本文選題：主權財富基金 + 投資收益��； 參考：《昆明理工大學》2013年碩士論文

【摘要】：作為重要的投資載體,主權財富基金在國際金融市場已成為最有影響力的投資者之一,其增長十分迅速,規(guī)模越來越大,因此被國內(nèi)外廣大學者所廣泛關注。截至2013年3月,中國外匯儲備余額已經(jīng)達到3.44萬億美元。近年我國外匯儲備迅速增長引發(fā)了諸多問題,包括人民幣升值,外匯儲備貶值,以及國內(nèi)貨幣超發(fā)等。同時在外圍國際市場的波動加劇、不確定性增強的背景下,使得成立時間較短、經(jīng)驗較少的我國主權財富基金——中投公司,面臨著較大的挑戰(zhàn)。為此,研究全球主權財富基金投資收益的影響因素,有助于我們識別投資價值,為我國主權財富基金投資提供借鑒和參考,進而提高我國主權財富基金的投資收益和使用效率。 本論文首先基于文獻梳理和全球財富基金的發(fā)展現(xiàn)狀分析,從主權財富基金自身因素、投資策略、全球經(jīng)濟環(huán)境三個角度,提出影響主權財富基金投資收益的因素。接著在以上分析的基礎上進行兩個方面的實證研究,一方面是以全球20家主要主權財富基金的年度數(shù)據(jù)為研究對象,進行面板數(shù)據(jù)的回歸分析；另一方面是把智利社會經(jīng)濟穩(wěn)定基金作為典型案例,以其12個月月度數(shù)據(jù)進行分位數(shù)回歸分析,得出以下結論。第一,投資發(fā)達市場的比例越大,SWFs基金收益率表現(xiàn)越不好,說明發(fā)達市場的發(fā)展和投資潛力有限,市場是十分完全的,反而不如在新興市場里的收益空間更大。第二,SWFs投資規(guī)模越大,SWFs基金收益率表現(xiàn)越好,說明SWFs具有規(guī)模報酬遞增的效應,這可能是由于專業(yè)化、精細化促進作用的。第三,信息披露越多的基金,收益表現(xiàn)越不好,說明信息披露越多,給市場投機者利用和挖掘的空間越大,好的投資策略可能在國際市場套利面前,也將獲利甚微。第四,在控制了宏觀經(jīng)濟變量后,全球綜合債券指數(shù)和MSCI的全球股票價格指數(shù)對SWFs基金收益率有著顯著的正向作用,說明市場環(huán)境是影響投資收益的主要因素,并且債券市場和股市市場的表現(xiàn)對SWFs基金收益率息息相關,這是由于SWFs的資產(chǎn)投資去向相當大的部分是投資于股票與債券市場的。第五,隨著基金收益率逐漸提高的發(fā)展過程,以基金市場價值增長率為代表基金規(guī)模對基金收益增長率的促進作用先變大后變小。 基于以上提出的影響主權財富基金投資收益因素的研究,本文最后提出了我國主權財富基金對外投資的對策與啟示。我國主權財富基金要在合適的范圍內(nèi)選擇合理的透明度,以和他國建立相互信任的合作聯(lián)盟為手段,加快多元化的投資進程,并且應當積極參與新興市場的投資,從而最終實現(xiàn)主權財富基金的投資效益增長,藉此以更好地融入國際游戲規(guī)則中為我國主權財富基金對外投資戰(zhàn)略服務。
[Abstract]:As an important investment carrier, sovereign wealth fund has become one of the most influential investors in the international financial market. As of March 2013, the balance of China's foreign exchange reserves had reached $3.44 trillion. In recent years, the rapid growth of China's foreign exchange reserves has caused many problems, including the appreciation of the RMB, the depreciation of foreign exchange reserves, and the over-issuance of domestic currencies. At the same time, under the background of increasing volatility and uncertainty in the peripheral international market, China Investment Corporation (CIC), which has a short time and less experience, is facing a great challenge. Therefore, it is helpful for us to identify the investment value of the global sovereign wealth fund, to provide reference and reference for our country's sovereign wealth fund investment, and to improve the investment income and utilization efficiency of our country's sovereign wealth fund. Based on the literature review and the analysis of the current situation of global wealth funds, this paper puts forward the factors that affect the investment returns of sovereign wealth funds from the perspectives of sovereign wealth funds' own factors, investment strategies and the global economic environment. On the basis of the above analysis, two aspects of empirical research are carried out. On the one hand, the annual data of 20 major sovereign wealth funds in the world are taken as the research object, and the panel data regression analysis is carried out. On the other hand, taking the Chilean Social and Economic Stability Fund as a typical case, the following conclusions can be drawn by using the monthly data of 12 months for quantile regression analysis. First, the greater the proportion of SWFs in developed markets, the worse the return rate of SWFs funds is, which indicates that the developed markets have limited development and investment potential, and the market is very complete, but it is not as good as the return space in emerging markets. Secondly, the larger the investment scale of SWFs is, the better the return rate of SWFs is, which indicates that SWFs have the effect of increasing returns of scale, which may be due to specialization and refinement. Third, the more information disclosure funds, the worse the income performance, indicating that the more information disclosure, the greater the space for market speculators to use and explore, good investment strategy may be in front of the international market arbitrage, and will make little profit. Fourth, after controlling for macroeconomic variables, the global composite bond index and MSCI's global stock price index have a significant positive effect on SWFs fund returns, indicating that the market environment is the main factor affecting investment returns. And the performance of the bond market and the stock market is closely related to the return of SWFs funds, which is due to the fact that a large part of SWFs' assets are invested in the stock and bond markets. Fifthly, along with the development process of increasing the fund return rate, the fund market value growth rate is taken as the representative of the fund scale to promote the fund income growth rate. Based on the above research on the factors affecting the investment returns of SWFs, this paper finally puts forward the countermeasures and revelations of SWFs' investment abroad in China. Our sovereign wealth fund should choose reasonable transparency within the appropriate scope, speed up the process of diversified investment by establishing a cooperative alliance of mutual trust with other countries, and should actively participate in investment in emerging markets. Finally, the investment benefit of the sovereign wealth fund will be increased, so as to better integrate into the international rules of the game and serve the foreign investment strategy of our country's sovereign wealth fund.
【學位授予單位】：昆明理工大學
【學位級別】：碩士
【學位授予年份】：2013
【分類號】：F831.51;F832.51

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