基于经济控制论的基金投资行为研究
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摘要
证券投资基金的迅猛发展是近二十年以来全球金融体系的一个重要变化特征。它使传统的以银行为中介的金融体系发生深刻变迁,以证券投资基金为代表的机构投资者所主导的证券市场大有全面取代占据传统金融中介核心地位的银行体系之势,并引发了理论界关于机构投资者与银行未来发展地位的学术之争。中国的证券市场成立虽不过十几个年头,但发展迅猛,已成为国民经济生活中不可或缺的重要组成部分。中国证券投资基金的投资理念、投资方向、投资风格、投资策略和管理水平等方面均对证券市场的趋势和市场理念的引导起着比较关键的作用。
基金已经日益成为我国目前股票市场最为重要的机构投资者,基金的股票投资行为不仅对其自身的业绩产生了重大的影响,也成为了影响股票价格走势的重要因素。因此研究基金的投资行为有助于了解基金自身的净值走势,也有助于加深对整个证券市场运行规律的把握。
随着行为金融学的兴起,引入行为金融理论对我国的基金行为加以分析,不论对监管当局还是对交易者本身都具有重要的理论价值与现实意义。
在证券市场上,基金投资行为是在特定的市场制度、文化环境下作出的反应,其投资行为是众多具有确定性、随机性和模糊性因素在相互作用的过程中演化形成的。由于基金投资行为的复杂性和中国证券市场独特的制度背景,对基金投资行为的分析,不仅要考虑制度、文化等环境因素,还要考虑基金经理个体特征对基金经理投资行为的影响和行为的异常表现,以揭示基金经理投资行为的内存决定机制和本质特点。投资者行为研究是证券市场研究中最符合实际、最贴近投资者,也是最具活力的研究。本人拟从经济控制理论的视角深入分析基金投资行为,建立起基于经济控制理论的基金投资行为研究框架。本文主要从几个方面研究基金的投资行为：第一、基金投资行为研究的金融理论及控制原理；第二、基金战略资产配置行为研究；第三、基金战术资产配置的行为偏差研究；第四、基金投资行为对市场的影响研究；第五、基金与其他机构投资者投资行为比较研究。
针对本文的研究目标,以行为金融学、经济学和管理学等为基础,按照从理论到实证的研究思路,同时也体现了管理研究的“问题导向”、“背景依赖”以及“技术支持”的特征,采用了规范分析与实证相结合、定性分析与定量分析相结合、归纳推理与演绎推理的方法,对基于经济控制论基金投资行为控制原理、基金战略资产配置行为、战术资产配置行为偏差、市场效应、基金与其他机构投资者投资行为的比较等问题进行了深入研究。
笔者认为,本文创新点主要体现在如下几个方面：
第一,基于经济控制论构建了基金投资管理的控制系统。本文将系统思想、控制理论和信息论最优化思想以及风险控制技术等贯穿基金投资行为控制的始终。本文运用现代金融理论,结合系统论、控制论和信息论,把基金投资管理作为一个动态、开放的经济控制系统来进行研究,并将经济学原理与系统论、控制论相结合综合分析该系统的运作原理。本文用系统分析方法把基金投资行为研究放在基金公司这一大系统中加以考察,即从系统的观点出发,着眼于从基金投资行为系统的整体与部分、整体与环境的相互联系和相互作用中综合地、精确地考察对象,求得系统整体的最佳功能。
第二,构建了下偏风险厌恶框架下动态战略资产配置模型。在研究中国证券投资基金资产配置对基金收益率的贡献率时,我们将所有股票型基金的基金年化累计增长率对基金资产配置年化累计收益率作横截面回归,所得到的调整后的R2可以代表资产配置对基金净值增长率在横截面上的解释程度。
第三,从多方面、多角度分析了我国基金投资行为偏差及其产生的原因。尽管造成我国基金投资行为偏差的原因是多方面的,但基本可以概括为外部市场环境和内部制度安排两个层面。和以往的实证研究相比,本文应用Lakonishok (1991)的方法(以下简称LSV法)进行了检验。同时,本文对沪深两市投资基金的羊群行为进行了全面系统的检验,不仅对所有基金从整体上进行了检验,还分别按按股票历史收益率、股票流通股规模大小和基金参与的积极程度分类进行了检验。
第四,在研究基金交易行为对市场稳定性的影响时,考虑到宏观经济环境的不同,剔除了宏观经济变量的影响后,我们更准确地研究微观变量包括基金交易行为对股票市场稳定性的影响。对金融时间序列的异方差性和收益的自相关性,笔者应用广义的自回归条件异方差模型,该模型增加了对自相关变量的描述,提高了预测的准确性。
第五,沿着行为金融学中关于噪音交易者与套利者之间博弈的研究路径,吸收正反馈交易的思想。通过对国内机构投资者的分类假设,构造出我国机构投资者基于委托代理关系的决策模型,从而系统分析我国各类机构投资者之间的不同决策行为如何形成综合的市场效应及产生各种异常现象的内在机理。
The rapid development of securities investment fund is an important mutative characteristics of the global financial system since the twenty years. It makes the traditional financial system, which takes the bank as the medium of it,has a great profound changes. The securities market dominated by the institutional investors which take the securities investment fund as the main representative, is fully replacing the banking system that have been taking over the central position of the traditional financial intermediary, and it has triggered an academic theory wrangling on the future development status between the institutional investors and bank. Although China's securities market hade established only ten years, but it has grown rapidly and become an indispensable important component of the national economic life. The China securities investment funds'investment philosophy, investment direction, investment style, investment strategy and management level and etc plays a more critical role in the securities market trends and market idea guidance.
Fund has increasingly become the most important institutional investors of our country's stock market,and the funds'investment behavior in stock market not only produced significant influence on its own performance, but also become an important factor that affects the stock price movements. Therefore, researching about the fund investment behavior will help us understand the fund its own net value,it also may conduce to deepen our understanding of the operation rules of the whole stock market.
With the rise of behavioral finance, it has important theoretic value and practical significance that to introduct behavioral finance theory to analyze China's fund behavio, whether to the regulatory authorities or for the trader itself. In the stock market, fund investment behavior is a reaction made in a particular market system and cultural environment, its investment behavior is evolved from the interaction process of many factors which is deterministic,stochastic and fuzzy. Due to the complexity of the fund investment behavior and China securities market unique system background, to analysis fund investment behavior, we should not only consider institution, culture and other environmental factors, but also consider the influence of the fund manager individual characteristics to their investment behaviors and abnormal findings,which may help us reveal the decision mechanism and essential characteristics of the fund manager investment behavior. Research about Stock market investors behavioral is the most actual, the closest to investors, and the most dynamic research.
I intend to analyze investment behavior of fund from the perspective of the theory of economic control, and establish analysis framework with regard to behavior of fund investment based on economic control theory. In this article I will research fund's investment behavior from the following aspects. First, I will analyze financial theory of fund's investment behavior and control theory; Second, I will research fund's strategic asset allocation behavior; Third, I will research the behavior deviation of fund's tactical asset allocation; Fourth, I will research effect of the fund investment behavior on market; Fifth, I will take comparative analysis between fund's investment behavior and investment behavior of other institutional investors.
For objectives of this study, I will take base on behavioral finance, economics and management science. I will research fund's investment behavior in accordance with the ideas from theory to empirical. The "problem oriented ", "background dependent"and"technical support " feature will be reflected in management. I will use methods of Normative and empirical analysis, the combination of qualitative analysis and quantitative analysis, induction and reasoning methods. The author believes that innovation is reflected in the following aspects:
First, management control system of the Fund investment is constructed on economic control. Aspects of systems thinking, control theory and information theory optimization and risk control technology thinking have always run through fund investment behavior control in this article. In this paper, modern financial theory, systems theory, cybernetics and information theory are applied. I will study fund investment management as a dynamic, open economy control system.
Second, build the dynamic model of strategies asset allocation within the framework of the next partial risk aversion.
Third, analyze the deviation of fund investment behavior and the causes in many ways and many angles. Although many reasons caused the deviation of fund investments, but the reasons basically can be summed up as the external market environment and institutional arrangements.
Fourth, when we research the effect of fund transactions on the market stability, difference of the macroeconomic environment will be considered. Discounting the impact of macroeconomic variables, we can more accurately study effect of the behavior of the micro variables including fund trading on the stock market stability.
Fifth, absorb positive feedback trading ideas on along the path of the game between noise traders and arbitrageurs in the behavioral finance (Andrei Shleifer,2003).
基金已经日益成为我国目前股票市场最为重要的机构投资者,基金的股票投资行为不仅对其自身的业绩产生了重大的影响,也成为了影响股票价格走势的重要因素。因此研究基金的投资行为有助于了解基金自身的净值走势,也有助于加深对整个证券市场运行规律的把握。
随着行为金融学的兴起,引入行为金融理论对我国的基金行为加以分析,不论对监管当局还是对交易者本身都具有重要的理论价值与现实意义。
在证券市场上,基金投资行为是在特定的市场制度、文化环境下作出的反应,其投资行为是众多具有确定性、随机性和模糊性因素在相互作用的过程中演化形成的。由于基金投资行为的复杂性和中国证券市场独特的制度背景,对基金投资行为的分析,不仅要考虑制度、文化等环境因素,还要考虑基金经理个体特征对基金经理投资行为的影响和行为的异常表现,以揭示基金经理投资行为的内存决定机制和本质特点。投资者行为研究是证券市场研究中最符合实际、最贴近投资者,也是最具活力的研究。本人拟从经济控制理论的视角深入分析基金投资行为,建立起基于经济控制理论的基金投资行为研究框架。本文主要从几个方面研究基金的投资行为：第一、基金投资行为研究的金融理论及控制原理；第二、基金战略资产配置行为研究；第三、基金战术资产配置的行为偏差研究；第四、基金投资行为对市场的影响研究；第五、基金与其他机构投资者投资行为比较研究。
针对本文的研究目标,以行为金融学、经济学和管理学等为基础,按照从理论到实证的研究思路,同时也体现了管理研究的“问题导向”、“背景依赖”以及“技术支持”的特征,采用了规范分析与实证相结合、定性分析与定量分析相结合、归纳推理与演绎推理的方法,对基于经济控制论基金投资行为控制原理、基金战略资产配置行为、战术资产配置行为偏差、市场效应、基金与其他机构投资者投资行为的比较等问题进行了深入研究。
笔者认为,本文创新点主要体现在如下几个方面：
第一,基于经济控制论构建了基金投资管理的控制系统。本文将系统思想、控制理论和信息论最优化思想以及风险控制技术等贯穿基金投资行为控制的始终。本文运用现代金融理论,结合系统论、控制论和信息论,把基金投资管理作为一个动态、开放的经济控制系统来进行研究,并将经济学原理与系统论、控制论相结合综合分析该系统的运作原理。本文用系统分析方法把基金投资行为研究放在基金公司这一大系统中加以考察,即从系统的观点出发,着眼于从基金投资行为系统的整体与部分、整体与环境的相互联系和相互作用中综合地、精确地考察对象,求得系统整体的最佳功能。
第二,构建了下偏风险厌恶框架下动态战略资产配置模型。在研究中国证券投资基金资产配置对基金收益率的贡献率时,我们将所有股票型基金的基金年化累计增长率对基金资产配置年化累计收益率作横截面回归,所得到的调整后的R2可以代表资产配置对基金净值增长率在横截面上的解释程度。
第三,从多方面、多角度分析了我国基金投资行为偏差及其产生的原因。尽管造成我国基金投资行为偏差的原因是多方面的,但基本可以概括为外部市场环境和内部制度安排两个层面。和以往的实证研究相比,本文应用Lakonishok (1991)的方法(以下简称LSV法)进行了检验。同时,本文对沪深两市投资基金的羊群行为进行了全面系统的检验,不仅对所有基金从整体上进行了检验,还分别按按股票历史收益率、股票流通股规模大小和基金参与的积极程度分类进行了检验。
第四,在研究基金交易行为对市场稳定性的影响时,考虑到宏观经济环境的不同,剔除了宏观经济变量的影响后,我们更准确地研究微观变量包括基金交易行为对股票市场稳定性的影响。对金融时间序列的异方差性和收益的自相关性,笔者应用广义的自回归条件异方差模型,该模型增加了对自相关变量的描述,提高了预测的准确性。
第五,沿着行为金融学中关于噪音交易者与套利者之间博弈的研究路径,吸收正反馈交易的思想。通过对国内机构投资者的分类假设,构造出我国机构投资者基于委托代理关系的决策模型,从而系统分析我国各类机构投资者之间的不同决策行为如何形成综合的市场效应及产生各种异常现象的内在机理。
The rapid development of securities investment fund is an important mutative characteristics of the global financial system since the twenty years. It makes the traditional financial system, which takes the bank as the medium of it,has a great profound changes. The securities market dominated by the institutional investors which take the securities investment fund as the main representative, is fully replacing the banking system that have been taking over the central position of the traditional financial intermediary, and it has triggered an academic theory wrangling on the future development status between the institutional investors and bank. Although China's securities market hade established only ten years, but it has grown rapidly and become an indispensable important component of the national economic life. The China securities investment funds'investment philosophy, investment direction, investment style, investment strategy and management level and etc plays a more critical role in the securities market trends and market idea guidance.
Fund has increasingly become the most important institutional investors of our country's stock market,and the funds'investment behavior in stock market not only produced significant influence on its own performance, but also become an important factor that affects the stock price movements. Therefore, researching about the fund investment behavior will help us understand the fund its own net value,it also may conduce to deepen our understanding of the operation rules of the whole stock market.
With the rise of behavioral finance, it has important theoretic value and practical significance that to introduct behavioral finance theory to analyze China's fund behavio, whether to the regulatory authorities or for the trader itself. In the stock market, fund investment behavior is a reaction made in a particular market system and cultural environment, its investment behavior is evolved from the interaction process of many factors which is deterministic,stochastic and fuzzy. Due to the complexity of the fund investment behavior and China securities market unique system background, to analysis fund investment behavior, we should not only consider institution, culture and other environmental factors, but also consider the influence of the fund manager individual characteristics to their investment behaviors and abnormal findings,which may help us reveal the decision mechanism and essential characteristics of the fund manager investment behavior. Research about Stock market investors behavioral is the most actual, the closest to investors, and the most dynamic research.
I intend to analyze investment behavior of fund from the perspective of the theory of economic control, and establish analysis framework with regard to behavior of fund investment based on economic control theory. In this article I will research fund's investment behavior from the following aspects. First, I will analyze financial theory of fund's investment behavior and control theory; Second, I will research fund's strategic asset allocation behavior; Third, I will research the behavior deviation of fund's tactical asset allocation; Fourth, I will research effect of the fund investment behavior on market; Fifth, I will take comparative analysis between fund's investment behavior and investment behavior of other institutional investors.
For objectives of this study, I will take base on behavioral finance, economics and management science. I will research fund's investment behavior in accordance with the ideas from theory to empirical. The "problem oriented ", "background dependent"and"technical support " feature will be reflected in management. I will use methods of Normative and empirical analysis, the combination of qualitative analysis and quantitative analysis, induction and reasoning methods. The author believes that innovation is reflected in the following aspects:
First, management control system of the Fund investment is constructed on economic control. Aspects of systems thinking, control theory and information theory optimization and risk control technology thinking have always run through fund investment behavior control in this article. In this paper, modern financial theory, systems theory, cybernetics and information theory are applied. I will study fund investment management as a dynamic, open economy control system.
Second, build the dynamic model of strategies asset allocation within the framework of the next partial risk aversion.
Third, analyze the deviation of fund investment behavior and the causes in many ways and many angles. Although many reasons caused the deviation of fund investments, but the reasons basically can be summed up as the external market environment and institutional arrangements.
Fourth, when we research the effect of fund transactions on the market stability, difference of the macroeconomic environment will be considered. Discounting the impact of macroeconomic variables, we can more accurately study effect of the behavior of the micro variables including fund trading on the stock market stability.
Fifth, absorb positive feedback trading ideas on along the path of the game between noise traders and arbitrageurs in the behavioral finance (Andrei Shleifer,2003).
引文
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