本文選題：基金家族 + 共同持股行為��； 參考：《湖南師范大學》2016年碩士論文

【摘要】：隨著我國基金業(yè)的發(fā)展,基金公司數(shù)量和規(guī)模也得到迅速的擴大,基金公司以及證券投資基金在證券投資市場的影響力正日益擴大。如果能對基金的投資行為進行廣泛而深入的研究,那么就能為健全發(fā)展證券市場提供一些研究支持。本文以基金家族共同持股行為為研究對象,介紹了研究背景及意義,并對國內(nèi)外的文獻進行了梳理與綜述。對基金家族共同持股行為及其業(yè)績的現(xiàn)狀以及兩者間的相關(guān)性進行了闡述,并深入分析了基金家族共同持股的原因,探討了基金家族共同持股行為影響其業(yè)績的原理。通過整理Wind金融資訊中的數(shù)據(jù),對基金家族共同持股程度及基金家族的業(yè)績進行描述與分析,并構(gòu)建面板數(shù)據(jù)模型,運用計量軟件Stata對2010年第一季度至2015年第二季度基金家族共同持股行為對其業(yè)績的影響進行實證分析。通過面板回歸分析,得到以下結(jié)論:(1)實證檢驗結(jié)果表明基金家族內(nèi)部共同持股行為能提升基金公司整體超額收益率。(2)實證檢驗結(jié)果表明基金家族共同持股行為都不能改善該基金家族經(jīng)過風險調(diào)整后的業(yè)績——sharpe比率。換言之就是該基金家族通過一定程度的共同持股來換取超額收益的行為是建立在冒著更大風險的基礎(chǔ)上做的。根據(jù)實證結(jié)果,針對基金公司自身、基金投資人、監(jiān)管當局、第三方評級機構(gòu)分別提出了一些建議。
[Abstract]:With the rapid development of China's fund industry, the number and size of the fund company is rapidly expanding, fund companies and securities investment fund in securities investment market influence is growing. If the extensive and in-depth research on the fund's investment behavior, it can provide some support for the healthy development of the securities market. The fund family holding behavior as the research object, introduces the research background and significance, and the domestic and foreign literature and reviews the current situation of the fund. Family share ownership behavior and performance as well as the relationship between them is discussed, and in-depth analysis of the causes of fund family share ownership, common ownership of fund family principle behavior affects its performance. Through the consolidation of financial information in Wind data, to fund family share ownership and fund family performance Description and analysis, and constructs the panel data model, using econometric software Stata to analyze the impact of the first quarter of 2010 to the second quarter of 2015 the fund family co holding behavior on their performance. Through the panel regression analysis, obtained the following conclusions: (1) the empirical test results show that the fund within the family share ownership behavior can enhance the fund's overall the excess rate of return (2). The empirical results show that fund family share ownership behavior did not improve the fund family performance on a risk adjusted Sharpe ratio. In other words, the fund family through common ownership to a certain extent for the excess return of the behavior is based on taking more risk to do. According to the empirical results, according to the company's own funds, fund investors, regulatory authorities, the third party rating agencies were put forward some suggestions.

【學位授予單位】：湖南師范大學
【學位級別】：碩士
【學位授予年份】：2016
【分類號】：F832.51
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本文編號：1751840