本文選題：股票型開放式基金 + 在險價值�。� 參考：《南京理工大學(xué)》2014年碩士論文

【摘要】：近年來,開放式基金憑借其專業(yè)化投資和風(fēng)險分散的優(yōu)點(diǎn)贏得了廣大投資者的青睞,逐步成為我國證券市場上的重要組成部分。然而不可否認(rèn)的是我國證券投資市場存在著運(yùn)營機(jī)制不成熟、法律法規(guī)不健全等諸多弊端。這些弊端加劇了市場的風(fēng)險,導(dǎo)致近幾年來開放式基金的投資者并沒有獲得與風(fēng)險相稱的收益。因此,如何甄別開放式基金的風(fēng)險以及研究開放式基金的風(fēng)險對其收益的影響成為了熱點(diǎn)問題。 本文通過基于VaR理論下的正態(tài)分布模型、Cornish-Fisher擴(kuò)展模型以及Garch(1,1)模型對2010年至2012年我國股票型開放式基金的在險價值進(jìn)行了研究,并采用Kupiec失敗頻率返回檢驗(yàn)法對三種模型所得到的基金在險價值的計算結(jié)果進(jìn)行檢驗(yàn),檢驗(yàn)結(jié)果發(fā)現(xiàn)Garch (1,1)模型下得到的基金在險價值GarchNormal-VaR更符合基金實(shí)際收益率的分布情況。仿照Fama-French (1993)的方法,將樣本內(nèi)基金按照由Garch (1,1)模型得到的基金的在險價值GarchNormal-VaR和基金的資產(chǎn)規(guī)模Asset分別獨(dú)立分成10組。由高Normal-VaR組基金的平均月收益率減去低GarchNormal-VaR組基金的平均月收益率得到VaRHML因子；由低Asset組基金的平均收益率減去高Asset組基金的平均收益率得到AssetSMB因子。將這兩個因子作為白變量對開放式基金的超額收益進(jìn)行回歸結(jié)果發(fā)現(xiàn)：從整體上看VaRHML因子對其超額收益有正的影響,基金的AssetSMB因子對其超額收益同樣有正的影響。這一結(jié)果表明開放式基金的在險價值越大,其同期的超額收益越大；而開放式基金的資產(chǎn)規(guī)模越小,其同期的超額收益越大。而從分段時間來看,在市場處于低迷的時間段內(nèi),開放式基金的在險價值越大,其同期的超額收益越小,即風(fēng)險和收益負(fù)相關(guān)；在市場處于繁榮的時間段內(nèi),開放式基金的在險價值越大,其同期的超額收益越大。 據(jù)此本文得出如下結(jié)論：從長期來看,投資者在選擇基金時應(yīng)該選擇在險價值高、資產(chǎn)規(guī)模小的基金進(jìn)行投資。但在證券市場持續(xù)低迷的情況下,通常會出現(xiàn)基金的在險價值和超額收益負(fù)相關(guān)的情況。所以在市場低迷的情況下,投資者往往應(yīng)該要選擇在險價值低、資產(chǎn)規(guī)模小的基金進(jìn)行投資。
[Abstract]:In recent years, the open-end fund has won the favor of the majority of investors by virtue of its advantages of specialized investment and risk dispersion, and has gradually become an important part of the securities market in our country. However, it is undeniable that there are many drawbacks in China's securities investment market, such as immature operation mechanism, imperfect laws and regulations, and so on. These shortcomings have exacerbated the market's risks, resulting in investors in open-end funds in recent years not getting a commensurate return on risk. Therefore, how to identify the risk of open-end funds and how to study the impact of the risk of open-end funds on their returns has become a hot issue. Based on the normal distribution model of VaR, Cornish-Fisher extension model and Garchish-1) model, this paper studies the risk value of Chinese open-end funds from 2010 to 2012. The Kupiec failure frequency return test method is used to test the calculation results of the risk value of the three models. It is found that the Garch value GarchNormal-VaR obtained under the Garch 1 / 1) model is more in line with the distribution of the real return rate of the fund. According to the method of Fama-French / 1993), the funds in the sample were divided into 10 groups according to the risk value (GarchNormal-VaR) and the asset size (Asset) of the funds according to the Garch model. The VaRHML factor is obtained from the average monthly rate of return of the fund of high Normal-VaR group minus the average monthly rate of return of the fund of the low GarchNormal-VaR group, and the AssetSMB factor from the average rate of return of the fund of the low Asset group minus the average rate of return of the fund of the high Asset group. Using these two factors as white variables, it is found that the VaRHML factor has a positive effect on the excess return, and the AssetSMB factor of the fund has a positive effect on the excess return of the open-end fund. The results show that the greater the risk value of open-end funds, the greater the excess returns in the same period, and the smaller the assets of open-end funds, the greater the excess returns in the same period. From the point of view of segmenting time, the greater the risk value of open-end funds, the smaller the excess return in the same period, that is, the negative correlation between risk and income, and in the period of market prosperity, when the market is in a downturn, The greater the risk value of open-end funds, the greater the excess return in the same period. The conclusion of this paper is as follows: in the long run, investors should choose funds with high risk value and small assets. However, when the stock market remains in the doldrums, there is usually a negative correlation between the value at risk and the excess return of the fund. Therefore, in the market downturn, investors should often choose to invest in funds with low risk value and small assets.
【學(xué)位授予單位】：南京理工大學(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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