本文選題：股票型開放式基金 + 贖回��； 參考：《南京大學》2013年碩士論文

【摘要】：自2001年9月以來,我國開放式基金迅猛發(fā)展,已經(jīng)成為我國金融市場的重要投資品種之一。截止到2012年12月31日,開放式基金有1149只,總資產(chǎn)高達28068.20億元,遠超封閉式基金的599.11億元,占到整個基金凈資產(chǎn)規(guī)模的98%。 但與此同時,我國開放式基金也出現(xiàn)了大量的贖回現(xiàn)象,給基金的管理運作和整個資本市場的穩(wěn)定帶來了不利影響。如果能知道影響開放式基金投資者贖回的影響因素,從而做出預判和準備,就能有效降低損失。所以,研究投資者贖回行為的影響因素就顯得非常重要。 股票型開放式基金又是開放式基金的重要組成部分,截止到2012年12月31日,我國共有開放式基金1149只,其中普通股票型開放式基金有521只,占45.34%。而且相對于其他類型的基金,股票型開放式基金在樣本數(shù)據(jù)方面有著天然的優(yōu)勢,所以本文主要研究股票型開放式基金。國外大多數(shù)的研究表明基金業(yè)績越好,越能吸引資金流入,減少贖回行為,相反,基金業(yè)績越差,贖回越多,資金流出越明顯。而國內(nèi)的很多研究表明：自2001年我國開放式基金成立以來,“贖回異象”普遍存在,即基金越好、贖回越多。本文試圖對我國股票型開放式基金贖回的影響因素進行實證分析,發(fā)現(xiàn)影響投資者贖回行為的重要因素,并以此來對基金監(jiān)管部門、基金管理人以及基金投資者提出相關(guān)政策建議。 本文主要運用了描述性統(tǒng)計以及面板數(shù)據(jù)實證分析的研究方法。首先對可能影響投資者贖回行為以及資金現(xiàn)金流的因素進行分析,主要因素包括：證券市場走勢、基金業(yè)績、基金分紅、基金規(guī)模、基金成立時間、基金投資者結(jié)構(gòu)、投資者持股集中度。然后對這些可量化的變量進行面板數(shù)據(jù)回歸,驗證各個因素對投資者贖回行為的影響方向以及程度。最后的實證結(jié)果表明：基金業(yè)績越好、基金分紅力度越大、基金規(guī)模越小、基金成立時間越長、基金持股集中度越低、機構(gòu)投資者占比越低,股票型開放式基金的贖回越少,資金流越多。 本文最重要的結(jié)論就是我國的股票型開放式基金不存在“贖回困惑”,這與前人的研究結(jié)論相反。造成結(jié)論不同的原因可能有三大方面：(1)前人研究的樣本數(shù)據(jù)較老,容易受我國開放式基金發(fā)展處于起步階段,尚不成熟規(guī)范,投資者較不理性等等因素的影響。而本文的研究數(shù)據(jù)截止到了2012年第3季度,數(shù)據(jù)較新、更加充足,而且橫跨了兩個牛熊市周期。此外,隨著時間的推移,我國的開放式基金發(fā)展更加完善,投資者也更加理性、更具經(jīng)驗。所以本文的研究結(jié)論應當更具有說服力。(2)本文采用了滯后一期開放式基金年度收益率代表開放式基金的業(yè)績,而不是大多數(shù)研究者采用的季度回報率。說明本文關(guān)注的是中長期收益率,而非短期收益率。變量定義的不同造成基金業(yè)績衡量的不同,進而使得研究結(jié)論相反。
[Abstract]:Since September 2001, China's open-end funds have developed rapidly and become one of the most important investment products in our financial market.As of December 31, 2012, there were 1149 open-end funds, with total assets as high as 2.80682 trillion yuan, far more than the 59.911 billion yuan of closed-end funds, accounting for 98% of the total net assets of the fund.However, at the same time, a large number of open-end funds have been redeemed in our country, which has brought adverse effects to the management and operation of the funds and the stability of the whole capital market.If we can know the factors that affect the redemption of open-end fund investors, we can effectively reduce the loss.Therefore, it is very important to study the influencing factors of investors'redemption behavior.As of December 31, 2012, there are 1149 open-end funds in China, of which 521 are ordinary open-end funds, accounting for 45.34.And compared with other types of funds, equity open-end funds in the sample data has a natural advantage, so this paper mainly studies equity open-end funds.Most studies abroad show that the better the performance of the fund, the more it can attract the inflow of funds and reduce the redemption behavior. On the contrary, the worse the performance of the fund, the more redemption, and the more obvious the outflow is.However, many domestic studies show that since the establishment of open-end funds in China in 2001, "redemption anomalies" are widespread, that is, the better the funds, the more redemption.This paper attempts to make an empirical analysis on the influencing factors of redemption of stock open-end funds in China, and find out the important factors that affect the redemption behavior of investors.Fund managers and fund investors put forward relevant policy recommendations.This paper mainly uses descriptive statistics and panel data empirical analysis methods.First of all, the paper analyzes the factors that may influence investors' redemption behavior and cash flow. The main factors include: stock market trend, fund performance, fund dividend, fund size, fund establishment time, fund investor structure.Degree of concentration of investor holdings.Then these quantifiable variables are analyzed by panel data regression to verify the direction and extent of each factor influencing investor redemption behavior.The final empirical results show that the better the performance of the fund, the greater the dividend, the smaller the fund size, the longer the fund is established, the lower the concentration of the fund's shareholding, the lower the proportion of institutional investors, the less the redemption of the open-end stock fund.The more money flows.The most important conclusion of this paper is that there is no "redemption puzzle" in China's stock open-ended funds, which is contrary to the previous research conclusions.There may be three major reasons for the different conclusions: 1) the sample data of previous studies are older, which are easily influenced by the factors of the development of open-end funds in China, such as the initial stage, immature norms, irrational investors, and so on.In the third quarter of 2012, the data were relatively new, more abundant and straddling two bull bear cycles.In addition, with the passage of time, the development of open-end funds in China is more perfect, and investors are more rational and more experienced.Therefore, the conclusion of this paper should be more persuasive. 2) this paper adopts the annual return rate of open-end funds to represent the performance of open-end funds, rather than the quarterly rate of return adopted by most researchers.This paper focuses on medium and long-term returns, not short-term returns.The different definition of variables makes the fund performance measurement different, and then makes the research conclusion contrary.
【學位授予單位】：南京大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F832.51;F224

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