【作者】 曹建钢；

【导师】 金雪军；

【作者基本信息】 浙江大学 ， 政治经济学， 2010， 博士

【摘要】 A股私募基金起源于民间的“委托理财”业务,成长于各类投资型公司及其他个体的“代客理财”模式,壮大于阳光私募、券商集合理财和基金专户理财模式。其规模已经从2001年仅代客理财即为7000亿元左右,达到2007年的接近1万亿元人民币。本文从A股私募基金的绩效行为出发,利用A股私募基金中信托投资计划和券商集合理财的净值数据,对A股私募基金的绩效行为及其相应的影响因素进行了详细的实证研究,并取得了一定的成果。本文围绕对A股私募基金绩效行为的实证研究,除导言外具体可以分为四大部分。第一部分为理论综述部分。理论综述部分共一章,主要要讨论全球私募基金的发展和现状、A股私募基金的发展和现状以及A股私募基金的相关研究成果。同时,针对A股私募基金的相关研究成果进行总结并提出相应的问题和意见。第二部分为研究的切入点。这一部分共三章。一方面,从制度经济学的观点分析A股私募基金的制度变迁路径,其发展主要的创新动力来自于民间力量,其发展模式则来源于A股的收益预期。政府监管既困难,成本又较高,因此管理层在A股私募基金的创新过程中居于被动地位。正是如此,对于A股私募基金的研究成果不应放到合法性、组织形式和现状等问题上,而应该面向绩效行为及对市场影响等更高层次的角度上来；另一方面,对绩效行为的研究一般包括绩效指标、选股选时特征和业绩持续性研究等三个方面的内容。本文认为可以先从A股私募基金的绩效评价出发,研究A股私募基金的投资行为及其特征,从而对A股私募基金的绩效行为进行总体评价。也就是说,本文的实证将从绩效指标、投资特征、业绩持续性、基金经理行为等方面对A股私募基金的绩效行为进行考察。第三部分为具体的实证部分。这一部分共五章。首先,本文对绩效指标进行了考察,发现绩效指标的排名值比绝对值在应用上效果更好,同时,不同类的绩效指标的检验结果并不一致,因此对风险承受能力不同的投资者应选择不同的绩效指标进行评估；其次,本文研究了A股私募基金的业绩持续能力,结果发现A股私募基金短期业绩持续性较差,但短中期跨期检验显示A股私募基金在中长期的业绩持续能力表现较强；再次,本文利用绩效数据对A股私募基金的投资特征进行了研究,发现A股私募基金的选股能力表现不强,但有一定的选时能力。不过,本文的研究进一步发现,A股私募基金选股能力表现不强的原因可能与其投资谨慎、承受的系统性风险较低有关。同时,资产规模、已有存续期和信息公告日等因素对A股私募基金的绩效有较明显的影响力；然后,本文利用绩效数据对A股私募基金管理者影响因素进行了研究,结果发现基金经理出身的专业化程度不同对绩效的影响十分明显；最后本文利用随机股价模型进行蒙特卡罗模拟对A股私募基金的绩效进行了预估,但效果并不理想,说明利用蒙特卡罗方法模拟A股私募基金绩效变动时应选择更为有效的净值估价模型。第四部分为结论部分,共一章。对上述的理论演算和实证结果进行了一定的归纳总结。更多还原

【Abstract】 A share private funds are derived from trust financing, expand their influence with financial management-type services, and strengthen with sunshine private funds, broker aggregation financing, fund special financing. Their size expands from 700 billions yuans in 2001 to almost 1 trillion yuans in 2007. This paper studies on performance behavior and its effects of A share private fund with data of trust investment plans (sunshine private funds) and broker aggregation financing. And the whole paper can be divided into four parts.The first part, which is also the first chapter, gives the comments on global private fund development and present situation, A share private fund development and present situation, the theoretical researchs about A share private funds. And the paper also gives the comments on the research of domestic scholars.The second part which three chapters establish the method to analyze A share private fund performance behavior. On the one hand, second part describes development of A share private funds, analyzes action groups within system innovation of A share private fund, studies institutional process of A share private fund’s initiation and growth with genetic analysis and government status analysis, and get the conclusion that research subjects of A share private funds must be performance behavior and market reactions, etc. One the other hand, fund performance behavior research can be given to three aspects:performance indicators, investment features and performance persistence. We test A share performance behavior with aspects of performance indicators, investment features, performance persistence, fund manager behavior, etc.The following part is the part of empirical study. Firstly, this part tests performance indicators and finds that rank value is better than absolute value of performance indicator; Secondly, this part also tests performance persistence of A share private funds and finds that short run persistence is poor but interperiod persistence of A share privage fund performance is strong; Thirdly, the paper applies TM, HM, BM, GII, three factor, other multi-factors models and a new absolute model to test security selection ability, timing ability and investment tendency of A share private funds. The results show that A share private funds have weak security selection ability and better timing ability. The weak security selection ability is related to prudent investment of A share private funds; Then, we study A share privage fund manager’s behavior. Test results means that specialization degree of fund manager’s background affects private fund performance significantly; At last, we apply Monte-Carlo simulation method to simulate A share private fund performance with stochastic process model, but the result is not idealistic shows that more effective model should be chosen for Monte-Carlo simulation method.In the last part, also the last chapter, is our conclusion and suggestion part. In this section, we conclude the experimental results to describe the performance behavior of A share private funds.更多还原