本文選題：股票型開放基金 + 買入壓力　； 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：近年來,隨著國內(nèi)金融市場(chǎng)的發(fā)展,共同基金迅速壯大,已成為機(jī)構(gòu)投資者中最重要的組成部分。其中的股票型開放式基金無論是從數(shù)量還是從凈資產(chǎn)額上,都占據(jù)了共同基金很大的部分。與有效市場(chǎng)理論不同,價(jià)格壓力假說認(rèn)為,短時(shí)間內(nèi)的大宗交易會(huì)對(duì)股票價(jià)格產(chǎn)生顯著影響。在這一理論背景下,本文利用中國市場(chǎng)上2005年到2013年股票型開放基金的持倉數(shù)據(jù),研究承受共同基金最大買入壓力的股票,是否會(huì)出現(xiàn)價(jià)格被高估現(xiàn)象,并在之后表現(xiàn)出不同的收益特征。本文首先將基金的買入壓力分為“資金驅(qū)動(dòng)型”與“信息驅(qū)動(dòng)型”,并對(duì)資金驅(qū)動(dòng)型股票與信息驅(qū)動(dòng)型股票進(jìn)行了比較,結(jié)果表明兩種股票都存在股價(jià)被高估,但高估程度無明顯差別。這表明國內(nèi)基金在選擇購買股票時(shí),并未表現(xiàn)出明顯的擇股能力。將“基金買入壓力股票”與“無基金買入壓力股票”的收益率對(duì)比后發(fā)現(xiàn),前者存在明顯的收益率反轉(zhuǎn),后者則不存在。因此,這證實(shí)了承受基金大的買入壓力的股票股價(jià)被高估。將股票三年的累計(jì)超額收益率與基金的買入壓力進(jìn)行回歸,發(fā)現(xiàn)無論是用市場(chǎng)模型還是三因子模型,基金的買入壓力都對(duì)累計(jì)收益率有顯著的負(fù)影響,即承受的基金買入壓力越大,之后三年累計(jì)收益率負(fù)值越大。最后,本文比較了基金買入壓力股票與無基金買入壓力股票的增發(fā)情況,檢驗(yàn)結(jié)果表明前者的增發(fā)概率顯著大于后者。如果公司進(jìn)行股票增發(fā)是市場(chǎng)時(shí)機(jī)選擇的結(jié)果,這從側(cè)面證實(shí)了買入壓力股票價(jià)格被高估。
[Abstract]:In recent years, with the development of domestic financial markets, mutual funds have grown rapidly and become the most important component of institutional investors. Equity-based open-end funds account for a large part of mutual funds, both in terms of quantity and net assets. In contrast to efficient market theory, the price pressure hypothesis suggests that a short period of large trading can have a significant impact on stock prices. Under this theoretical background, this paper makes use of the position data of stock open funds from 2005 to 2013 in China market to study whether the prices of stocks under the biggest buying pressure of mutual funds will be overvalued. And then show different income characteristics. In this paper, the buying pressure of fund is divided into "fund driven" and "information driven", and the comparison between capital-driven stock and information-driven stock shows that both stocks are overvalued. But there is no obvious difference in the degree of overestimation. This shows that domestic funds do not show a clear ability to choose stocks when they choose to buy them. By comparing the yield of "fund buy pressure-stocks" with "non-fund buy-pressure-stock", the former has obvious yield reversal, while the latter does not. As a result, this confirms the overvaluation of stocks under heavy buying pressure from the fund. The cumulative excess return of stock in three years is regressed with the buying pressure of the fund. It is found that the buying pressure of the fund has a significant negative effect on the cumulative return rate, whether it is based on the market model or the three-factor model. That is, the greater the pressure to buy the fund, the greater the cumulative negative return over the next three years. Finally, this paper compares the placement of fund buy pressure-stock with that of non-fund buy-pressure stock. The test results show that the probability of issuance of the former is significantly higher than that of the latter. If a company makes a stock placement as a result of market timing, it confirms that the buying pressure is overvalued.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：1813858