【作者】 王茜；

【导师】 谢寓心；

【作者基本信息】 西南财经大学 ， 金融， 2022， 硕士

【摘要】 如今随着我国经济步入高质量发展的阶段,金融市场也迅速发展起来。基金市场作为金融市场的重要的组成部分,因为其共享收益、共担风险的特性深受投资者的喜爱。其中,开放式基金因为能够随时申购和赎回,并且拥有多种投资类型,是基金市场上的主要产品。而股票型基金作为开放式基金市场上不可或缺的重要组成部分,和直接投资股票相比,能够投资多种基金并且分散风险,和其他类型的开放式基金相比,又主要投资股票,具有较高收益,所以格外受到基金爱好者们的追捧。因此研究我国的股票型基金具有重要意义。再者,基金业绩的持续性问题一直是国内外相关专业人士讨论的热门话题,并且由于我国基金业绩的评价机制尚不完整,通过历史收益预测未来基金收益的现象仍然层出不穷,因此研究我国基金收益的持续性也具有重要价值。所以,总的来说研究我国股票型基金收益的持续性是非常有必要的。但是如果单纯考察我国股票型基金收益的持续性问题,忽视了基金经理更换的影响,那么结果可能就会发生较大的偏误,因此在排除基金经理更换的情况下,分析基金收益的持续性是非常有必要的。但是目前从这一角度探讨基金收益的持续性的文献很少,同时所用的数据也比较早,目前还处于初级阶段。因此本文将使用最新的基金数据,从基金经理的角度进行持续性的检验。本文利用了 Carhart(1997)的研究方法,使用了 2015年初至2020年末期间仍然存续,且基金经理尚未离职的105只股票型基金数据,并且同时采用了基金收益率、夏普比率、詹森指数以及Fama-French三因子模型衡量基金业绩,在观察周期上设置了月度、季度、半年度以及年度等不同的观察区间来分别验证我国股票型基金收益在短期、中期及长期是否存在持续性。通过实证检验与分析,最终得出结论:随着观察周期的不断拉长,我国股票型基金收益的持续性不断减弱。本文根据这一结论,提出了基金经理可能并没有使基金业绩长期持续的能力的假设。但是,此次检验还存在一个问题,即业绩表现相同的基金很有可能一直表现相同,即基金可能会抱团出现,从而躲过了收益持续性的检验。因此本文又从样本基金中筛选出短期表现好的基金,然后再对这些基金进行中长期收益的持续性检验。这次的实证结果再一次表明了股票型基金收益的检验周期越长,基金收益的持续性逐渐衰弱。同时,由于本文在筛选样本基金的过程中首先就排除了基金经理更换的影响,由此本文可以得出一个推论:基金经理无法使基金业绩长期持续,或是基金经理没有长期的投资能力。更多还原

【Abstract】 As Chinese economy has entered a stage of high-quality development,the financial market has also developed rapidly.As an important part of the financial market,the fund market is deeply purchased by investors due to the characteristics of shared income and shared risks.Among them,open-end funds are the main products in the fund market because they can be purchased and redeemed at any time,and they have a variety of investment types.As an indispensable and important part of the open-end fund market,stock funds can invest in a variety of funds and diversify risks compared with direct investment in stocks.Compared with other types of open-end funds,stock funds mainly invest in stocks and have higher return.Therefore,it is particularly sought after by fund enthusiasts.So it is of great significance to study Chinese stock funds.And the sustainability of fund performance has always been a hot topic discussed by relevant professionals at home and abroad.Since the evaluation mechanism of fund performance in China is not yet complete,the phenomenon of predicting future fund returns through historical returns is still emerging,therefore it is very necessary to study the sustainability of Chinese stock fund returns in general.However,if we simply examine the sustainability of Chinese stock fund returns and ignore the impact of fund manager replacement,the results may be quite biased.Therefore,it is very necessary to analyze the sustainability of stock fund returns,excluding the replacement of fund managers.However,there are few literatures on the sustainability of fund returns from this perspective,and the data used are relatively early,and it is still in its infancy.Therefore,this article will use the latest fund data to conduct a continuous test from the perspective of fund managers.This paper uses the research method of Carhart in 1997,uses the data of 105 stock funds that still exist from the beginning of 2015 to the end of 2020 whose fund managers have not yet left,and also uses the fund return,Sharpe ratio,Jensen index and excess return of Fama-French three-factor model as the indicators for measuring fund performance.And different observation intervals such as monthly,quarterly,semi-annual and annual are set up in the observation period to verify whether the returns of Chinese stock funds is sustainable in the short-term,medium-term and long-term.Through empirical test and analysis,the final conclusion is drawn:With the continuous extension of the observation period,the sustainability of Chinese stock fund returns is constantly weakening.Based on this conclusion,this paper further proposes the hypothesis that fund managers may do not have the ability to sustain fund performance in the long run.In addition,there is also a problem with this test.Funds with the same performance are likely to perform the same all the time,that is,funds may appear in groups,thus evading the test of income continuity.Therefore,this paper selects funds with good short-term performance from the sample funds,and then conducts a continuous test of medium and long-term returns on these funds.This empirical result once again shows that the longer the inspection period of stock fund returns,the less sustainable the fund returns.And because this paper first excludes the effect of fund manager replacement in the process of screening sample funds,this paper can draw a conclusion:fund managers cannot make fund performance sustainable for a long time,or fund managers have no long-term investment ability.更多还原