容量与规模：我国证券投资基金绩效实证分析

【作者】 郑慧清；

【导师】 林坚；

【作者基本信息】 浙江大学 ， 产业经济学， 2002， 硕士

【摘要】 我国证券市场在经过8年的高速发展之后，于1998年3月27日首次推出了证券投资基金开元和金泰。经过四年的努力，证券投资基金经历了从无到有，从单一到多样，从幼稚迈向成熟的发展过程。截止到今年10月底，共募集、设立了54只封闭式证券投资基金，筹资总规模达817亿元，12只开放式基金，首发筹资总额达420亿元。这样基金总筹资规模达到了1237亿元，占沪、深股市流通市值(13894.88亿元)的9％左右，成为我国证券市场的重要组成部分，并在稳定证券市场，扩大投资渠道，改善投资者结构，活跃证券市场等方面起到了重要的作用。因此，更深入地了解基金的运作，认识基金品种的特点，尤其是对基金业绩的科学考评和绩效影响因素的分析已越来越得到了市场各方的关注。 目前国内外的相关学者在证券投资基金绩效评估方面已经作了许多研究工作。特别是国外成熟市场的学者们经过几十年的努力，已经逐步建立起一套比较系统、完善的绩效评价理论模型体系。但由于受我国证券投资基金设立时间不长等客观条件的限制，国内对基金绩效的评估工作仍处在比较零碎和不成熟的阶段。 本研究在借鉴国外广泛运用的业绩评估模型(主要有特雷诺指数、夏普指数、詹森指数、T-M模型和H-M模型等)的基础上，结合我国的具体实际情况，对相关模型和研究方法作了一定的修正和改进，以此对我国证券投资基金近三年半时间里的整体经营业绩进行了全面、动态的分阶段实证研究。从而为进一步完善和充实我国证券投资基金绩效评价体系奠定一定的基础。此外，在以上动态分阶段实证研究的基础上，本研究进一步分析探讨了基金容量和规模两因素对我国基金业绩的影响，即在宏观上，研究基金总规模与其投资对象(目前主要是A股市场)规模之间的比率变动与基金业绩之间的内在联动关系，在微观上，考察单个基金是否存在“规模效应”问题，从而为监管部门在以下两个“度”上的把握提供一定的决策依据：一是证券市场规模与基金市场规模之间的比例“度”，二是单只基金设立的规模“度”。 通过分析，本研究的主要结论是： (一)研究样本数据无自相关性，能满足OLS回归计算的基本前提，所选用的理论模型(CAPM模型，詹森回归模型，T-M模型，H-M模型等)在我国目前基金市场具有较好的适用性和实践指导意义。浙江大学硕上学位论文 容量与雌：我国证弧资驱绩效实证分析一 （二）我国证券投资基金整体业绩相对于市场基准来说具有较高的盈利能力，但尚缺乏统计意义上的支持，并伴有较高的风险。 （三）我国证券投资基金总体上具有一定的选股能力，但还缺乏统计意义上的支持，而择时能力甚至为负向表现，目前基金盈利主要依赖于市场的平均收益，并且基金择时能力和选股能力的兼容性很差。， （四）基金容量因素对基金业绩的影响总体上比较小，但随着基金容量的增加对基金盈利水平会有一定的抑制作用。＿ （五）基金容量的增大对基金择时能力有一定促进作用，但不利于基金选股能力；的实现。 （六）我国各规模类型的证券投资基金之间总体上表现了一定的“规模经济”现。象，大型规模基金表现相对最好。 （七）基金规模因素总体上对基金选股能力有促进作用，而对基金择时能力会产生一定的抑制作用。。更多还原

【Abstract】 On March 27,1998, the security investment funds of KaiYuan and JinTai were founded after 8 years of development of the security market in China. And after 4-year development, the security investment funds have gradually grown into maturation from infantilism. By the end of Oct. 2002, there are 54 pieces of closed-funds founded, which have collected 81.7 billion Yuan, and 12 pieces of opened-funds founded, which have collected 42 billion Yuan. The total scale of funds has reached 12.37 billion Yuan, which accounts 9% in the Shanghai and Shenzhen currency stock market. It is concluded that the security investment funds have been one of the important parts of the security market in China, because it plays a key role in stabilizing the security market, enlarging the investment room, improving the investor’s structures, and promoting the activity of the market. Therefore, more and more experts pay attention to the operation and characteristics of the funds, trying to learn the performance evaluation of funds and the infection factors.Much research has been done on the performance evaluation of funds, and some experts abroad have set up a mature and systemic theory system through decades of hard work. But related research in China is still very primary because the security investment funds appear and exit in China for a short time.This article, based on the typical evaluation methods of the investment funds (Tranoy performance Index, Sharpe performance Index, Jesen performance Index, T-M model, H-M model) and the practice in China, is designed to evaluate the performance in the past 3.5 years by seven phases to help to improve the performance evaluation system on the funds in China. In addition, the researcher (I) analyzes the influence of the performance of investment funds by the scale and capacity actors, i.e. the relations between the performance of funds and the capacity (capacity means the rate between the scale of funds and the scale of the A stock market in China), and " scale of economy " of the investment funds, trying to help the government to make decisions on the following two questions: what the rate between the scale of funds and the scale of the A stock market should be, and what the scale of every investment fund should be.The research makes the following conclusions:1. The data in my study is not auto correlated, which meets the requirements of the OLS method. And the methods selected (CAPM model, Jesen model, T-M model, H-M model) can be applied in the funds market in China and serve as guidance.2. The performance of funds market in our country is better than the whole security market. But due to lack of Statistical support, and it is full of high risks.3. China’s security investment funds have some selecting abilities, which still has not been supported by the Stat, and its market timing ability is weak, so the ability of funds’ payoff just comes from the market average incomes now. And the capability of selecting and market timing usually can’t work together at the same time.4. The payoff level of funds will be restrained with the increase of its capacity, though the influence of the factors of capacity on the performance of funds is not big.5. With the increase of funds’ capacity, the capability of market timing will be improved, but the capability of selecting will be restrained.6. There are "scale of economy" in China’s funds, and the performance of the great scale funds are usually the best.7. The factors of funds scale can promote the capability of selecting, but will do harm to the capability of market timing.更多还原