现代证券组合投资理论的应用研究

【作者】 陈学荣；

【导师】 侯振挺； 邹捷中；

【作者基本信息】 中南大学 ， 概率论与数理统计， 2000， 博士

【摘要】 证券组合投资理论自50年代产生以来就一直受到证券投资实务人员和理论界的高度重视。该理论在发达资本市场上被广泛应用于风险资产的投资并取得了良好的效果。我国的证券市场属于新兴资本市场，组合投资理论怎样应用到我国证券市场，其能否发挥起应有的应用效果是人们非常关心的问题。作者在本文的研究中投入较大的精力研制了适合于我国股票市场的应用软件和湘财指数（库）。在此基础上，作者将组合投资理论的主要模型——马可维茨均值一方差模型、单因素、多因素模型、基金历史绩效评估和投资组合评估模型应用于我国沪深股票市场进行理论研究和比较性分析。本文通过比较系统的研究后，主要取得以下成果和结论： 一、比较系统的研制出适合于我国证券市场的现代组合投资理论应用软件（命名为“湘财组合投资分析软件”，英文缩写“XCPLAS”）。该软件涉及的主要内容包括：1、数据库；2、证券管理（证券浏览、证券排序、选择证券、自定义组合等）；3、湘财指数系统；4、风险一收益分析系统（计算证券的方差、均方差、协方差、协方差矩阵、β系数、平均收益）。5、马可维茨组合选择系统（有效组合与有效边界计算）；6、夏普单指数模型系统，包括有效组合计算（允许、不允许卖空）；7、投资组合业绩评估系统（计算夏普指数、詹森指数、雷特尔指数、法马值）。8、多因素模型分析系统（有效组合计算、横切面回归分析、时间序列回归分析、套利模型）；9、市场有效性检验系统（弱型有效检验、半强式有效检验）。 二、为了使以市场指数为因素的因素模型能够应用于我国证券市场，针对我国投资者，特别是基金、机构投资者同时投资沪深两个市场的实际情况，作者研制开发了湘财指数，包括湘财综值、湘财上值、湘财深值、分类指数（行业指数、板块区域指数、任意组合指数）。以上所有指数采用以沪深两市所有A、B股流通盘为权数的派氏法计算，排除了公股不能流通的影响。 三、本文利用回归分析、趋势分析（游程法）对我国股票市场的有效性进行检验后认为，我国证券市场目前具备了弱式有效的特点，但不具备半强式有效。这表明我国的证券市场能够充分反应市场已经公开发布的信息，任何采用技术图表分析的方法都不能获得超额利润。但我国证券市场目前还不能充分反映所有公开可得的信息，也就是说，如果有人提前知道某公司即将公布的利好消息，他就会获得超额利润。 四、本文利用时间序列、横截面回归对股票的影响因素进行了分析。结果表明，股票价格与净资产收益率有高度的相关性，但与换手率和股本规模没有明显的相关性，我国股票市场的“收益效应”明显。 五＼本渊用均值一方差模型、单因素模型、多因素模型对98年第一批上市的五家基金的投资组合09年6月30日公布）进行了最小方差组驸算，并对计算结果进行了对比和事后检验。研究结果表明，在允许卖空条件下，马可维茨模型目前的应用效果不理想。单因素和多因素模型的硼效果比较令人满意。这种差距存在的主要原因可能是因素模型本身在其假设中对市场的有效性没有马可维茨要求那么苛刻所致。 六、本文的研究成果标明，在当前我国市场不允许卖空约的束条件下，非卖空马可维茨模型和单因素的卖空约束简化计算模型对我国投资基金的投资组合选择有很好的指导作用。据此，作者建议，我国的证券投资基金经理在实际运作中可应用该模型作为投资组合选择的分析工具，以进一步提高决策的科学性。 七、本文利用夏普指数、詹森指数、特雷尔指数指标，采用理附算和图示法两种方法对 98年第一批五家基金进行了历史绩效和投资组合乃9年 6月 30日公布）进行了评估。评估结果标明，基金安信综合业绩最优。评估结果与市场实际情况一致。这说明，目前国际上比较通行的证券投资基金评估指标和方法同样适合于对我国的证券投资基金进行评估。 八、本文的研究标明，我国证券投资基金目前具有如下特点：一是基金能够获得超过市场指数的平均收益；二是基金的系统风险小，非系统风险大。基金获得的超额利润可能来自于以下两个部分：一是在我国非半强式有效的市场上，基金有一定的信息优势；二是题通过配售新股获得制度性利润。赊重仓持有个股形成“控盘”可能是造成系统风险小、非系统风险大的重要原因之一。 九、本文研究结果标明，由于赫抗系统风险很强，在股价指数走低或转人 熊市时，投资者购买赊的风险小于股票。更多还原

【Abstract】 Since its emergence in the 1 950s, the security portfolio investment theory has been highly emphasized in both the theoretical communities of security investment. This theory has been widely applied to the investment of risk capital with good performance in advanced capital market. In China where the security market is still a newly-emerged capital market, it has been a great concern as to how to apply the portfolio investment theory into practice and how to take full advantage of this theory. In this paper, the author has developed an applied software and Xiangcai Index Bank applicable to the development, the author made a theoretical study and comparative analysis on the applications of the main models of portfolio investment theory into the Chinese Shanghai and Shenzhen Stock Exchange. The models included: Markowitz variance model, single/mutti-factor model, fund historic performance evaluation and investment portfolio evaluation model. After a comparative and systematic study, the paper arrives at the following achievements and conclusions:I.An applied software for modern portfolio investment theory was developed (named:Xiangeai portfolio Investment Analysis Software, abbreviation XCPLAS), which is composed of: 1. Database; 2. Security management (security browsing, security selection ,self-defined portfolio); 3. Xiangcai index system; 4. Risk-return analysis system (calculating the variance, mean square deviation, covariance, covariance matrix, ~ factor, average return of the security); 5. Portfolio investment performance evaluation system (effective portfolio and effective portfolio calculation);6.Sharp single-index model system, including effective portfolio calculation); 7. portfolio investment performance evaluation system (calculating the sharp index, Jansen index, index, value); 8. Multi-factor model analysis system(effective portfolio calculation, transverse regression analysis, time-sequence regression analysis, hedgemode1); 9. Markt effectiveness testing syStem (weak effective teSting, semi-sttOngeffective testing.II. To be able tO Pu factor model based on market index ibo Chinese security market,and by reference to the sitUation tha Chinese investors, esPeciaily the funds andinstitUtiona1 investors invest in both Shanghai and Shenzhen stock market at the satnetime, the author developed the Xiangcai boex COInedensive figUr, XiangcaiShanghai Shenzhn Index, c1assified figUre (sector index, regional index, randomPOrtfo1io index,. The above indexes are calculated by weighing the A.B shares inShanghai and Shewhen Stock Exchange, eliminAing the imPact of thenon-circuating Pub1ic to.IIl. Affer teSting the Chinse stock market’s efficiency hy using regression analysisand trend analsis, the pape came to the conctheion that the Chinese secdrity marketcurreully haS the feafore of weak effectveness. ms indicates that the Chinesesecwhies market is abe to fully refiect the disclosed infonnation in market, anymehOd tha uses teetw dingam analysis can nOt obtain extr proflt. Bu cnanty’the Chinese security tnarke can nO reflect ail the Publicly availabe infanation. Thatis tO say if someone knOws a comPW’s good new in advance, he will get chprofit.N. The Pgrr analySis the itnpart elements on otes by usng tim Seqwting andtransverse regression. The resul shOW tha the he Pnd is veq cormlative to thenet asset’s retal tate, bu not obvious1y correlative to the boer the and sharecaPital size. The Chinese share maret has an obvious: "ta utlity,.V The paPer, by applytng the aveage-varianee model, single-faCtr modl,multi~model, mad a miulmum varianCe talcuation on the inveStmen portfO1io offive funds listed in l998 (issued on June 30, 1999),and made a comparson and testingof the calculated resu1ts. The findings show that, with short sales allowed, theMarkowttz model is not ideal in aPplication up to now The single-factor andmulti-factor model share satisfactory in aPplication. The difference is probably due tothat the later models更多还原