本文關鍵詞：中國社會責任投資基金業(yè)績及其與資金流量關系研究　出處：《南京農(nóng)業(yè)大學》2016年博士論文　論文類型：學位論文

  更多相關文章： 社會責任投資基金 業(yè)績評價 業(yè)績資金流量關系

【摘要】：近年來,中國在產(chǎn)業(yè)結(jié)構(gòu)轉(zhuǎn)型的背景下進入了經(jīng)濟新常態(tài),產(chǎn)業(yè)轉(zhuǎn)移帶來結(jié)構(gòu)性減速,依賴于自然資源和人口紅利的經(jīng)濟發(fā)展模式無法持續(xù),一系列ESG問題的產(chǎn)生導致經(jīng)濟發(fā)展與社會環(huán)境之間的矛盾日趨嚴重。社會責任投資基金作為一種金融投資理念與社會責任理念經(jīng)過長期實踐磨形成的新型投資方式,為解決中國經(jīng)濟發(fā)展與社會環(huán)境之間的矛盾提供了切實有效的新思路,通過在資本市場的投資行為,逐步引導和改善原來不均衡的資源配置,讓更多的資本流向愿意履行社會責任的企業(yè),從而完成“社會責任理念的投資→社會責任理念的企業(yè)→和諧社會”的社會價值傳遞,從資本運作這一根本層面為中國經(jīng)濟發(fā)展轉(zhuǎn)型,實現(xiàn)可持續(xù)發(fā)展模式注入了新的推動力。然而,中國社會責任投資基金市場的發(fā)展正面臨困境。社會責任投資基金市場發(fā)展在中國資本市場起步較晚,基金規(guī)模增長較為緩慢,并且后期呈現(xiàn)下跌趨勢,致使基金管理公司失去設立更多社會責任投資基金的激勵,導致基金數(shù)量增長緩慢,不管是與美國社會責任投資基金市場的發(fā)展相比,還是與中國開放式投資基金市場比較,我國社會責任投資基金市場發(fā)展均較為滯后,并且陷入了發(fā)展困境�；鹗袌鲆�(guī)模增長本質(zhì)上取決于資金流量這一因素,若投資者選擇申購基金份額,則資金流量表現(xiàn)為凈流入,基金市場規(guī)模增加,反之則資金流量表現(xiàn)為凈流出,基金市場規(guī)模減小,社會責任投資基金市場同樣如此。標準金融理論認為,在理想的、無摩擦的市場條件下,理性的投資者會根據(jù)基金歷史業(yè)績做投資決策,他們會申購或繼續(xù)持有業(yè)績表現(xiàn)好的基金,贖回業(yè)績表現(xiàn)差的基金,資金流量主要取決于基金的歷史業(yè)績,但是社會責任投資基金的投資和社會的雙重屬性決定了其業(yè)績與資金流量關系有別于傳統(tǒng)基金。因此,文章圍繞社會責任投資基金業(yè)績表現(xiàn)和業(yè)績資金流量關系進行深入探討,試圖找出社會責任投資基金市場陷入發(fā)展困境的原因。本文首先從基金業(yè)績角度,分析基金業(yè)績表現(xiàn)是否是導致社會責任投資基金市場發(fā)展困境的原因。利用凈值收益率、CAPM模型、FF三因素模型以及Carhart四因素模型對社會責任投資基金整體時間區(qū)間的業(yè)績表現(xiàn)和不同時間區(qū)間的業(yè)績表現(xiàn)分別進行評價,并與傳統(tǒng)基金做對比分析,發(fā)現(xiàn)社會責任投資基金在整體時間段的業(yè)績表現(xiàn)超越市場基準,相較傳統(tǒng)基金也更為優(yōu)秀,并且社會責任投資基金業(yè)績表現(xiàn)在基金市場總體行情好時,表現(xiàn)較傳統(tǒng)基金更好,在總體行情差時,與傳統(tǒng)基金沒有顯著差異。按照標準金融理論的分析,基金資金流量與歷史業(yè)績呈正相關關系,當基金業(yè)績表現(xiàn)好時,會產(chǎn)生資金凈流入,而現(xiàn)實情況中社會責任投資基金相對較好業(yè)績卻未能形成相應的資金流入,反而陷入了發(fā)展困境。因此我們得出初步結(jié)論:社會責任投資基金業(yè)績并非導致其陷入發(fā)展困境的直接原因。社會責任投資基金業(yè)績的實證結(jié)論表明,社會責任投資基金市場并非因為業(yè)績表現(xiàn)差而陷入發(fā)展困境,那么問題根源可能在于社會責任投資基金業(yè)績資金流量關系中,而社會責任投資基金由于其投資和社會雙重屬性以及較高搜尋成本等原因,使得其業(yè)績資金流量關系不能簡單用標準金融理論解釋,其關系可能不是簡單的線性正相關關系,因此文章進一步展開對中國社會責任投資基金業(yè)績資金流量關系的研究,以探究為何在社會責任投資基金業(yè)績相對較好的情況下,卻未能吸引較多的資金流入的原因。本文在國內(nèi)外相關研究的基礎上,進一步區(qū)分資金流量對長期業(yè)績和短期業(yè)績反應,整體業(yè)績區(qū)間與不同業(yè)績區(qū)間的基金業(yè)績資金流量關系,并通過引入社會責任虛擬變量設計交叉變量的方法比較與傳統(tǒng)基金資金流量業(yè)績關系敏感性的差異,利用非平衡面板回歸技術(shù)建模,實證數(shù)據(jù)表明:(1)社會責任投資基金投資者不管是對短期業(yè)績還是長期業(yè)績的敏感性,均比傳統(tǒng)基金投資者弱,社會責任投資基金的管理者必須在業(yè)績方面付出更多努力獲取相同的收益,這使得管理社會責任投資基金獲得管理費收入相對傳統(tǒng)基金更加困難,從而讓基金管理公司不愿繼續(xù)設立社會責任投資基金,這將阻礙社會責任投資基金市場的長遠發(fā)展。(2)社會責任投資基金投資者表現(xiàn)出追逐長期業(yè)績的特征,而對短期業(yè)績的變化不敏感,但社會責任投資基金年度業(yè)績沒有顯著持續(xù)性,尤其是績優(yōu)業(yè)績區(qū)間年度業(yè)績出現(xiàn)顯著反轉(zhuǎn),投資者的選擇得不到正向的業(yè)績反饋,甚至選擇績優(yōu)基金時會得到負向反饋,長期會導致社會責任投資基金投資者利益受損,從而引發(fā)投資者的贖回行為,阻礙了其規(guī)模進一步增長。(3)社會責任投資基金投資者對績劣基金業(yè)績表現(xiàn)出更弱的敏感性,這一方面使得績劣社會責任投資基金得不到“懲罰”,另一方面在其業(yè)績上升時,僅會吸引較少資金流入,基金管理者也會失去提升績劣基金業(yè)績的激勵,從而使得社會責任投資基金規(guī)模增長緩慢,市場發(fā)展陷入困境。(4)社會責任投資基金的長期業(yè)績存在明星效應,投資者表現(xiàn)出“追星”行為,明星效應可以為基金管理者形成正的邊際管理費用,增強了內(nèi)在激勵作用,這正是我國社會責任投資基金市場發(fā)展的突破口,然而社會責任投資基金年度業(yè)績沒有顯著持續(xù)性,尤其是績優(yōu)基金區(qū)間業(yè)績出現(xiàn)了顯著的反轉(zhuǎn),這讓社會責任投資基金的明星效應優(yōu)勢無法用來形成超額的管理費用收入,導致錯失這個發(fā)展機遇。(5)社會責任投資基金投資者存在“現(xiàn)狀偏好”特征,傾向于持有相同的基金,這是一種投資者的非理性行為,一方面導致基金管理者無法從好的業(yè)績表現(xiàn)中獲得相應的收入,另一方面投資者傾向于維持當前的投資選擇,即使業(yè)績下降也不會立即引發(fā)投資者贖回行為,導致社會責任投資基金市場失去良性發(fā)展的基石,從而陷入發(fā)展困境。經(jīng)過以上從基金業(yè)績和業(yè)績資金流量關系層面對我國社會責任投資基金市場陷入發(fā)展困境成因的系統(tǒng)分析,發(fā)現(xiàn)以上5個業(yè)績與資金流量關系特征構(gòu)成了該問題的完整的解釋框架。最后,文章針對社會責任投資基金市場陷入發(fā)展困境的原因,有針對性的提出了政策建議,幫助我國社會責任投資基金市場擺脫發(fā)展困境,在一定程度上促進我國社會責任投資基金的持續(xù)健康發(fā)展。
[Abstract]:In recent years, China entered the new economic norm in the transformation of industrial structure under the background of industrial transfer brings a structural slowdown, depends on natural resources and the demographic dividend model of economic development is not sustainable, a series of ESG problems leads to the contradiction between economic development and the social environment is becoming increasingly serious. A new type of investment of social responsibility investment fund as a financial investment concept and the concept of social responsibility through long-term practice of grinding formation, provides a new idea and effective for solving the contradiction between China economic development and the social environment, the investment behavior in the capital market, and gradually guide and improve original uneven allocation of resources, so that more the flow of capital to corporate social responsibility, so as to complete the "concept of social responsibility investment, the concept of social responsibility of enterprises, harmonious society social value, from the root of the capital operation level for the Chinese transformation of economic development pattern to realize the sustainable development has injected new impetus. However, the development of China's social responsibility investment fund market is facing a difficult situation. The social responsibility investment fund market development started in the late China capital market, the fund size of relatively slow growth, and later decline, resulting in the loss of the fund management company set up more social responsibility investment fund incentive fund amount lead to slow growth, whether it is compared with the development of social responsibility investment fund market in the United States, or compared with Chinese open the investment fund market in our country, the social responsibility investment fund market development lags behind, and in a dilemma. The size of the fund market growth essentially depends on the flow of funds, if investors choose to purchase fund shares, then the flow of funds showed a net inflow of funds, the scale of the market increases, whereas the flow of funds showed a net outflow, the market size of the fund is reduced, the social responsibility investment fund market is the same. That standard finance theory, in the frictionless market conditions, ideal, rational investors can make investment decisions based on the historical performance of the fund, they will purchase or continue to hold the good performance of the fund, the redemption of poor performance of the fund, the flow of funds mainly depends on the fund's historical performance, but the double attribute of social responsibility investment the fund's investment and society determines its performance and cash flow relationship is different from the traditional fund. Therefore, the article focuses on the relationship between the performance and the flow of performance funds, and tries to find out the reasons why the social responsibility investment fund market is in a predicament. From the perspective of fund performance, this paper analyzes whether the performance of the fund is the cause of the development dilemma of the social responsibility investment fund market. The performance and performance of different time interval rate, CAPM model, FF three factor model, Carhart four factor of social responsibility investment fund as a whole time interval using the net income were evaluated, and compared with the traditional fund, found that the social responsibility investment fund performance in the whole time period performance beyond the market benchmark, compared with the traditional fund is more outstanding, and the social responsibility investment fund performance in the fund market when the market is good, better than the traditional fund performance, in the overall market is poor, there was no significant difference with the traditional fund. According to the analysis of standard financial theory, mutual fund flow performance is positively related to historical relationship, when the fund performance is good, can produce a net inflow of funds, and the social responsibility investment fund in reality is relatively good performance but failed to form the corresponding capital inflows, but fall into the dilemma of development. Therefore, we draw a preliminary conclusion: the performance of the social responsibility investment fund is not the direct cause of its development. Conclusion the social responsibility investment fund performance showed that the social responsibility investment fund market is not because of poor performance and predicament, so the root of the problem may lie in the social responsibility investment fund performance fund flow relationship, and social responsibility investment fund because of its investment and social attributes and higher search costs and other reasons, the relationship between the performance of funds the flow can not be simply used the standard financial theory, its relationship is not simple linear correlation, so the further research on the China social responsibility investment fund performance funds flow, to explore why the social responsibility investment fund performance is relatively good condition, reason has failed to attract more capital inflows. Based on the research at home and abroad, to further distinguish between the flow of funds to the long-term performance and short-term performance, the overall performance of different interval interval and the performance of the fund performance and fund flow, through the introduction of social responsibility dummy variable design cross variables compared the difference and relationship between traditional mutual fund flow performance sensitivity, the use of non balance regression modeling, empirical data show that: (1) the social responsibility investment fund investors whether it is sensitive to short-term results and long-term performance, compared with the traditional fund investors is weak, the social responsibility investment fund managers must pay more effort to get the same benefits in terms of performance, which makes the management of social responsibility investment fund management fee the traditional fund income is relatively more difficult, so that the fund management company to continue to set up social responsibility investment fund, This will impede the long-term development of the social responsibility investment fund market. (2) the social responsibility investment fund investors chase characterized by long term performance of changes on the short-term performance is not sensitive, but the social responsibility investment fund annual performance is not remarkably persistent, especially blue performance range of annual performance significantly reversed, investors choose not positive performance feedback, even when the choice of blue chip fund will be negative
【學位授予單位】：南京農(nóng)業(yè)大學
【學位級別】：博士
【學位授予年份】：2016
【分類號】：F832.51;F275
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本文編號：1347192