本文選題：開(kāi)放式基金　切入點(diǎn)：基金贖回　出處：《西南財(cái)經(jīng)大學(xué)》2011年碩士論文

【摘要】：開(kāi)放式基金是指基金份額總額不固定,并且基金份額可以在基金合同約定的時(shí)間和場(chǎng)所自由申購(gòu)或者贖回的基金。相對(duì)于封閉式基金而言,開(kāi)放式基金在激勵(lì)約束機(jī)制的設(shè)計(jì)、流動(dòng)性、信息透明度和投資的便利程度等方面都具有較大的優(yōu)勢(shì),從而在目前的全球基金市場(chǎng)上,開(kāi)放式基金占據(jù)著主流的位置,尤其是在發(fā)達(dá)資本市場(chǎng)上,如美國(guó)、英國(guó)、我國(guó)香港等國(guó)家和地區(qū),開(kāi)放式基金的市場(chǎng)份額都超過(guò)了90%,在這些市場(chǎng)上,對(duì)投資者的基金申購(gòu)贖回影響因素最大的則為基金的業(yè)績(jī),具體表現(xiàn)為前期業(yè)績(jī)?cè)胶?當(dāng)期的基金申購(gòu)量越大,贖回量越小,即凈贖回率與基金的業(yè)績(jī)呈現(xiàn)一定程度上的負(fù)相關(guān)關(guān)系。然而在我國(guó)的開(kāi)放式基金市場(chǎng)上卻出現(xiàn)與此完全相反的現(xiàn)象,存在業(yè)績(jī)?cè)胶?凈贖回率越高的現(xiàn)象,顯然這是不利于整個(gè)開(kāi)放式基金市場(chǎng)的健康發(fā)展,對(duì)高水平的基金管理公司也沒(méi)能形成良性的激勵(lì)機(jī)制,因?yàn)闃I(yè)績(jī)相對(duì)較好的基金反而會(huì)面臨更大贖回壓力和流動(dòng)性風(fēng)險(xiǎn)。 事實(shí)上自從我國(guó)第一支開(kāi)放式基金——華安創(chuàng)新公開(kāi)上市開(kāi)始,這種“贖回異象”就伴隨著我國(guó)開(kāi)放式基金的發(fā)展�，F(xiàn)金流量的頻繁波動(dòng)給基金管理公司的操作帶來(lái)許多的不便,特別是大面積的贖回常常會(huì)給基金公司帶來(lái)致命的打擊,因?yàn)殚_(kāi)放式基金的靈活申購(gòu)贖回機(jī)制,基金管理者無(wú)法控制投資者的贖回行為,為了滿足投資者的流動(dòng)性需求,基金管理者必須保持一定的現(xiàn)金流量,在極端情況下,還不得不變現(xiàn)那些具有很好盈利前景的基金資產(chǎn),也即所謂的開(kāi)放式基金贖回行為的流動(dòng)性風(fēng)險(xiǎn)(基金發(fā)生份額贖回時(shí),基金管理公司所持有的現(xiàn)金無(wú)法滿足需求而被迫以較大的成本變現(xiàn)資產(chǎn),造成基金凈值下降,進(jìn)而可能引發(fā)“擠贖”甚至清盤(pán)的風(fēng)險(xiǎn)),所以,對(duì)我國(guó)開(kāi)放式基金投資者的申購(gòu)贖回行為進(jìn)行系統(tǒng)的研究,對(duì)于開(kāi)放式基金的健康發(fā)展具有重要的意義。 本文在參考了國(guó)內(nèi)外相關(guān)學(xué)者在關(guān)于基金贖回行為方面的研究的基礎(chǔ)上,首先從理論的角度分析開(kāi)放式基金贖回風(fēng)險(xiǎn)的形成機(jī)制,這一部分主要包括微觀經(jīng)濟(jì)分析和行為金融學(xué)角度的分析；然后通過(guò)實(shí)證分析的方法,建立實(shí)證模型對(duì)我國(guó)開(kāi)放式基金的贖回行為的影響因素進(jìn)行回歸分析；最后結(jié)合實(shí)證分析的結(jié)果,就如何控制我國(guó)開(kāi)放式基金的流動(dòng)性風(fēng)險(xiǎn)和進(jìn)一步健全我國(guó)開(kāi)放式基金市場(chǎng)的發(fā)展提供一些建議和思路。 文章的具體結(jié)構(gòu)安排大致如下： 第一部分為導(dǎo)論,全面系統(tǒng)的介紹了開(kāi)放式基金的起源、發(fā)展、以及目前我國(guó)開(kāi)放式基金市場(chǎng)的現(xiàn)實(shí)狀況,由相關(guān)數(shù)據(jù)統(tǒng)計(jì)知,開(kāi)放式基金數(shù)量已經(jīng)由2001年的3只增長(zhǎng)到目前的622只,其中有超過(guò)65%的基金為股票型基金；其次對(duì)我國(guó)開(kāi)放式基金市場(chǎng)上特有的“贖回異象”進(jìn)行了簡(jiǎn)單介紹,目前我國(guó)的基金管理公司面臨的一個(gè)重要難題便是投資者不規(guī)則的贖回行為。 第二部分為文獻(xiàn)綜述,分別從國(guó)外和國(guó)內(nèi)兩個(gè)角度總結(jié)前人在開(kāi)放式基金申購(gòu)贖回等方面的研究成果,關(guān)于此類(lèi)問(wèn)題的研究最初是從基金現(xiàn)金流量的分析開(kāi)始的,即基金流量與基金業(yè)績(jī)的關(guān)系(Flow Performance Relationship,FPR)；還有一些研究是圍繞基金自身的特質(zhì)進(jìn)行的,比如基金在媒體上的曝光率、廣告效應(yīng)、基金的成立時(shí)間、基金品牌、基金的總體規(guī)模等；而近年來(lái)隨著行為金融學(xué)的興起,也開(kāi)始有越來(lái)越多的學(xué)者嘗試從心理學(xué)的角度去解釋和分析基金投資者的申購(gòu)贖回行為,如Kahneman Tversky(1979)提出的展望理論就是大多數(shù)行為金融學(xué)家分析的起點(diǎn)和理論基礎(chǔ)；而國(guó)內(nèi)在此領(lǐng)域的相關(guān)的研究開(kāi)始的比較晚,研究的體系相對(duì)也比較分散,其中大多數(shù)都是結(jié)合實(shí)證的研究方法,對(duì)影響投資者申購(gòu)贖回行為的因素進(jìn)行分析,只有少數(shù)的學(xué)者對(duì)開(kāi)放式基金的贖回機(jī)制進(jìn)行分析。 第三部分著重從理論的角度對(duì)開(kāi)放式基金的贖回行為進(jìn)行了系統(tǒng)的分析。首先我們根據(jù)投資者的贖回動(dòng)機(jī)和贖回心理將投資者的贖回行為分為理性的贖回和非理性的贖回,其中理性贖回屬于正常情況下的贖回,不會(huì)給開(kāi)放式基金的管理帶來(lái)流動(dòng)性風(fēng)險(xiǎn),所以我們將研究的重點(diǎn)放在了非理性的贖回上；接下來(lái)我們從信息經(jīng)濟(jì)學(xué)的角度對(duì)開(kāi)放式基金的運(yùn)作進(jìn)行了解釋,開(kāi)放式基金中涉及的委托代理關(guān)系則是整個(gè)非理性贖回的根本原因,因?yàn)榛鸸芾砣丝赡軙?huì)利用信息優(yōu)勢(shì)從事對(duì)自身利益相關(guān)的活動(dòng),從而對(duì)投資者的利益造成損害；該部分的最后,我們?cè)噲D結(jié)合心理學(xué)的相關(guān)研究來(lái)解釋這種非理性贖回現(xiàn)象產(chǎn)生的原因,理論依據(jù)主要是參考Kahneman等人提出的非線性效用理論,具體有處置效應(yīng)、羊群效應(yīng)、噪聲交易和投資者情緒等。 第四部分為我國(guó)開(kāi)放式基金贖回行為的實(shí)證研究,樣本則選取了從2005年1月之前成立的94支開(kāi)放式基金從2005年第一季度開(kāi)始到2010年第二季度結(jié)束的季度數(shù)據(jù),并進(jìn)一步將影響投資者贖回行為的因素劃分為收益衡量指標(biāo)(如基金的季度收益率、證券市場(chǎng)報(bào)酬率、基金分紅、基金的贖回費(fèi)率等)和風(fēng)險(xiǎn)衡量指標(biāo)(如基金持股集中度、機(jī)構(gòu)投資者持股比例、基金規(guī)模等)。首先借助面板數(shù)據(jù)分析模型從傳統(tǒng)因素影響的角度去分析投資者的贖回行為,得出的結(jié)論有基金凈贖回率與基金的季度收益率、基金持股集中度成正比；與證券市場(chǎng)報(bào)酬率、基金分紅、機(jī)構(gòu)投資者持股比例、基金規(guī)模成反比；與基金贖回費(fèi)率的相關(guān)關(guān)系并不十分顯著。接下來(lái),我們引入了一個(gè)衡量投資者情緒的流動(dòng)性指標(biāo),試圖從行為金融學(xué)的角度對(duì)基金投資者的贖回行為進(jìn)行實(shí)證分析,回歸系數(shù)0.154也在5%的水平上通過(guò)了檢驗(yàn),也就是說(shuō)我國(guó)開(kāi)放式基金投資者的申購(gòu)贖回行為確實(shí)是受到了除基本面外其他因素的影響,這也從實(shí)證的角度證實(shí)了文章第三部分的相關(guān)理論分析的合理性。 第五部分為文章的結(jié)尾,主要是針對(duì)前面關(guān)于我國(guó)開(kāi)放式基金投資者贖回行為的相關(guān)分析和解釋,分別從監(jiān)管者的角度和基金管理公司的角度提出一些建議,具體包括積極宣傳、培育基民長(zhǎng)期投資的理念；更為完善的基金立法和金融創(chuàng)新,健全金融市場(chǎng)；加強(qiáng)對(duì)基金管理公司的監(jiān)管,創(chuàng)造良好的基金投資環(huán)境；優(yōu)化資產(chǎn)配置,尋求流動(dòng)性和盈利性的平衡；采取積極的定期分紅政策；建立基民數(shù)據(jù)庫(kù),統(tǒng)計(jì)流動(dòng)性偏好；研究制定更為合理的申購(gòu)贖回費(fèi)率；避免基金營(yíng)銷(xiāo)過(guò)度集中化,尋求更先進(jìn)營(yíng)銷(xiāo)模式。 本文的主要貢獻(xiàn)和創(chuàng)新點(diǎn)主要有：(1)研究樣本數(shù)據(jù)的相對(duì)完整性和合理性,時(shí)間跨度長(zhǎng),且覆蓋了一個(gè)完整的上升、下降行情；(2)分別從收益衡量指標(biāo)和風(fēng)險(xiǎn)衡量指標(biāo)兩個(gè)方向?qū)τ绊懲顿Y者贖回行為進(jìn)行了全面的分析,更直觀的描述了投資者選擇贖回基金份額的真正原因；(3)結(jié)合心理學(xué)和行為金融學(xué)的理論,通過(guò)引入投資者情緒的衡量指標(biāo),積極探討了非理性因素在投資者贖回決策過(guò)程中的影響。另外,本文也還是存在很多的不足和缺陷,一些是受客觀因素的影響,如我國(guó)開(kāi)放式基金的歷史較短,造成某些數(shù)據(jù)的獲取較困難和不完整；另一些則是受我們的知識(shí)水平所限,如實(shí)證中加入了投資者情緒指標(biāo)后的回歸結(jié)果并不十分理想,可能是因?yàn)槲覀冞x擇的流動(dòng)性指標(biāo)并不能很好的衡量投資者情緒,也有可能是還有其他某些影響因素,我們暫時(shí)并沒(méi)有考慮到,這些問(wèn)題我們希望能在以后的學(xué)習(xí)和研究中能得到不斷完善。
[Abstract]:The open fund refers to the total share of the fund is not fixed, and the fund shares may be stipulated in the contract at the time and place of free purchase or redemption of fund. Compared to the closed-end fund, open-end funds in design, incentive and restraint mechanism of liquidity, have greater advantages of information transparency and investment convenience etc. thus, in the current global fund market, open-end funds occupy the mainstream position, especially in the developed capital market, such as the United States, Britain, China, Hongkong and other countries and regions, the open-end fund market share of more than 90%, in these markets, the influence factors of investor's purchase and redemption the largest is the performance of the fund, the specific performance of the former performance better, the greater the amount of current fund subscription, redemption amount is small, the net redemption rate and the performance of the fund is to a certain extent Negative correlation. However in the open-end fund market in China is completely contrary to the phenomenon, there is a performance better, the higher the net redemption rate phenomenon, this is obviously not conducive to the healthy development of the open-end fund market, the high level of the fund management company has not been able to form a benign incentive system because of the relatively good performance of the fund, but will face greater pressure of redemption and liquidity risk.
In fact, since China's first open-end fund - Huaan innovation open the beginning of the listing, the "Redemption" is accompanied by the development of open-end funds in China. The frequent fluctuation of cash flow brings a lot of inconvenience to the fund management company's operation, especially the redemption of large area often give fund companies bring a fatal blow and because the flexible purchase and redemption mechanism of open-end fund redemption, fund managers can not control the behavior of investors, in order to meet the liquidity needs of investors, fund managers must maintain a certain cash flow, and in extreme cases, but also had realized those with good earnings prospects of fund assets, liquidity risk is also open the so-called fund redemption fund (share redemption, cash held by the fund management company can not meet the demand of forced by a large cost variable The net assets of current assets decrease, which may lead to the risk of "Redemption" or even liquidation. Therefore, a systematic study of the purchase and redemption behavior of open-end fund investors in China is of great significance for the healthy development of open-end funds.
In this paper, with reference to domestic and foreign scholars in the basic research on fund redemption behavior on the formation mechanism of the first open-end fund redemption risk analysis from a theoretical point of view, this part mainly includes the analysis of microeconomic analysis and behavioral finance perspective; then through empirical analysis, an empirical model impact on redemption the behavior of China's open-end fund factor regression analysis; finally, the results of empirical analysis, how to control the open-end fund liquidity risk and further improve the development of China's open-end fund field to provide some suggestions and ideas.
The concrete structure of the article is as follows:
The first part is the introduction, a comprehensive and systematic introduction to the origin and development of open-end fund, and the open-end fund market of our country's reality, by the relevant statistical data, the number of open-end fund has by 3 growth in 2001 to 622 at present, which has more than 65% of the fund for equity funds; secondly on the open-end fund market unique "Redemption" were introduced, an important problem in our country at present the fund management company is facing redemption of investors do not rule.
The second part is literature review, summarize the results of previous studies of open-end fund subscription and redemption and other aspects of the two from the perspective of foreign and domestic research on this problem, beginning with the analysis of cash flow, the relationship between fund flow and performance (Flow Performance, Relationship, FPR); there is some research the fund itself characteristics, such as the fund in the media exposure, advertising effect, set up time, fund brand, fund scale; and in recent years, with the rise of behavioral finance, also began to have more and more scholars try to purchase and redemption from the angle of psychology to explain and analyze the fund investors, such as Kahneman Tversky (1979) put forward the prospect theory is the starting point of the behavior of most financial experts and theoretical basis; and in this field in our country The related research started relatively late, and the research system is relatively dispersed. Most of them combine empirical research methods to analyze the factors that influence investors' purchase and redemption behavior. Only a few scholars analyze the redemption mechanism of open-end funds.
The third part focuses on the open-ended fund from the perspective of the theory of the system are analyzed. Firstly, we based on the investor's redemption motivation and psychological behavior of investors will redeem redemption redemption divided into rational and irrational redemption, the redemption redemption belongs to rational under normal conditions, will not bring the liquidity risk to open the management of funds, so we will focus on the study of the redemption of the non rational; then we of the open-end fund operation from the perspective of information economics explains the principal-agent relationship involving the open-end fund is the essential reason for the irrational redemption, because fund managers may take advantage of information engaged in activities related to their own interests, thus causing damage to the interests of investors; at the end of this part, we try to combine the psychology research To explain the reason of this irrational redemption phenomenon, the theoretical basis is mainly based on the nonlinear utility theory put forward by Kahneman, including disposal effect, herding effect, noise trading and investor sentiment.
The fourth part is the empirical study on the open-ended fund of our country, the samples are selected quarterly data of 94 open-end fund was founded before January 2005 from the beginning to the end of 2010 second quarter from the first quarter of 2005, and will further influence the redemption behavior of investors for divided into revenue measure (such as the fund's quarterly rate of return and the stock market return, dividend fund, fund redemption rate etc.) and risk measures (such as fund ownership concentration, the proportion of institutional investors, fund size). Firstly, by using panel data analysis model from the traditional factors perspective to analyze the redemption behavior of investors, concluded the return rate of fund net redemptions and the rate of the fund's quarterly fund, is proportional to the concentration of ownership; fund dividends and stock market returns, the proportion of institutional investors, the fund size is inversely proportional to; The relationship with the fund redemption rate is not very significant. Next, we introduce a measure of investor sentiment liquidity index, trying to analyze the redemption behavior of investors from the perspective of behavioral finance, the regression coefficient of 0.154 in the 5% level through the test, that is to say investors purchase and redemption behavior type fund in China is affected by other factors in addition to the basic plane, which is from the perspective of empirical analysis confirms the rationality of theory of the third part of the article.
The fifth part is the end of the article, mainly for the previous correlation analysis and interpretation on China's open-end fund redemption behavior, and puts forward some suggestions respectively from the perspective of regulators and fund management company's point of view, including positive publicity, cultivating people long-term investment philosophy; more fund legislation and financial innovation. The perfect financial market; strengthen the supervision of the fund management company, to create a good investment environment; optimize asset allocation, seeking liquidity and profitability balance; take regular dividend policy; establish the base of statistical database, liquidity preference; research to develop more reasonable subscription and redemption rates to avoid excessive centralization of fund marketing; and seek more advanced marketing mode.
The main contributions and innovations of this paper are: (1) the study sample data integrity and rationality, long time span, and covers a complete rise, decline in prices; (2) from the revenue measure and risk measure of the two directions of the redemption behavior of investors conducted a comprehensive effect analysis, a more intuitive description of the investors to choose the real reason for the redemption of fund shares; (3) according to the theory of psychology and behavior finance, by introducing index of investor sentiment, and actively explore the influence of irrational factors in the redemption of investors in the decision-making process. In addition, this paper also has many shortcomings and defects, some is affected by the objective factors, such as open-end fund in China has a relatively short history, which gets some data is difficult and incomplete; others are affected by our knowledge level limit, truthfully card In addition return of investor sentiment index after the results are not very satisfactory, probably because the liquidity index of our choice is not a good measure of investor sentiment, there may be other factors, we temporarily did not consider these issues, I hope in the future study and research can be obtained continue to improve.

【學(xué)位授予單位】：西南財(cái)經(jīng)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2011
【分類(lèi)號(hào)】：F832.51;F224

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