【作者】 张凤娟；

【导师】 刘国亮；

【作者基本信息】 山东大学 ， 金融（专业学位）， 2013， 硕士

【摘要】 动量效应、反转效应、日历效应、规模效应、市盈率效应等金融异象极大地挑战了现代金融学理论,尽管有学者试图从风险角度对其进行解释,但实证研究发现,即使经过风险调整,动量效应仍显著存在。在传统金融学无法给出合理解释的背景下,行为金融学理论立足于投资者实际决策过程,从心理认知偏差的角度对投资者的交易行为及其导致的金融异象加以解释,并形成了系统的理论模型。既然动量效应、反转效应普遍存在于股票市场,那么,专业的基金管理人如何利用这一“异象”调整资产组合成为大家关注的焦点。因此,本文在回顾了中国证券投资基金发展历史的基础上,简要分析其交易行为的特点。在实证研究方面,本文以2004年第四季度至2012年第三季度基金交易数据作为研究样本,采用Badrinath and Wahal改进的GTW模型分析中国证券投资基金动量、反转策略倾向。实证结果表明,与Grinbaltt等人的研究结果不同,中国的证券投资基金整体表现为反转交易者,且倾向于买入过去表现好的股票,卖出时也选择过去表现好的股票,即“高买高卖”。此外,本文还分析了不同投资风格(成长型、价值型、平衡型)、不同市场状态(牛市、熊市、震荡调整期)下基金交易策略的不同。发现价值型基金有最强烈的“高买高卖”意向,且基金在震荡调整期的动量、反转指标最低。在此研究基础上,本文用spearman等级相关系数检验方法分别计算三个衡量基金绩效的指标(时间加权收益率、夏普指数、詹森指数)与ITM指标的相关性。出于统计数据可得性的考虑,本文选用国泰安数据库“基金评价指标”中的“周度数据近三年评价文件”相关数据,分析2010年第三季度至2012年第三季度基金绩效指标与ITM的相关性。发现基金根据上一季度的股票价格变动情况采取“高买高卖”的策略有助于提升投资业绩,根据个股两个季度前的表现采取的策略对基金绩效的影响视其评价指标的不同而不同。另一方面,除了基金买入上个季度表现好的股票(追涨)这一策略与时间加权收益率、夏普指数这两个基金业绩之间存在显著正相关的关系、买入两个季度前表现好的股票与根据夏普指数计算的基金绩效指标有显著负相关关系以外,没有证据证明其他的投资策略与基金各绩效指标之间存在显著相关关系。最后,本文提出了相关的政策建议。主要有：(1)加快完善市场做空机制。以真正起到起到平抑股市波动性、提高流动性及加快价值发现的作用。(2)完善基金评价体系,注重其长期表现。(3)提高上市公司门槛,并完善强制退市机制,以提高证券市场整体质量。更多还原

【Abstract】 Many market anomalies, such as momentum effect, contrarian effect, calendar effect, scale effect, and so on, have challenged the Modern Financial Theory greatly. Although some scholars tried to explain it from the angle of risk, the empirical study found that the momentum effect is still significant when the risk is considered. The Traditional Finance Theory can not give a reasonable explanation. As a result, the Behavioral Finance Theory based on the actual decision-making process explained those anomalies from the angle of psychological cognitive biases, and finally formed the theoretical model.Since the momentum effect and the contrarian effect generally exist in the stock market, whether the professional managers of funds use those effects had became the focus of our attention. Therefore, the article reviewed the historical development of Chinese fund, and then analysed the characteristics of the trading behavior briefly. In terms of the empirical research,I choosed the transaction data of funds from the fourth quarter in2004to the third quarter in2012. Then I adopted the GTW model improved by Badrinath and Wahal to checkout the characteristics of their trading behavior. The empirical results showed that, unlike the result acquired by Grinbaltt, the Chinese funds performed as the role of contrarian. Specifically, they tend to buy the shares which performed well in the past and sell the shares performed well, too. In addition, the article analyzed the different strategies implemented by funds which have different investment styles, and the different tendency under the three market condition. Finally, I found that the funds which pursuit the long-term appreciation of their capital had a more intense momentum and contrarian tendency. The funds under the market condition of vibrate have a lower momentum and contrarian tendency.Then the paper used the test of Spearman’s rank-correlation coefficient to compute the relation between the three indexes assessing the performance of the funds(time-weighted return,sharpe index,Jensen index) and their ITM index respectively. I choosed the database called "weekly data of assessment file" from the CSMAR’s evaluation system of fund. The result showed that funds which tend to buy or sell the stocks performed well in the previous quarter can always get a higher profit. But the effect of trading stocks according to their perfomence two quarters ago varies depend on the evaluation index. On the other hand, except the positive correlation between the time-weighted return(sharpe index)and the strategy of buying the stocks performed well a quarter ago and the negative correlation between the Shape index and the strategy of buying the stocks performed well two quarters ago, there is no evidence to prove that the rest of the investment strategies have a significant correlative relationship with the performance of the fund.Finally, I put forward some advices including (1)Make our efforts to build up the whole mechanism of Short Sales. Only in this way can we smooth the volatility of the stock market, increase the liquidity and speed up the process of finding stocks’ value.(2) Perfect the system of evaluating the funds’ return. We should pay much more attention on their long-term performance.(3) Improve the requirement of the public companies to enlarge our extention of investment.更多还原