【作者】 黄莹；

【导师】 何问陶；

【作者基本信息】 暨南大学 ， 金融学， 2006， 硕士

【摘要】 自1997年11月《证券投资基金管理暂行办法》颁布实施以来，经过八年的快速发展，我国的证券投资基金已成为证券市场上重要的机构投资者之一。证券投资基金的规模正呈几何级数增长，基金品种也不断推陈出新。尤其在开放式基金推出后，基金的投资风格渐趋多元化，形成价值型、平衡性、成长型基金三分天下的局面。在证券投资基金业蓬勃发展的大背景下，如何正确分类和评价基金的投资风格，投资风格在基金管理人的实际操作中能否与基金契约所描述的保持一致，成为一个重要的研究课题。 本文首先对比美国和中国证券投资基金业的发展历程，认为当基金产业进入稳定增长的成熟阶段，基金产品差异化和基金市场细分将成为基金管理公司竞争的主要策略。然后根据美国晨星的分类标准，对封闭式基金和股票型开放式基金进行事前的风格划分，运用RSA和PSA的风格事后分类方法，对样本基金进行事前事后一致性检验。结果显示，大部分基金实际投资风格与声称的投资风格严重不符。进一步分析基金投资风格频繁变动的原因，认为由于非对称信息的存在，基金管理人可能基于自身的利益作出不利于投资者的行为选择，基金管理人可能基于业绩压力和职业前途的忧虑试图转变投资风格获取超额收益，但实证结果反映转变投资风格的基金业绩并不如坚持风格的基金，同时投资者没有被告知实际风格的变动，投资者利益受到了损害。 对同一时期的基金投资行为进行横向比较，发现基金在整体业绩，投资风格时间分布、投资策略等方面存在趋同现象。基金的羊群行为是导致这些现象的主要原因，基金风格趋同不仅让投资者无法区分基金产品的差异，还给投资者、基金管理人本身乃至股票市场带来风险。最后，本文针对我国证券投资基金分类体系及投资风格管理中存在的问题，提出一系列改善的政策、建议。更多还原

【Abstract】 For eight years since the promulgation of "The Provisional Management Measure on Securities Investment Funds" in November 1997, China’s security investment funds have being growing rapidly into one of the largest institutional investors in capital markets. The size of the funds witnessed exponential growth. The category of funds was also increasing rapidly. The investment style became more and more diversified especially after the birth of open-end funds. As the mutual fund industry continues to grow, the study on how to correctly classify and evaluate the investment style as well as to examine the consistency between the stated investment style and the actual performance.The thesis begins with a review of the development of mutual fund industry in USA and China. The evidence indicates that after the fund management industry enters into a mature stage, the product differentiation and market segmentation have become the major competitive strategies among fund management companies. Then, the Morningstar’s methodology is applied ex ante to classify the investment styles of close-end funds and open-end funds. Next, RSA and PSA methods are used ex post to classify the mutual funds into different styles. Finally, I compared the ex post classification with the ex ante classification to examine the consistency of investment style. The comparison shows that the majority of mutual funds significantly deviate from their stated investment styles. A further analysis justifies my hypothesis that due to information asymmetry, the fund managers may behave in favor of their own interests at the cost of the fund investors. Under the pressure of performance evaluation and in consideration of personal career, the fund manager may also try to outperform the benchmark by shifting the investment style. However, the empirical evidence indicates the contrary that the funds shifting style have underperformed the funds sticking to their style. As a result, if the funds shift the investment style without notice to the investors, they have effectively impaired the interests of fund investors.We have made horizontal comparisons for mutual fund performance in each reporting period and found that mutual funds tend to converge in investment style, timing and strategy. The herd behavior theory can be used to explain this phenomenon. But the convergence of investment style has led to indifferent products and higher risks for investors, fund managers and even the capital market. In the end, I addressed several problems in the existing fund style classification system and investment style management. I further proposed some measures to resolve these problems.更多还原