中国股票市场异象的特征及其与股票型基金风格漂移的关系研究
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摘要
股票市场异象在对经典金融理论进行猛烈抨击的同时，也推动了行为金融理论的发展和风格投资的盛行。根据风格投资的动因，风格漂移与市场异象之间似乎存在内生性关系：保持与市场异象一致的投资风格，捕捉市场异象带来的超额收益，既是风格投资的主要动机，也是保证风格投资策略成功的关键。
然而，我国风格投资践行者的风格漂移与股票市场异象之间似乎并不存在理论上的一致性：一方面，价值溢价、规模溢价和动量溢价等市场异象不断被实证研究所揭示，市场异象为风格投资者提供了系统性获利机会；另一方面，风格投资的主要追随者—股票型基金却存在普遍的风格错配现象，在风格投资实践中遭遇了重重挫折。在此背景下，对市场异象的特征及其与基金风格漂移之间的关系进行系统研究，既能够为基金业预测、利用市场异象提供科学的理论指导，也有利于揭示基金业内普遍存在的风格错配的深层次原因，对于把握股票市场的规律和提高风格投资的水平都有较为现实的意义。
本文从我国基金业内盛行的风格投资行为出发，重点对占据基金市场主体的股票型基金的风格投资行为及风格漂移现象进行考察，总结了我国股票型基金的风格投资实践的行为特征，并对股票型基金风格投资业绩进行了实证分析；结合CAPM及四因子模型在我国A股市场的适用性检验，基于大样本对我国股票市场的有效性进行了实证分析，在此基础上识别出我国股票市场中的主要异象，理论和实证分析均发现价值溢价、规模溢价和动量溢价是我国股票市场存在的主要异常现象，并利用数理建模和实证分析抽象出主要市场异象在持续性、波动性和周期性等方面的基本特征；进一步，检验市场异象与风格投资（风格漂移）之间的关联性、一致性和因果关系，从市场异象的视角揭示了我国股票型基金的风格错配现象的动因；最后，基于我国市场异象的波动性和周期性特征，提出了基于市场异象可预测性的风格轮换策略，通过对风格轮换策略与风格一致性策略的投资业绩进行仿真比较，提出了改进我国股票型基金风格投资行为的对策建议。
The stock market anomalies inveighed against classic financial theory, andpromoted the development of behavioral finance theory and the prevalence of styleinvestment. According to the causes of style investment, style drift and marketanomalies seems to have endogenous relationship: keep the consistent investmentstyle with the market anomalies, capture the excess profits which the marketanomalies bring, is the main motivation of the style investment, and also is the key tomake sure the investment strategy to success.However, Chinese style investmentpractice`s style drift and the stock market anomalies does not seem to exist theconsistency in theory: on the one hand, value premium, size premium and momentumpremium are being revealed by empirical study, market anomalies serve the systemicprofit opportunities for the style investors; On the other hand, the style of the maininvestment followers that stock funds are mismatch phenomenon in style commonly,in the style investment where occur many setbacks in practice. In this context, thesystem research on the relationship between market anomalies characteristics andfund style drift, it can use market forecast for funds, market anomalies to provide thescientific theory guidance, and also to reveal the deep reasons of fund industry whichstyles are common mismatched, to grasp the stock market rules and improve the levelof investment style which has realistic significance.
This paper start from the prevalence investment behavior of China fund industry,the key point is to investigate the main body of the market stock fund style investmentbehavior and style drift, summarized practice behavioral characteristic of China stockfund style investment, and did the empirical analysis on stock fund investmentperformance;
Combined with CAPM and four factor model in China A-share marketapplicability test, based on the large sample we did the validity empirical analysis onChinese stock market, and on the basis of China's stock market,we identify the mainanomalies on stock market, theoretical and empirical analysis are discovered value,scale and momentum premium stock market of our country is the existing main abnormal phenomenon, and by using the mathematical modeling and empiricalanalysis on the main market anomalies to abstract on continuing, fluctuation and thebasic characteristics of the periodic, etc; Further, we test the relationship betweenmarket anomalies and style investment (style drift) which is the relevance,consistency and causality, and reveals the Chinese stock fund style mismatch of thecauses of phenomena from the perspective of market anomalies; Finally, based oncyclical volatility characteristics which exist in the market anomalies of our country,we put forward style rotation strategy which was based on predictability of marketanomalies, through making a simulation comparison between the style rotation andstyle consistency strategy, then puts forward the countermeasures which couldimprove style investment behavior in our stock fund.
然而，我国风格投资践行者的风格漂移与股票市场异象之间似乎并不存在理论上的一致性：一方面，价值溢价、规模溢价和动量溢价等市场异象不断被实证研究所揭示，市场异象为风格投资者提供了系统性获利机会；另一方面，风格投资的主要追随者—股票型基金却存在普遍的风格错配现象，在风格投资实践中遭遇了重重挫折。在此背景下，对市场异象的特征及其与基金风格漂移之间的关系进行系统研究，既能够为基金业预测、利用市场异象提供科学的理论指导，也有利于揭示基金业内普遍存在的风格错配的深层次原因，对于把握股票市场的规律和提高风格投资的水平都有较为现实的意义。
本文从我国基金业内盛行的风格投资行为出发，重点对占据基金市场主体的股票型基金的风格投资行为及风格漂移现象进行考察，总结了我国股票型基金的风格投资实践的行为特征，并对股票型基金风格投资业绩进行了实证分析；结合CAPM及四因子模型在我国A股市场的适用性检验，基于大样本对我国股票市场的有效性进行了实证分析，在此基础上识别出我国股票市场中的主要异象，理论和实证分析均发现价值溢价、规模溢价和动量溢价是我国股票市场存在的主要异常现象，并利用数理建模和实证分析抽象出主要市场异象在持续性、波动性和周期性等方面的基本特征；进一步，检验市场异象与风格投资（风格漂移）之间的关联性、一致性和因果关系，从市场异象的视角揭示了我国股票型基金的风格错配现象的动因；最后，基于我国市场异象的波动性和周期性特征，提出了基于市场异象可预测性的风格轮换策略，通过对风格轮换策略与风格一致性策略的投资业绩进行仿真比较，提出了改进我国股票型基金风格投资行为的对策建议。
The stock market anomalies inveighed against classic financial theory, andpromoted the development of behavioral finance theory and the prevalence of styleinvestment. According to the causes of style investment, style drift and marketanomalies seems to have endogenous relationship: keep the consistent investmentstyle with the market anomalies, capture the excess profits which the marketanomalies bring, is the main motivation of the style investment, and also is the key tomake sure the investment strategy to success.However, Chinese style investmentpractice`s style drift and the stock market anomalies does not seem to exist theconsistency in theory: on the one hand, value premium, size premium and momentumpremium are being revealed by empirical study, market anomalies serve the systemicprofit opportunities for the style investors; On the other hand, the style of the maininvestment followers that stock funds are mismatch phenomenon in style commonly,in the style investment where occur many setbacks in practice. In this context, thesystem research on the relationship between market anomalies characteristics andfund style drift, it can use market forecast for funds, market anomalies to provide thescientific theory guidance, and also to reveal the deep reasons of fund industry whichstyles are common mismatched, to grasp the stock market rules and improve the levelof investment style which has realistic significance.
This paper start from the prevalence investment behavior of China fund industry,the key point is to investigate the main body of the market stock fund style investmentbehavior and style drift, summarized practice behavioral characteristic of China stockfund style investment, and did the empirical analysis on stock fund investmentperformance;
Combined with CAPM and four factor model in China A-share marketapplicability test, based on the large sample we did the validity empirical analysis onChinese stock market, and on the basis of China's stock market,we identify the mainanomalies on stock market, theoretical and empirical analysis are discovered value,scale and momentum premium stock market of our country is the existing main abnormal phenomenon, and by using the mathematical modeling and empiricalanalysis on the main market anomalies to abstract on continuing, fluctuation and thebasic characteristics of the periodic, etc; Further, we test the relationship betweenmarket anomalies and style investment (style drift) which is the relevance,consistency and causality, and reveals the Chinese stock fund style mismatch of thecauses of phenomena from the perspective of market anomalies; Finally, based oncyclical volatility characteristics which exist in the market anomalies of our country,we put forward style rotation strategy which was based on predictability of marketanomalies, through making a simulation comparison between the style rotation andstyle consistency strategy, then puts forward the countermeasures which couldimprove style investment behavior in our stock fund.
引文
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