: first, there is a general phenomenon of style drift in the three periods after the financial crisis, and there is no fixed investment style. Secondly, in the rising period after the financial crisis, the fund generally displayed the balanced style of the large and middle disk, the fund style was differentiated in the period of concussion and collation, and in the period of decline, it mainly showed the growth type of the large and middle disk, and there existed the phenomenon of convergence of styles. Thirdly, the empirical analysis on the influence of investment style drift on fund performance shows that style drift helps to improve fund performance when the market rises, and weakens fund performance in the period of decline and consolidation.
【學(xué)位授予單位】：天津商業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.51;F224

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