【作者】 郭晓；

【导师】 杨乃定；

【作者基本信息】 西北工业大学 ， 企业管理， 2007， 硕士

【副题名】以股票型开放式基金为例

【摘要】 由于证券投资基金具有组合投资、分散风险、专业理财以及方便投资等优势，目前已经发展成为国内外金融市场上重要的金融工具，同时也成为我国A股证券市场上最大的机构投资者。基金投资行为是决定证券投资基金生存与发展的关键因素，研究基金投资行为不仅可以增加社会对基金的了解，为中小投资者投资基金提供帮助，同时也可以规范基金管理者的投资行为，引导其成为维护证券市场持续、健康、稳定发展的中坚力量。 本文从行为金融的视角，以股票型开放式基金为研究对象，运用因子分析和对数回归模型探讨了基金投资行为中的选股偏好问题，同时实证检验了基金投资行为中的两种反馈投资策略、投资风格与投资策略的关系以及投资策略与绩效的关系。本文的研究不仅拓宽了关于行为金融下投资行为研究的广度和深度，而且针对实证结果对我国证券市场和基金业提供了参考意见。 本文通过实证检验，得到以下结论：股票型开放式基金的持股比例与本季度净资产收益率、本季度流动比率、股票总股本成正相关；类似的，本文还发现，基金持股比例与本季度市盈率、上市公司年限成负相关；大多数基金倾向于根据当期股票表现采取“追涨杀跌”的投资策略；在大量购入股票时采取动量投资策略能够提高基金绩效，而在抛售股票时，投资策略不明显。更多还原

【Abstract】 At present, as the important financing tools in the inland and oversea financial markets because of its advantages, such as combination investment, dispersing risk, professional management and funding conveniently, the investment fund has become the largest institutional investor in the Chinese A share stock-market. The behavior of fund investment is the key factor for surviving and developing of investment fund. Studying fund investment behavior could make the society comprehend the fund and provide advices for individual investor’s fund investment, and make the investment behavior of fund manager standardization to maintain the stock-market developing continuously, healthily and steadily.In the view of behavioral finance, with the object of stock-oriented open-end fund, using factor analysis and Ln-regression analysis, we discusses the fund portfolio holdings in fund investment behavior and empirical study on the feedback trading strategies, the relationship between investment styles and trading strategies, and the relationship between trading strategies and performance. This dissertation not only enlarges the extent and depth of the behavior finance, but also provides practical advice for Chinese stock-market and fund investment.The empirical research has been carried, and the following conclusion can be更多还原