本文選題：基金評(píng)價(jià)　切入點(diǎn)：特定信息集　出處：《南京理工大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：至今基金業(yè)已取得了迅猛的發(fā)展,但是在發(fā)展的同時(shí)也引起了各方的關(guān)注。投資者如何才能在眾多的基金中選擇自己想要的基金,持有基金投資是否能夠獲得持續(xù)的超額收益,基金經(jīng)理是否具備專家風(fēng)范,基金公司應(yīng)如何合理評(píng)價(jià)基金經(jīng)理的業(yè)績(jī)表現(xiàn)等,這些仍然是我們不懈探求的問(wèn)題。對(duì)投資基金做出科學(xué)合理的業(yè)績(jī)?cè)u(píng)價(jià)顯得越來(lái)越重要。 本文主要應(yīng)用條件信息的Jensen模型,根據(jù)不同市場(chǎng)行情下的特定信息變量對(duì)市場(chǎng)影響不同,選取各時(shí)期市場(chǎng)的特定信息集來(lái)考察基金經(jīng)理的選股能力。同無(wú)條件信息Jensen模型相比,此模型更具有解釋力。在運(yùn)用條件信息Jensen模型的基礎(chǔ)上又深入考察了基金經(jīng)理的條件信息收益擇時(shí)和波動(dòng)擇時(shí)能力,實(shí)證發(fā)現(xiàn)：2006.6-2008.10大部分基金經(jīng)理表現(xiàn)出了收益擇時(shí)能力和選股能力,而2008.10-2009.8僅有少部分基金經(jīng)理表現(xiàn)出收益擇時(shí)和選股能力。這可能歸結(jié)為股市在經(jīng)歷了股份制改造、大小非解禁以及金融危機(jī)等一系列事件后,市場(chǎng)的有效性得以加強(qiáng),透明度更高等方面的原因。同時(shí),實(shí)證得到：這兩個(gè)牛熊市下的基金經(jīng)理都顯著表現(xiàn)出了波動(dòng)擇時(shí)能力；同擇時(shí)能力相比,擇股能力更能影響基金業(yè)績(jī)的變化。為此,本文進(jìn)一步運(yùn)用Block-Bootstrap方法分別對(duì)不同風(fēng)格基金,同一單邊牛熊市下基金經(jīng)理的擇股能力究竟是來(lái)源于自身投資才能還是其他因素進(jìn)行了相關(guān)分析,實(shí)證發(fā)現(xiàn)：基金經(jīng)理在風(fēng)格方面不具有持續(xù)的真實(shí)擇股能力；在經(jīng)歷牛市下的基金經(jīng)理更具有擇股能力,但其能力的體現(xiàn)更易受運(yùn)氣影響。
[Abstract]:So far, the fund industry has made a rapid development, but at the same time, it has attracted attention from all sides. How can investors choose the funds they want in a large number of funds, and whether holding funds can achieve sustained excess returns. Whether the fund manager has the expert style and how the fund company should evaluate the performance of the fund manager is still the question that we unremittingly seek. It is more and more important to make scientific and reasonable appraisal of the performance of the investment fund. This paper mainly applies the Jensen model of conditional information, according to the specific information variables under different market prices, the impact on the market is different. The specific information set of each period market is selected to investigate the fund manager's stock selection ability. Compared with the unconditional information Jensen model, This model is more explanatory. On the basis of the conditional information Jensen model, the paper makes a thorough study of the fund managers' ability of timing and volatility timing of conditional information. The empirical results show that most of the fund managers showed the ability of timing and stock selection, while only a small number of managers showed the ability of timing and stock selection in 2008.10-2009.8, which may be attributed to the stock market undergoing a share-holding system transformation. After a series of events, such as large and small non-lifting ban and financial crisis, the efficiency of the market is strengthened and the transparency is higher. At the same time, the empirical results show that the fund managers in these two bull and bear markets have obviously displayed the ability of timing volatility; Compared with the timing ability, the stock selection ability can affect the performance of the fund more. Therefore, this paper further uses the Block-Bootstrap method to analyze the different styles of funds. The paper analyzes whether the fund manager's stock selection ability comes from his own investment ability or other factors under the same unilateral bull bear market. The empirical results show that the fund manager does not have the sustained real stock selection ability in the aspect of style; Fund managers who experience a bull market are more likely to choose stocks, but their ability is more susceptible to luck.
【學(xué)位授予單位】：南京理工大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F830.91;F224

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