我国证券投资基金绩效及发展研究

【作者】 刘月珍；

【导师】 杨义群；

【作者基本信息】 浙江大学 ， 农业经济管理学， 2002， 博士

【摘要】 证券投资基金在我国金融市场上的影响力日渐显著，深入研究其宏微观绩效具有重要现实意义。本文应用理论分析与实证分析相结合的方法，从宏观与微观两个方面，对我国证券投资基金的绩效进行了较为全面和深入的分析研究，并针对分析研究的结论提出了我国证券投资基金发展的路径、策略选择及政府管理应采取的手段和措施。具体内容分为六部分。 第一部分(第1章)概括了本文的研究背景、研究目的、研究方法、主要结论及论文的创新与不足，并对一些重要概念进行了界定。 第二部分(第2章)从证券投资基金产生发展的一般社会经济条件分析入手，比照证券投资基金业较为发达的西方国家基金发展初期的条件，较为详细地从我国经济总量发展及分配体制变化、居民储蓄发展变化、居民利率敏感性及风险取态、经济证券化发展变化以及机构资产增值需求等方面，研究了我国证券投资基金发展的社会经济条件，证实了证券投资基金在我国发展已具备了资金量及市场需求等多方面的社会经济条件。但证券投资基金发展的市场环境不完善，面临着准市场经济所特有的体制性风险和不完善的投资及法律环境，同时也面临着国际成熟基金业的竞争压力。社会经济条件及市场环境分析，为绩效分析奠定了背景条件和背景环境。 第三部分(第3章和第4章)主要运用理论与实证相结合的方法，研究了我国证券投资基金发展的宏观绩效。宏观绩效指证券投资基金在一定的社会经济条件和市场环境下发展，所产生的对与之有密切关系的相关事物的影响效应，是证券投资基金的外部绩效。主要体现在对证券市场和商业银行发展的影响上，具体内容分为二方面。一、从理论和实证两个方面，研究了证券投资基金对证券市场的双向影响效应，它一方面促进证券市场发展和完善，另一方面对证券市场的稳定产生不良影响，并剖析了产生这一不良影响的内因和外因。在此基础上，确立了我国证券投资基金合理的市场定位。二、分析了证券投资基金对商业银行的影响效应。证券投资基金的发展为商业银行业务创新创造条件的同时，由于分流储蓄而对商业银行的传统业务造成较大冲击，特别是在我国商业银行仍然以传统业务为主、中间业务不发达的情况下，这种冲浙江大学博工学位论文 我国证券投资基金绩效及发展研究击就更大，由此提出我国证券投资基金发展过程中的渐进性策略，以使证券投资基金与整体金融市场及金融环境发展相协调的战略思路。 第四部分（第5章、第6章、第7章及第8章）深入研究了证券投资基金的微观绩效。微观绩效是指证券投资基金自身运作、发展和完善的效果，是证券投资基金的内部绩效。本文中主要包括投资绩效、折价的预测绩效、激励约束绩效、品种发展绩效，具体内容可划分为五个方面。一、运用实证分析方法对我国证券投资基金投资绩效进行了深入研究，并运用X检验法对其业绩的持续性进行了研究，得出五个结论： 门）我国证券投资基金净值增长在指数上涨时超越指数的能力有限，而在指数下跌时，有较强的超越指数能力，体现出我国证券投资基金较强的抗风险能力：u）不同规模的基金业绩没有显著差异，因此目前的研究还无法确定我国基金的最优规模；不同规模基金的费用率只在2000年体现出差异性，30亿基金的费用率显著低于20亿基金；o）基金净值增长能力与费用率及周转率在样本期不具相关性；N）证券投资基金当年分红对次年业绩无预测或解释能力；（5）证券投资基金原始收益短期内不具有持续性，相对市场的业绩也不具有持续性。二、结合业绩评价，构建了我国证券投资基金全面评价体系，评价体系由描述性评价和比较性评价两部分组成。三、运用格兰杰因果检验及协整检验，研究了我国证券投资基金折价的预测效应，以及折价与证券市场走势的长期均衡关系。封闭式基金折价对收益率具有较为显著的预测作用，且折价率的平均水平与市场走势具有长期均衡关系。四、通过建立回归模型研究了我国证券投资基金激励约束机制绩效，证实我国基金激励约柬机制绩效较差，但正在逐渐改善。从证券投资基金管理费设计、业绩评价及制度安排方面，进行了深入的根源剖析，并提出改善激励约束机制绩效的有效途径。五、通过聚类分析等实证方法对我国证券投资基金品种发展和创新绩效进行了研究，得出了我国证券投资基金品种单一，风格雷同，无法满足投资者多样化需求的结论，指出我国证券投资基金需要从行业细分、债券市场及货币市场角度出发来进行可行的品种创新。 第五部分（第9章）剖析了政策因素对我国证券投资基金运作绩效及长远发展的影响效应。具体分为三方面。一、运用实证方法分析了新股配售政策对基金业绩的影响效应。新股配售政策极大地限制了基金的业绩分化，使优秀基金经理人难以凸现，因此无法促进基金经理人市场的有效竞争，对基金的长远发展极为不利。并通过运用K—S检验证实基金投资者的投资行为也受到新股配售政策的影响。二、剖析了基金浙江大学博工学位论文 我国证券投资基金绩效及发展研究新股申购无上限政策的影响效应，指出该政更多还原

【Abstract】 The equity investment funds are playing a more and more important role in Chinese money market,so it is indispensable and important to study its performance. The paper analyses macroscopical and microcosmic performance of Chinese equity investment funds theoretically and empirically,and brings forward the way and strategy of development and means of governmental management. The paper includes six parts as following.The first part,or the first chapter,summarizes research background,aim,methods and innovation,and explains concepts involved in the paper.The second part,or the second chapter,starting from common social and economic condition for development of the equity investment funds,studies factual condition in China from national income and distribution mechanism,resident save,economy securitilization,and need of institutions’ asset incrementing. The paper make sure that it is feasible and important to develop the equity investment funds in China,but market environment is not perfect,including investing and legal environment. Chinese equity investment funds face competing stress from international fund industry. The analysis of social and economic condition settles the background for the study of the performance of Chinese equity investment funds.The third part,including the third and the fourth chapter,studies macroscopical performance of Chinese equity investment funds by theoretical and empirical analysis. The macroscopical performance is defined as the effect of all things related to the equity investment funds;this is also known as outer performance. The external performance mainly exhibits its effect on the securities business and commercial banks. The third chapter analyses how funds work on securities business,and deduces that the development of the equity investment funds can on the one hand advance securities business,but on the other hand,can aggravate its fluctuation. The third chapter also analyses inner and outer reasons affecting securities business and on the basis of this,establishes rational market orientation of Chinese equity funds. The fourth chapter analyses how the equity investment funds work on commercial banks. The equity investment funds offer condition for innovation of commercial banks,but it also place a stress on the traditional operations in commercial banks,since it promotes shunting deposit from the banks,the more underdeveloped the middle market business,the more serious the impact is. Therefore,the paper brings forward keeping moderate size and speed of Chinese equity investment funds and development of funds should be harmonious with Chinese financial environment.The fourth part includes the fifth to the eighth chapter. It studies microcosmic performance of Chinese equity investment funds,including investment performance,the power of forecast of discount,managerial incentives and development of variety. Microcosmic performance is the impact of the equity investment funds on developing and perfecting of themselves. The fifth chapter studies the investment performance of funds and approves that investment performance of Chinese equity investment funds is generally good,but good performance attributes to not only managers’ talent but also to support of governmental policy. The funds of different size are not remarkably different in investment performance,so we can’t judge which size is appropriate in Chinese securities business,but have remarkable difference in expense rate,expense rate of the funds of 3,000,000,000 yuan is lower than funds of 2,000,000,000 yuan. The performance does not correlate with expense rate and turnover rate. In combination with investment performance evaluation system,we establish a full evaluation system. The paper studies persistence of investment performance of funds by find no persistence based on raw yield,and when compared with yield of market,,w yield is not persistent. The,,th chapter studies power of forecast of discount. The discount can forecast yield and is balanced with market index in long term. The seventh chapter stud更多还原