中国证券投资基金交易行为与绩效评价研究
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摘要
在监管部门超常规发展机构投资者的战略指导下,我国证券投资基金近年来取得了突飞猛进的发展,已成为我国证券市场上的主导力量。然而,在我国基金业高速发展过程中却暴露出种种问题,如基金黑幕事件、“老鼠仓”事件、基金违规操作、操纵股价等事件频发,这与政府培育和发展机构投资者的初衷和人们对机构投资者的预期大相径庭。证券投资基金的市场功能、投资行为、运作机制、经营绩效、政策监管等问题已成为最近研究热点问题。而关于基金交易行为及其股价影响等问题,国内尚无系统全面的研究,更缺乏符合我国证券投资基金发展实际的绩效评价方法。
基于基金交易行为与业绩表现的内在联系,以行为金融理论为基础,本文从模型构造及实证检验角度对基金的交易行为、绩效评价及其两者关系进行了系统探讨。本文由四部分构成：第一部分包括第1和第2章,在对国内外现有研究文献回顾与评述基础上,对行为金融理论中关于投资者羊群行为及动量反转交易行为的理论模型进行了概述,为后文的实证研究提供理论基础。第二部分包括第3和第4章,从实证的角度对基金的羊群行为和动量反转交易行为进行了检验。第三部分包括第5和第6章,运用构造的基于松弛变量效率测度(SBM)三阶段模型对我国基金的总体绩效进行了评价；另外,还对基金经理的选时择股能力进行了检验；第四部分为本文第7章,在对本文主要结论进行总结基础上,为我国证券投资基金的规范化发展及基金业绩效评价体系的完善提出了相关政策建议。
针对国内现有研究文献中基金羊群行为实证检验方法上的创新不足,在检验股市整体羊群行为的CCK模型基础上,本文提出了检验基金羊群行为的状态空间模型,利用我国基金从2004年第1季度至2009年第1季度的样本数据,对其羊群行为进行了实证检验,并考查了基金羊群行为对其自身业绩的影响。研究结果发现,基金所持股票收益率与市场收益率之间的估计系数表现出时变性,即我国证券投资基金在投资组合选择过程中存在着羊群行为。但状态变量的各季度估计量变化趋势显示,基金羊群行为程度随时间推移逐渐降低,表明我国证券投资基金日趋规范化,基金经理投资策略也趋于理性化,基金作为我国证券市场最大的机构投资者,其稳定市场、倡导理性投资的功能也开始凸显出来。基金羊群行为整体上对其业绩影响并不显著,但在市场大幅上升阶段,基金的从众模仿使其有更好的业绩表现；而在市场大幅下跌阶段,采取羊群交易策略的基金业绩表现较差。本文还在Sias (2004)的基础上,构造了用于检验基金羊群行为中理性与非理性成分的实证模型。
为避免现有研究文献中使用最多的动量测度指标(ITM)的小样本偏差及未考虑任何其他基金动量交易行为影响因素的不足,本文构造了基于基金持股比例变化、滞后股价超额收益率和滞后市场组合形成期收益率所构成的面板数据模型。对我国基金动量反转交易行为的实证研究发现,我国基金总体上表现出动量交易特征，且在增仓交易活动中表现更为强烈,而在减仓交易活动中基金总体上表现出反转交易行为。不同投资风格基金交易行为有较大差异,成长型、价值型和平衡基金表现为动量交易者,指数型基金总体上表现出反转交易特征。基金的动量交易行为总体上带来了股价的上涨,且一直持续到组合期的第2季度；反转交易策略在当期并未带来股价的反转,直到下一季度股价才开始逐渐上涨,表明我国证券市场股价在短期内反应不足；基金动量反转交易策略对小盘股的影响最大,且在一定程度上加剧了股价波动的风险。基金动量反转交易行为对基金的收益率不具有显著影响,但自2008年第1季度以来,对于股价过度反应的股票采取反转交易策略可以获得相对更高收益。
在Fried (1999)效率评价模型中控制外部环境因素方法基础上,本文运用最新发展起来的基于松弛变量效率测度(SBM)模型,构造了将风险与经营环境因素同时纳入基金效率评价体系的SBM三阶段模型,为基金业绩效评价提供了一种新的思路。实证检验结果表明,我国开放式基金效率整体上呈波动型上升趋势；且在2007年第3季度前,基金业表现出效率下降时期的趋同性；而在此之后,我国基金业的绩效不断提升的同时,其效率估计标准差也在逐步递减,我国基金业表现出量与质的同步发展。随机前沿回归模型估计结果表明,基金规模、基金成立时间、基金赎回比率和货币供给增长率对基金业效率改善有正向促进作用。而基金申购比率和作为市场行情代理变量的上证指数收益率,对基金业的效率估计影响并不明显。经环境变量调整后基金业效率再估计结果发生显著变化,表明基金所处的经营环境特征对其效率估计具有显著影响。
SBM三阶段模型是对基金总体绩效评价,而基金的绩效是由基金经理的证券分析能力、资产类别选择能力、市场预测能力等因素构成,本文最后基于基金总体绩效构成角度,将基金经理的能力分解为选时和择股能力,运用T-M和H-M模型及基金持股数据,从基金的选时择股能力角度对基金绩效进行评价。研究发现,我国封闭式基金只有少部分表现出显著的择股能力,绝大部分封闭式基金不具备选时能力；近75%的开放式基金表现出一定的择股能力,即大部分开放式基金都能发现价值被低估股票并选择持有；只有不足1／5的开放式基金具备选时能力,在选时能力方面开放式基金的表现明显弱于封闭式基金。我国证券投资基金的绩效在短期内表现出一定的持续性,而在长期基金绩效依赖于基金经理选时择股能力的提高。
Under the strategic guidance of financial supervision and regulation department to ultra-conventionally developing institutional investors, securities investment funds in our country has made dramatically rapid development in recent years, and has become the dominant force in securities market. However, problems had exposed during the rapid development of China's fund industry, such as the fund insider trading event, illegal operations and price manipulation event happened frequently, it's quite different from supevison department and people's original expectation. The market function of securities investment funds, and its investment behavior, operating mechanism, operating performance, supervision policies and other issues have become a hot topic in recent researches. However, there is no systematic or comprehensive study on both fund transaction behavior and the effects it has on stock price, and also a lack of methods on fund performance appraisal which is in accordance with the practical development of securities investment funds in China.
Based on the inner relationship of trading behavior and operation performance of funds, this paper studies the transaction behavior and performance appraisal of securities investment funds on the basis behavioral finance theory. The paper consists of four main parts. The first part consists of Chapter 1 and 2 which gives an overview of theoretical models of investors'herd behavior and momentum reversal trading behavior in behavioral finance on the basis of the existing domestic and international literature reviews and comments, providing a theoretical foundation for the following empirical study. The second part consists of Chapter 3 and 4 which conducts an empirical study on fund herd behavior and momentum reversal trading behavior. The third part consists of Chapter 5 and 6 which applies the SBM three-stage model constructed in the paper in both the appraisal of overall performance of investment funds in China and the testing of fund managers'stock and timing selection ability. The last part is the Chapter 7 of this paper which summarizes the main conclusions of this paper and gives relative suggestions to the standardization of securities investment fund and the improvement of fund performance appraisal system.
In order to make up for the inadequate innovation in empirical test methods which use for testing investor's herd behavior, the paper constructs a state space model that can be used for the testing of funds'herd behavior on the basis of CCK model which is used to test the herd behavior of the whole stock market, and conducts an empirical test by using the sample data of funds in China from the first quarter of 2004 to the first quarter of 2009, furthermor we examine the effect of herd behavior on funds'performance. The results indicate that the estimated coefficient between the return rate of funds and the stock market was time-varying, which means that herd behavior exists in the portfolio selection process of securities investment funds. However, the trend of quarterly-estimated amount of variables demonstrated that the degree of fund herd behavior gradually decreased over time, which means the increasing standardization of securities investment fund in China and rationality of fund managers'investment strategy. As the largest institutional investors in China's securities market, funds start to function in terms of stabilizing the market and promoting rational investments. The impact of fund herd behavior on its performance is not singnificant, but herd behavior can bring better performance while the market is increasing, and bring poor performance while the market is decreasing. In addition, the paper constructs an empirical model to test the rationality and irrationality of fund herd behavior on the basis of Sias (2004).
In order to avoid the small sample deviation of the most frequently used momentum measure indicator (ITM) in the existing literature and the negligence of other factors which may affect the fund momentum trading behavior, a panel data model is constructed to test fund momentum trading behavior in this paper based on the variation of fund-holding proportion, the supernormal return rate of lagged stock price and the return rate of lagged stock market portfolio. The empirical study of the fund momentum reversal trading behavior indicate that funds in China showed momentum trading and appeared to be stronger in buying transactions while demonstrating reversal trading in selling transactions in general. The fund transaction behavior differed greatly with different investment styles. The growth funds, value funds and balanced funds appeared to be momentum trading whilst index funds showed reversal trading. Funds momentum trading behavior generally brought the continuing increase in stock price until the second quarter, which inferred that fund momentum trading behavior, to a large extent, was rational investment. Reversal trading strategies did not bring the rebounding of stock price and the stock price started to increase gradually until the next quarter, which meant that securities market in China lacked of response in the short-run. Fund momentum reversal trading strategy exerted greater influence on small market value stocks and in a large extent increased the risk of stock price fluctuation. The effect of funds'momentum reversal trading behavior on funs'return is not significantly, but since 1st quarter of 2008, take the reversal trading strategy on over-reacted stocks can gain more returns, and it can bring better performance for funds but also conducive to the market stability.
Based on the method of controlling the external environment factors used in Fried (1999) efficiency appraisal model and the application of latest developed slack base efficiency measure model (SBM), the paper constructs a three-stage model of fund efficiency appraisal by taking into account both risk and operating environment factors, providing a new way for fund performance appraisal. Through the empirical research the paper finds that open-end fund efficiency in China generally witnessed a fluctuant upward trend. Before the third quarter of 2007, the fund maintained to demonstrate convergence during a downturn of funds efficiency. Then, the performance of fund industry in China continued to improve whilst the estimated standard deviation of funds performance was gradually decreasing, which showed the mutual development of quantity and quality of China's fund industry. The estimation results of random frontier regression model revealed that fund size, fund setup time, fund redemption rate and money supply growth played a positive role in augmenting fund efficiency. However, subscription rate of fund and return rate of Shanghai composite index which acts as a proxy variable of market conditions exerted mere influence on efficiency estimation of funds industry. Fund efficiency estimation maintained significant change after adjusting by environmental variables, revealing that the operating environment of funds had significant influence on its efficiency estimation.
SBM three-stage model is used for fund's overall performance apprasial, however, fund's overall performance is consist of fund manager's securities analysis ability, asset classes selection ability, predictive ability of the market and other factors. Base on the consitute of fund's overall performance, decomposing fund manager's ability into stock selection ability and timing selection ability, this paper applies the T-M and H-M model to test fund managers'stock and timing selection ability using the data of China's funds. The study found that only a small part of closed-end funds in China showed significant stock selection ability whilst most of them had no market timing ability. About 75 per cent of the open-end funds showed certain stock timing ability and most funds could discover and hold under-valued stocks. Only less than 1/5 of open-end funds had market selection ability and open-end funds were absolutely weaker than closed-end funds in terms of timing selection ability. The performance of securities investment funds in China showed certain continuity in the short-run, whilst the fund performance relied on fund managers' stock timing selection ability in the long-run.
基于基金交易行为与业绩表现的内在联系,以行为金融理论为基础,本文从模型构造及实证检验角度对基金的交易行为、绩效评价及其两者关系进行了系统探讨。本文由四部分构成：第一部分包括第1和第2章,在对国内外现有研究文献回顾与评述基础上,对行为金融理论中关于投资者羊群行为及动量反转交易行为的理论模型进行了概述,为后文的实证研究提供理论基础。第二部分包括第3和第4章,从实证的角度对基金的羊群行为和动量反转交易行为进行了检验。第三部分包括第5和第6章,运用构造的基于松弛变量效率测度(SBM)三阶段模型对我国基金的总体绩效进行了评价；另外,还对基金经理的选时择股能力进行了检验；第四部分为本文第7章,在对本文主要结论进行总结基础上,为我国证券投资基金的规范化发展及基金业绩效评价体系的完善提出了相关政策建议。
针对国内现有研究文献中基金羊群行为实证检验方法上的创新不足,在检验股市整体羊群行为的CCK模型基础上,本文提出了检验基金羊群行为的状态空间模型,利用我国基金从2004年第1季度至2009年第1季度的样本数据,对其羊群行为进行了实证检验,并考查了基金羊群行为对其自身业绩的影响。研究结果发现,基金所持股票收益率与市场收益率之间的估计系数表现出时变性,即我国证券投资基金在投资组合选择过程中存在着羊群行为。但状态变量的各季度估计量变化趋势显示,基金羊群行为程度随时间推移逐渐降低,表明我国证券投资基金日趋规范化,基金经理投资策略也趋于理性化,基金作为我国证券市场最大的机构投资者,其稳定市场、倡导理性投资的功能也开始凸显出来。基金羊群行为整体上对其业绩影响并不显著,但在市场大幅上升阶段,基金的从众模仿使其有更好的业绩表现；而在市场大幅下跌阶段,采取羊群交易策略的基金业绩表现较差。本文还在Sias (2004)的基础上,构造了用于检验基金羊群行为中理性与非理性成分的实证模型。
为避免现有研究文献中使用最多的动量测度指标(ITM)的小样本偏差及未考虑任何其他基金动量交易行为影响因素的不足,本文构造了基于基金持股比例变化、滞后股价超额收益率和滞后市场组合形成期收益率所构成的面板数据模型。对我国基金动量反转交易行为的实证研究发现,我国基金总体上表现出动量交易特征，且在增仓交易活动中表现更为强烈,而在减仓交易活动中基金总体上表现出反转交易行为。不同投资风格基金交易行为有较大差异,成长型、价值型和平衡基金表现为动量交易者,指数型基金总体上表现出反转交易特征。基金的动量交易行为总体上带来了股价的上涨,且一直持续到组合期的第2季度；反转交易策略在当期并未带来股价的反转,直到下一季度股价才开始逐渐上涨,表明我国证券市场股价在短期内反应不足；基金动量反转交易策略对小盘股的影响最大,且在一定程度上加剧了股价波动的风险。基金动量反转交易行为对基金的收益率不具有显著影响,但自2008年第1季度以来,对于股价过度反应的股票采取反转交易策略可以获得相对更高收益。
在Fried (1999)效率评价模型中控制外部环境因素方法基础上,本文运用最新发展起来的基于松弛变量效率测度(SBM)模型,构造了将风险与经营环境因素同时纳入基金效率评价体系的SBM三阶段模型,为基金业绩效评价提供了一种新的思路。实证检验结果表明,我国开放式基金效率整体上呈波动型上升趋势；且在2007年第3季度前,基金业表现出效率下降时期的趋同性；而在此之后,我国基金业的绩效不断提升的同时,其效率估计标准差也在逐步递减,我国基金业表现出量与质的同步发展。随机前沿回归模型估计结果表明,基金规模、基金成立时间、基金赎回比率和货币供给增长率对基金业效率改善有正向促进作用。而基金申购比率和作为市场行情代理变量的上证指数收益率,对基金业的效率估计影响并不明显。经环境变量调整后基金业效率再估计结果发生显著变化,表明基金所处的经营环境特征对其效率估计具有显著影响。
SBM三阶段模型是对基金总体绩效评价,而基金的绩效是由基金经理的证券分析能力、资产类别选择能力、市场预测能力等因素构成,本文最后基于基金总体绩效构成角度,将基金经理的能力分解为选时和择股能力,运用T-M和H-M模型及基金持股数据,从基金的选时择股能力角度对基金绩效进行评价。研究发现,我国封闭式基金只有少部分表现出显著的择股能力,绝大部分封闭式基金不具备选时能力；近75%的开放式基金表现出一定的择股能力,即大部分开放式基金都能发现价值被低估股票并选择持有；只有不足1／5的开放式基金具备选时能力,在选时能力方面开放式基金的表现明显弱于封闭式基金。我国证券投资基金的绩效在短期内表现出一定的持续性,而在长期基金绩效依赖于基金经理选时择股能力的提高。
Under the strategic guidance of financial supervision and regulation department to ultra-conventionally developing institutional investors, securities investment funds in our country has made dramatically rapid development in recent years, and has become the dominant force in securities market. However, problems had exposed during the rapid development of China's fund industry, such as the fund insider trading event, illegal operations and price manipulation event happened frequently, it's quite different from supevison department and people's original expectation. The market function of securities investment funds, and its investment behavior, operating mechanism, operating performance, supervision policies and other issues have become a hot topic in recent researches. However, there is no systematic or comprehensive study on both fund transaction behavior and the effects it has on stock price, and also a lack of methods on fund performance appraisal which is in accordance with the practical development of securities investment funds in China.
Based on the inner relationship of trading behavior and operation performance of funds, this paper studies the transaction behavior and performance appraisal of securities investment funds on the basis behavioral finance theory. The paper consists of four main parts. The first part consists of Chapter 1 and 2 which gives an overview of theoretical models of investors'herd behavior and momentum reversal trading behavior in behavioral finance on the basis of the existing domestic and international literature reviews and comments, providing a theoretical foundation for the following empirical study. The second part consists of Chapter 3 and 4 which conducts an empirical study on fund herd behavior and momentum reversal trading behavior. The third part consists of Chapter 5 and 6 which applies the SBM three-stage model constructed in the paper in both the appraisal of overall performance of investment funds in China and the testing of fund managers'stock and timing selection ability. The last part is the Chapter 7 of this paper which summarizes the main conclusions of this paper and gives relative suggestions to the standardization of securities investment fund and the improvement of fund performance appraisal system.
In order to make up for the inadequate innovation in empirical test methods which use for testing investor's herd behavior, the paper constructs a state space model that can be used for the testing of funds'herd behavior on the basis of CCK model which is used to test the herd behavior of the whole stock market, and conducts an empirical test by using the sample data of funds in China from the first quarter of 2004 to the first quarter of 2009, furthermor we examine the effect of herd behavior on funds'performance. The results indicate that the estimated coefficient between the return rate of funds and the stock market was time-varying, which means that herd behavior exists in the portfolio selection process of securities investment funds. However, the trend of quarterly-estimated amount of variables demonstrated that the degree of fund herd behavior gradually decreased over time, which means the increasing standardization of securities investment fund in China and rationality of fund managers'investment strategy. As the largest institutional investors in China's securities market, funds start to function in terms of stabilizing the market and promoting rational investments. The impact of fund herd behavior on its performance is not singnificant, but herd behavior can bring better performance while the market is increasing, and bring poor performance while the market is decreasing. In addition, the paper constructs an empirical model to test the rationality and irrationality of fund herd behavior on the basis of Sias (2004).
In order to avoid the small sample deviation of the most frequently used momentum measure indicator (ITM) in the existing literature and the negligence of other factors which may affect the fund momentum trading behavior, a panel data model is constructed to test fund momentum trading behavior in this paper based on the variation of fund-holding proportion, the supernormal return rate of lagged stock price and the return rate of lagged stock market portfolio. The empirical study of the fund momentum reversal trading behavior indicate that funds in China showed momentum trading and appeared to be stronger in buying transactions while demonstrating reversal trading in selling transactions in general. The fund transaction behavior differed greatly with different investment styles. The growth funds, value funds and balanced funds appeared to be momentum trading whilst index funds showed reversal trading. Funds momentum trading behavior generally brought the continuing increase in stock price until the second quarter, which inferred that fund momentum trading behavior, to a large extent, was rational investment. Reversal trading strategies did not bring the rebounding of stock price and the stock price started to increase gradually until the next quarter, which meant that securities market in China lacked of response in the short-run. Fund momentum reversal trading strategy exerted greater influence on small market value stocks and in a large extent increased the risk of stock price fluctuation. The effect of funds'momentum reversal trading behavior on funs'return is not significantly, but since 1st quarter of 2008, take the reversal trading strategy on over-reacted stocks can gain more returns, and it can bring better performance for funds but also conducive to the market stability.
Based on the method of controlling the external environment factors used in Fried (1999) efficiency appraisal model and the application of latest developed slack base efficiency measure model (SBM), the paper constructs a three-stage model of fund efficiency appraisal by taking into account both risk and operating environment factors, providing a new way for fund performance appraisal. Through the empirical research the paper finds that open-end fund efficiency in China generally witnessed a fluctuant upward trend. Before the third quarter of 2007, the fund maintained to demonstrate convergence during a downturn of funds efficiency. Then, the performance of fund industry in China continued to improve whilst the estimated standard deviation of funds performance was gradually decreasing, which showed the mutual development of quantity and quality of China's fund industry. The estimation results of random frontier regression model revealed that fund size, fund setup time, fund redemption rate and money supply growth played a positive role in augmenting fund efficiency. However, subscription rate of fund and return rate of Shanghai composite index which acts as a proxy variable of market conditions exerted mere influence on efficiency estimation of funds industry. Fund efficiency estimation maintained significant change after adjusting by environmental variables, revealing that the operating environment of funds had significant influence on its efficiency estimation.
SBM three-stage model is used for fund's overall performance apprasial, however, fund's overall performance is consist of fund manager's securities analysis ability, asset classes selection ability, predictive ability of the market and other factors. Base on the consitute of fund's overall performance, decomposing fund manager's ability into stock selection ability and timing selection ability, this paper applies the T-M and H-M model to test fund managers'stock and timing selection ability using the data of China's funds. The study found that only a small part of closed-end funds in China showed significant stock selection ability whilst most of them had no market timing ability. About 75 per cent of the open-end funds showed certain stock timing ability and most funds could discover and hold under-valued stocks. Only less than 1/5 of open-end funds had market selection ability and open-end funds were absolutely weaker than closed-end funds in terms of timing selection ability. The performance of securities investment funds in China showed certain continuity in the short-run, whilst the fund performance relied on fund managers' stock timing selection ability in the long-run.
引文
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