【作者】 李涛；

【导师】 邹朋飞；

【作者基本信息】 江西财经大学 ， 金融学， 2017， 硕士

【摘要】 公募基金是一种通过专业团队来管理募集到的资金,以达到分散风险、提高收益的目的。证券投资基金这些年的发展已经受到了各界的广泛关注,现如今,证券投资基金已成为机构投资者和散户投资者的主要投资方式之一。证券投资基金的种类不断的增加,其相应的投资风格也在日益的增加。然而,由于中国股市高投机性等多种原因,国内基金管理人往往热衷追逐“热点”,无法形成稳定的投资风格,从而或多或少地偏离约定的投资风格,这本质上构成了一种“违约”行为。合理的业绩比较基准不仅能够有效地稳定基金的投资风格,而且有利于投资者准确度量基金业绩及评估基金经理投资管理能力,做出理性投资决策。因此,基金经理有义务严格遵守合同承诺,按照其业绩比较基准约定的投资风格进行投资运作。本文基于基金业绩比较基准这一视角,借鉴Sensoy(2009)的研究方法,实证检验我国开放式基金(股票型和混合型)实际投资风格是否契合其业绩比较基准,并进一步分析了基金偏离业绩基准的动机及其后果,这一研究目前在国内尚很鲜见。本文以2004年至2015年股票型和混合型开放式基金为样本,构建了基准调整收益的四因子模型,并采用面板回归等计量方法,检验基金投资风格是否偏离业绩比较基准。我们发现:相当部分基金偏离了其约定的大盘或价值型业绩基准,超额配置了小盘或成长型股票;基金实际业绩“击败”基准将带来超额的资金流量,反映基金偏离业绩基准是其追求规模最大化的策略性行为;最后,基金投资偏离业绩基准并不能带来更高的风险调整后回报。公募基金在基金合同(契约)中明确规定业绩比较基准,将其作为衡量投资风格及风险收益特征的基准组合。那么,基金实际运作中严格遵守业绩基准中“约定”的投资风格吗?通过构建基准调整收益的四因子模型,实证检验基金投资风格如何偏离其业绩比较基准,发现基金主要通过超额配置小盘或成长型股票偏离大盘或价值型业绩基准,这是基金追求规模最大化的策略性行为,然而,基金偏离业绩基准会使得投资者承担更大的风险,并不能给投资者带来更高的风险调整后回报,从而加剧了投资者与基金管理人之间的利益冲突。本文结论对于基金业绩比较基准的合理制定,监管层对基金相关“违约”行为监管等方面都具有重要价值。文章的结构主要分为五个章节,其中:第一章为引言,大致地概括了本文的研究内容与创新;第二章是文献综述,详细梳理了与基金业绩比较基准有关的理论与国内外研究成果;第三章是本文的研究方法,主要阐释了本文模型方法的来源与推导过程;第四章是实证结果部分,是本文的核心;第五章是结论与建议。更多还原

【Abstract】 Public offering fund is a kind of fund that is managed by professional team,so as to disperse risk and increase profit.The development of securities investment funds has attracted wide attention from all walks of life.Nowadays,securities investment funds have become one of the main investment methods for institutional investors and individual investors.The types of securities investment funds are constantly increasing,and their corresponding investment styles are also increasing.However,due to a variety of reasons,such as the Chinese stock market high speculative,domestic fund managers are often keen to chase hot spots,unable to form a stable investment style,thus more or less deviated from the agreed investment style,it essentially constitutes a "default".Reasonable benchmark results can not only effectively stabilization fund investment style,but also to investors fund performance accurate measurement and assessment of fund investment management ability,to make rational investment decisions.Funds have a duty to strictly abide by the contract commitment,therefore,in accordance with the agreement on the benchmark for the comparison of the performance of investment style investment operation.Based on the the perspective of benchmark,learn from Sensoy(2009)the research method of the empirical test in our country open-end fund(stock type and mixed type)whether agree with the actual investment style benchmark,and further analyze the motivation of fund from performance benchmark and its consequences,this research in China is still very rare.In this paper,from 2004 to 2015,the stock type and mixed type open-end fund as samples,build the benchmark adjusted returns four factor model,and use the metering method,such as panel regression testing fund investment style is deviating from the benchmark performance.We found that quite some funds from its agreed the market or value performance benchmark,excess configured with a small dish or growth stocks;Fund actual performance benchmark "beat" will bring the excess funds flow,reflect the fund deviating from the benchmark performance is the strategic behavior of the pursuit of scale;Finally,the fund investment deviation performance benchmark does not lead to higher risk adjusted returns.Public funds explicitly stipulated in the fund contract(contract)performance benchmark,as a measuring investment style and risk and return characteristics of benchmark portfolio.Strictly abide by the results in practical operation,then,funds in the investment style of "convention" ?By constructing benchmark adjusted returns four factor model,the empirical test fund investment style how to deviate from its performance benchmark,found funds mainly through small excess configuration or growth stocks deviate from the market or value performance benchmark,this is the size of the fund,the pursuit of maximization of strategic behavior,however,the fund is deviating from the benchmark performance will make investors to take on more risk,not higher risk-adjusted returns to investors,adding to the conflict of interest between investors and fund managers.Conclusion in this paper for establishing reasonable benchmark results,regulators related to fund "default" is of important value in such aspects as behavior regulation.The structure of the article is divided into five chapters,the first chapter is the introduction,briefly summarizes the research content and innovation of this paper,the second chapter is the literature review,the third part of this article are reviewed in detail research methods,index selection process;the fourth part is the empirical results;the fifth part is the conclusions and recommendations.The third part and the fourth part is the core part of this article.更多还原