【作者】 杨柳；

【导师】 熊海芳；

【作者基本信息】 东北财经大学 ， 金融学， 2019， 硕士

【摘要】 在没有财富效应或流动性约束的无摩擦市场中,债券基金的投资组合调整不会受到投资者流动性需求的影响,即当债券基金发生赎回时基金会按照原有比例打包交易其投资组合,从而其资产净值减少但投资组合的构成比例一般保持不变。然而,现实中并不存在无摩擦市场,在面临投资者赎回时,债券基金必定会采取积极的流动性管理措施,如利用现金类资产来吸收投资者赎回带来的流动性风险。在已有文献的基础上,本文尝试回答以下两个问题:(1)投资者行为是否会使基金管理人调整基金的投资组合结构,是否会优先利用流动性较好的现金类资产来满足投资者的流动性需求?(2)面临投资者的赎回压力,若债券基金的现金持有量不足以应对该流动性需求,不得不交易组合中流动性相对较差的二级市场的债券成分,这是否会影响二级市场表现,是否会对债券价格和二级市场稳定性产生影响?本文对以上问题展开研究时,共分成五部分:第一部分为绪论,阐述本文的研究背景与意义,继而系统回顾和梳理国内外的相关研究文献,总结本文的创新与不足之处。第二部分中首先进行了开放式基金的组合投资与投资者行为的理论分析。本节介绍了开放式基金的组合结构;也从理论角度分析了投资者的申赎行为对基金组合结构的影响,说明基金管理者应对投资者行为时会不断进行调整来使基金的资产配置比例保持在基金经理设定的最优值。另外,本文在这部分提出了 5个研究假设。第三部分通过实证分析了投资者行为与债券基金组合结构调整的关系,通过定量分析来判断当债券基金发生赎回时基金是否会优先卖出其持有的现金或现金类资产来缓冲赎回压力,是否会选择优先交易流动性较好的证券资产,最后得到的结论是肯定的。第四部分基于投资者赎回行为的角度,探讨了持有现金类资产不足的债券基金在面临大额赎回时抛售债券的市场表现,一旦赎回份额过大就会迫使基金不得不交易其持有的流动性较差的公司债或企业债,这时被抛售的债券的价格是否会受到影响。在这部分的最后一节,本文从定性的角度分析了投资者的赎回行为对二级债券市场稳定性的影响,总体来说,这部分探讨的是投资者赎回行为与二级市场表现的关系。第五部分为主要研究结论,本部分通过对本文前面相关研究内容进行系统梳理和总结,全面撰写本文形成的研究结论。本文基于面板回归模型及PSM-DID模型,使用2006-2018年间的756只样本基金及其持仓的公司债或企业债的样本数据对上述问题进行了实证检验,最终得到的主要研究结论可概括为以下几个方面:(1)通过分析投资者行为对债券基金组合结构的影响,本文发现面对投资者赎回行为时,债券基金每赎回1%时,其投资组合中的公司债或企业债占比会增加0.23%,而其持有的现金类资产会减少0.05%;面对投资者申购行为时,债券基金组合结构中会相应增持现金类资产,公司债或企业债占比相对减小。在债券层面上,本文发现当债券基金每赎回1%时,其投资组合中的公司债或企业债券仅仅交易48.4个基点。故投资者行为会导致债券基金进行组合结构调整。(2)研究表明债券基金中现金类资产持有占比较低(投资组合中现金类资产占比不足5%)在面临投资者大额赎回时,在赎回季度内,其抛售债券的价格会因为基金抛售而下降0.0921%,但是在下一季度价格就会回弹。故说明债券基金大额赎回对二级市场表现有影响,会对其抛售债券的价格产生负影响,且该影响具有暂时性。即便如此,随着我国市场上低现金持有的债券基金占比愈来愈多,并且低现金持有的债券基金投资组合中,公司债及企业债的持有比例目前已接近50%,故债券基金投资者的巨额赎回行为对二级市场的稳定性可能构成潜在威胁。更多还原

【Abstract】 In the frictionless market without wealth effect or liquidity constraint,the adjustment of bond fund portfolio will not be affected by investors’ liquidity demand.That means the fund trades its portfolio in accordance with the original proportion when bond fund is redeemed,so that its net asset value decreases while the portfolio generally remains unchanged.However,there is no frictionless market in reality.When faced with investor redemption,bond funds must take active on liquidity risk management measures,such as using cash assets to absorb the liquidity risk brought by investor redemption.Based on existing literature,this paper attempts to answer the following two questions:(1)In the face of investors’ liquidity needs,will bond funds adjust their portfolio structure,and will they give priority to sell cash assets rather than selling bonds to meet investors’ liquidity needs?(2)When bond funds face large redemptions,will bond funds with less cash assets affect the price of bonds in the secondary market and the stability of the bond market?This article is divided into five parts when researching the above issues.The first part is the introduction,which elaborates the research background and significance of this article,and then systematically reviews and sorts out relevant research literature at home and abroad to summarize the innovations and deficiencies of this article.In the second part,the theoretical analysis of portfolio investment and investor behavior of open-end funds is carried out.This section introduces the portfolio structure of open-end funds;it also analyzes the impact of investor’s redemption behavior on the fund portfolio structure from a theoretical perspective,indicating that fund managers will constantly adjust to respond to investor behavior to make the fund’s asset allocation ratio Keep at the optimal value set by the fund manager.In addition,this paper proposes five research hypotheses in this section.The third part analyzes the relationship between investor behavior and bond fund portfolio structure adjustment through empirical analysis,and uses quantitative analysis to determine whether the fund will preferentially sell the cash or cash assets it holds to buffer redemption when bond funds redeem.The pressure,whether to choose to trade securities assets with better liquidity,the final conclusion is positive.The fourth part discusses the market performance of bond funds with insufficient cash assets to sell bonds when faced with large redemptions from the perspective of investor redemption behavior.Once the redemption share is too large,it will force the fund to trade its bonds.Whether the price of the bonds being sold at this time will be affected if corporate bonds or corporate bonds with poor liquidity are held.In the last section of this section,this article analyzes the impact of investor redemption behavior on the stability of the secondary bond market from a qualitative perspective.In general,this part discusses investor redemption behavior and secondary market performance.The fifth part is the main research conclusions.This part comprehensively compiles the research conclusions formed by this article by systematically combing and summarizing the previous related research content.Based on panel regression model and PSM-DID model,this paper conducts an empirical test on the above problems using sample data of 756 sample funds and corporate bonds held by them from 2006 to 2018,and the main research conclusions can be summarized as follows:(1)Analysis of the portfolio structure of bond funds in response to liquidity risks.At the fund level,this paper finds that when bond funds redeem 1%,the proportion of corporate bonds or corporate bonds in their portfolio will increase by 0.23%,while their cash assets will decrease by 0.05%.In the bonds level,this paper found that when the bond fund every 1%redemption,its portfolio of corporate bonds or corporate bonds are traded only 48.4 basis points.Therefore,when the fund redemptions occur,the fund managers do not trade according to the original portfolio proportion,but prefer to trade cash assets to meet investors’ capital needs.(2)The research results of this paper show that if bond funds with low cash assets(cash assets account for less than 5%of the portfolio)suffer from large redemptions,the current yield of the bonds they sell will drop by 0.0921%in the redemption quarter due to the fund selling,but the yield of bonds will rebound in the next quarter.Therefore,the large redemption of bond fund will have a negative impact on the price of its selling bonds,and the impact is temporary.Even so,market low cash bond funds accounted for more and more along with our country,and lower cash holdings of bonds in the portfolio,corporate bonds and corporate debt holdings is now close to 50%,so the bond fund to liquidity shocks to the combination of structural adjustment may also be a potential threat to the stability of the bond market.更多还原