本文關(guān)鍵詞：基金定投有效性研究　出處：《天津商業(yè)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

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【摘要】：基金定期定額投資（簡(jiǎn)稱基金定投）是基金申購(gòu)業(yè)務(wù)的一種方式，是指在相等的時(shí)間間隔內(nèi)將數(shù)額相同的資金用于特定的基金投資或投資組合。自2005年起，基金定投作為一個(gè)新型的理財(cái)方式進(jìn)入中國(guó)資本市場(chǎng)，并獲得快速發(fā)展。然而基金定投卻在學(xué)術(shù)領(lǐng)域處境尷尬，主流學(xué)術(shù)觀點(diǎn)George M. Constantinides(1979)忽視甚至反對(duì)進(jìn)行“基金定投”，認(rèn)為定期定額投資是一種消極的投資決策，忽略分析那些可能對(duì)決策產(chǎn)生重要影響的信息，比如股票價(jià)格變化，這種類似于賭博的心理是荒謬的，而一次總額投資法通過(guò)分析新的信息，可以有效地進(jìn)行選股擇時(shí)決策，其投資收益優(yōu)于定期定額投資法。因此在這個(gè)領(lǐng)域，證券實(shí)務(wù)界與學(xué)術(shù)界形成巨大反差。本文將通過(guò)理論分析和實(shí)證研究相結(jié)合的方法，研究論證基金定投的有效性。 本文首先從理論分析入手，分析研究基金定投盛行的三大理論基礎(chǔ)：現(xiàn)金流匹配原理、委托代理理論以及用半方差衡量風(fēng)險(xiǎn)，基金定投方式呈現(xiàn)更好的風(fēng)險(xiǎn)與收益的關(guān)系。然后通過(guò)實(shí)證研究，以2004年至2012年中國(guó)所有封閉式基金的交易數(shù)據(jù)作為樣本，按照樣本數(shù)據(jù)的行情分別對(duì)上漲行情、下跌行情和震蕩下跌行情進(jìn)行描述性統(tǒng)計(jì)和回歸分析，對(duì)比基金定投策略和一次總額投資策略的風(fēng)險(xiǎn)與收益的大小，證實(shí)研究假設(shè)，基金定投與一次總額投資基金二者的收益之差與基金價(jià)格波動(dòng)的（負(fù)）半方差系數(shù)呈正相關(guān)關(guān)系，并且以（負(fù)）半方差衡量風(fēng)險(xiǎn)，在證券市場(chǎng)下跌或震蕩下跌的行情中，基金定投方式下的收益比一次總額投資基金能獲取更高的收益，這說(shuō)明基金定投是有效的，基金定投能降低風(fēng)險(xiǎn)并利用風(fēng)險(xiǎn)，平攤成本，避開(kāi)擇時(shí)困難，同時(shí)這也充分解釋了基金定投業(yè)務(wù)在證券實(shí)務(wù)界廣受投資者青睞的原因。 本文在得出實(shí)證研究結(jié)論之后，結(jié)合證券實(shí)務(wù)界的實(shí)際情況，給出基金高效定投的策略，表明基金定投并不是適用于任何人的，高效的基金定投更需要投資者根據(jù)行情及自身需求，，對(duì)定投品種、定投金額和定投頻率進(jìn)行適時(shí)調(diào)整，定期檢查投資組合配置的有效性，靈活地進(jìn)行定投策略的調(diào)整，這樣才能更為有效的獲得長(zhǎng)期投資收益。 本文的研究意義在于，一方面，國(guó)外學(xué)術(shù)界對(duì)于定期定額投資法與一次總額投資法二者之間收益的孰優(yōu)孰劣一直爭(zhēng)議不斷，國(guó)內(nèi)關(guān)于這方面的研究屈指可數(shù)，并且絕大部分是證券實(shí)務(wù)界理財(cái)人員給出的投資建議。另一方面，在證券市場(chǎng)中，定期定額投資法應(yīng)用最多的體現(xiàn)在基金的申購(gòu)方式上，即基金定投，基金定投在實(shí)務(wù)界盛行已久的緣由，基金定投是否真正有效在學(xué)術(shù)上沒(méi)有給出充分地論證。因此。本文通過(guò)中國(guó)基金市場(chǎng)的交易數(shù)據(jù)直接比較定期定額投資法與一次總額投資法二者之間風(fēng)險(xiǎn)和收益的關(guān)系，并通過(guò)對(duì)基金的模擬申購(gòu)，揭示基金定投方式相較于一次總額投資方式，可以起到平攤成本，提高投資收益率的作用。本論文對(duì)基金采用定投方式的有效性進(jìn)行了充分的闡述，彌補(bǔ)了國(guó)內(nèi)關(guān)于基金定投有效性學(xué)術(shù)上的鑒證的空白。
[Abstract]:Fixed investment fund (the fund investment) is a way to fund purchase business, refers to the equal time interval of the same amount of funds for a specific fund or portfolio investment. Since 2005, the fund will be used as a new way of managing money China into the capital market, and achieve a rapid development. However but the fund will be in an awkward position in the academic field, the mainstream academic point of view (1979) George M. Constantinides ignored even against "fund investment", that fixed investment is a negative investment decision analysis, ignoring the information that might have an important influence on the decision, such as the stock price changes, this is similar to the gambling mentality is absurd the analysis of the new information through a total investment law, can effectively carry out the timing decision, the return on investment is better than the fixed investment law so. In the field of security practice in academic circles and the formation of a huge contrast. This paper combines through theoretical analysis and empirical study, the effectiveness of fund investment.
This paper first from the theoretical analysis, the analysis of the three theoretical basis of the fund will be popular: cash flow matching principle, principal-agent theory and risk measure with semi variance, the relationship between fund investment risk and return way better. Then through the empirical study on transaction data from 2004 to 2012 Chinese all closed-end funds as a sample according to the sample data, the market of rising prices, the market fell and the market tumbled for descriptive statistics and regression analysis, comparison of fund investment strategy and a total investment strategy risk and benefit of the size, confirmed the hypothesis, poor income fund investment with a total of two investment funds and fund price fluctuation the (negative) semi variance coefficient was positively correlated with (negative) and semi variance risk measure, or fall in the stock market tumbled in the market, fund Fixed investment income under a total investment fund than can obtain higher returns, the fund investment is effective, can reduce the risk of fund investment and the use of risk, flat cost, difficult to avoid timing, at the same time it also fully explains the fund investment business in securities practitioners widely favored by investors.
In this paper, the empirical research conclusion, combined with the actual situation of the securities practitioners, fund investment strategies are efficient, that fund investment is not applicable to any person, the fund will be more efficient to investors according to the market and their own needs, for investment varieties, investment amount and frequency will be adjusted, the effectiveness of regular inspection portfolio allocation, flexible adjustment of investment strategy, so that we can more effectively obtain long-term investment returns.
The significance of this paper is, on the one hand, the overseas academic gains in fixed investment and a total investment of two of the merits has been controversial, the domestic research on this aspect is very few, and most of them are securities practitioners of financial investment advice is given. On the other hand, in securities in the market, fixed investment method is the most widely used in fund purchase mode, namely the fund investment, the fund will be the reason in practice has been around for a long time, the fund investment is really effective in the academic did not give sufficient proof. Therefore. The relationship between the transaction data Chinese fund market direct comparison between fixed a total investment law and investment law two risks and benefits, and through the simulation of purchase fund, reveal a way to fund investment compared to the total amount of investment, can To split the cost, increase the investment return rate. In this paper, the effectiveness of the fund investment style was fully elaborated, make up the domestic blank on fund investment effectiveness of academic attestation.

【學(xué)位授予單位】：天津商業(yè)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

【參考文獻(xiàn)】

相關(guān)期刊論文 前1條

1 曾玲玲;符盈;;中國(guó)基金定投投資策略實(shí)證分析[J];中國(guó)證券期貨;2009年10期

本文編號(hào)：1441546