基金投资行为与基金绩效相关性研究——基于风险与收益匹配视角
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摘要
随着国民经济的发展,人们投资意识逐步提高,我国的证券投资基金行业取得了巨大发展。当前,基金的份额和管理的资产越来越庞大,已成为证券市场上主力机构投资者。从风险与收益相匹配的角度,选取我国证券市场上的开放式股票基金作为样本,对我国基金投资行为和基金绩效的关系展开研究,发现满足风险与收益匹配原则的投资行为对基金绩效有显著的正向影响。
With the development of the national economy and the improvement of people's investment awareness,China's securities investment funds have achieved tremendous development.The number of fund shares issued and the number of assets under management are increasing,and they have become the main institutional investors in the securities market.From the perspective of matching risk and income,this paper selects open-end stock funds in China's securities market as a sample to study the relationship between fund investment behavior and fund performance in China.The study finds that China's securities investment behavior has a significant positive impact on fund performance.
With the development of the national economy and the improvement of people's investment awareness,China's securities investment funds have achieved tremendous development.The number of fund shares issued and the number of assets under management are increasing,and they have become the main institutional investors in the securities market.From the perspective of matching risk and income,this paper selects open-end stock funds in China's securities market as a sample to study the relationship between fund investment behavior and fund performance in China.The study finds that China's securities investment behavior has a significant positive impact on fund performance.
引文
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[27]隋周奕.基于VaR的中国基金绩效评价[J].经济研究导刊,2009(34):83-84.
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[29]廖凌.我国开放式基金投资风格飘逸及其对基金绩效的影响研究[D].上海:华东师范大学,2012.
[30]张洪.基于投资者情绪的我国开放式基金绩效评价研究[D].成都:西南财经大学,2012.
[31]齐岳,孙信明.基于投资策略的基金绩效评价--以价值、成长和平衡性基金为例[J].管理评论,2016,28(4):155-165.
[32]严武,熊航,凌爱凡.公募基金年末业绩追逐与风险调整行为研究[J].财贸经济,2016,37(9):81-96.
[33]张雪峰.开放式基金投资行为及其影响因素研究[D].天津:天津商业大学,2017.
[34]Harry,M.Markowitz.Portfolio Selection[J].Journal of Finance,1952,7(1):77-91.
[2]William F.Sharpe.Mutual Fund Performance[J].The Journal of Business,1966,39(1):119-138.
[3]Sharpe W.F.Mutual Fund Performance[J].Journal of Business,1966,39(1):119-138.
[4]Fama E.F.,French K.R..Common Risk Factors in the Returns on Stocks and Bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[5]Carhart,M.M.On Persistence in Mutual Fund Performance[J]Journal of Finance,1997,52(1):57-82.
[6]Grinblatt,M.,Titman,S.Wermers,R.Movement Investment Strategies,Portfolio Performance,and Herding:A Study of Mutual Fund Behavior[J].American Economic Revies,1995(85):221-245.
[7]A.Charnes,W.W.Cooper,,E.Rhodes.Measuring the Efficiency of Decision Making Units[J].European Journal of Operational Research,1978,2(6):429-444.
[8]B.P.S.Murthi,Yoon K.Choi,Preyas Desai.Efficiency of Mutual Funds and Portfolio Performance Measurement:ANon-parametric Approach[J].European Journal of Operational Research,1997,98(2):408-418.
[9]Treynor,J.L.,Mazuy,K.K.Can Mutual Funds Outguess the Market?[J].Harvard Business Review,1996,44(4):131-136.
[10]Henriksson,R.D.,Merton,R.D.On Market Timing and Investment Performance[J].Journal of Business,1981,(54):513-533.
[11]Chang,Lewellen.Market Timing and Mutual Fund Investment Performance,Journal of Business,1984,(57):57-72.
[12]Daniel,K.,Grin blatt,M.,Titman,S.and Wermers,R.Measuring Mutual Fund Performance with Characteristic-based Benchmarks.Journal of Finance,1997(52):1035-1058.
[13]Brinson,Gary P.,Gilbert Bee Bower,L.Randolph Hood.Determinants of Portfolio Performance[J].Finance Analysts Journal,1986(7):39-44.
[14]J.Bradford De Long,Andrei Shleifer,Lawrence H.Summers,Robert J.Waldmann.Noise Trader Risk in Financial Markets[J].The Journal of Political Economy,1990,98(4):703-738.
[15]Harrison Hong,Jeremy C.Stein.A Unified Theory of Underreaction,Momentum Trading,and Overreaction in Asset Markets[J].The Journal of Finance,1999,54(6):213-2184.
[16]Wermers,R.Momentum Investment Strategies,Portfolio Performance,and Herding:A Study of Mutual Fund Behavior[J].American Economic Review,1995,85(5):1088-1105.
[17]Sias Richard W.Institutional Herding Behavior[J].Review of Financial Studies,2004,17(1):165-206.
[18]Menkhoff,L.,Schmidt,U.,Brozynski,T.The Impact of Experience on Risk Taking,Overconfidence,and Herding of fund Managers:Complementary Survey Evidence[J].European Economic Review,2006,50(7):1753-1766.
[19]施东晖.证券投资基金的交易行为及其市场影响[J].世界经济,2001(10):26-31.
[20]黄静,高飞.基金投资行为与投资绩效实证研究[J].数理统计与管理,2006,25(2):25-29.
[21]曾德明,查琦,龚红.基金特征、管理特性与基金绩效关系的实证研究[J].管理学报,2006,3(3):99-105.
[22]李学峰,张茜.我国证券投资基金投资管理行为成熟性研究[J].证券市场导报,2006(10):52-57.
[23]张云云.我国证券投资基金的绩效研究--基于动量交易行为的视角[D].上海:华东交通大学,2012.
[24]伍旭川,何鹏.中国开放式基金羊群行为分析[J].金融研究,2005(5):60-69.
[25]张雪莹.资产配置对基金收益影响程度的定量分析[J].证券市场导报,2005(10):69-74.
[26]钱建豪.基于DEA模型的我国开放式基金绩效评价体系及其实证研究[J].当代财经,2005(12):42-46.
[27]隋周奕.基于VaR的中国基金绩效评价[J].经济研究导刊,2009(34):83-84.
[28]张金学.我国证券投资基金投资策略及绩效实证研究[D].大连:东北财经大学,2011.
[29]廖凌.我国开放式基金投资风格飘逸及其对基金绩效的影响研究[D].上海:华东师范大学,2012.
[30]张洪.基于投资者情绪的我国开放式基金绩效评价研究[D].成都:西南财经大学,2012.
[31]齐岳,孙信明.基于投资策略的基金绩效评价--以价值、成长和平衡性基金为例[J].管理评论,2016,28(4):155-165.
[32]严武,熊航,凌爱凡.公募基金年末业绩追逐与风险调整行为研究[J].财贸经济,2016,37(9):81-96.
[33]张雪峰.开放式基金投资行为及其影响因素研究[D].天津:天津商业大学,2017.
[34]Harry,M.Markowitz.Portfolio Selection[J].Journal of Finance,1952,7(1):77-91.