我国开放式基金投资风格漂移及其对绩效的影响研究1详解.doc

我国开放式基金投资风格漂移及其对绩效的影响研究 摘要 跟着中国开放式基金的发展，投资者最注重的就是基金效果问题。这篇文章旨在研究在不相同的市场大环境下，基金效果与基金投资特性漂移之间的联系。经过运用转移矩阵法确定效果排行，再运用Sharpe多要素资产区别模型以及SDS法分别区别了具有效果继续性基金的投资特性的漂移状况。经过实证剖析，发现当市场处于牛市时，开放式基金投资特性具有更大的漂移程度，而当市场处于熊市时，基金投资特性相对安稳，漂移性不大。根据这些研究效果给出了系列的政策主张，比如投资者要注意区别不相同的市场环境去辨认基金投资特性，进而挑选最适宜的基金商品。对于基金经理而言，这些研究效果可供他们在平常详细的市场操作中进行投资特性的调整，以获得更大的利益。 关键字：开放式基金，投资特性漂移，Sharpe多要素资产区别模型 Our open-end fund investment style drift and its effects on performance Abstract With the development of Chinas open-end funds, fund investors the most attention is the effect of the problem. This article aims to study under different market environment, investment funds and fund characteristics effect link between drift. After using the transfer matrix method to determine the effect of seniority, then the use of multi-factor asset Sharpe difference model and SDS method were distinguished drift condition has the effect of continued investment characteristics of the fund. After the empirical analysis, found that when the market is in a bull market, an open-end fund investment characteristics have a greater degree of drift, and when the market is in a bear market, the fund is relatively stable characteristic drift of less. Based on these results gives a series of policy proposals, such investors should pay attention to the difference between different market environment to identify fund investment properties, and then select the most appropriate fund products. For fund managers, the results of these studies are available to adjust their investment properties in the usual detailed market operations, in order to obtain greater benefits. Keywords:Open-end funds, investment properties drift, Sharpe multi-factor asset difference model 目录 1 绪论 1 1.1 研究背景 1 1.2 研究意义 2 1.3 研究主要内容、目的及方法 3 1.3.1 研究主要内容 3 1.3.2 研究目的及方法 3 1.4 主要创新点 3 2 理论研究与文献综述 4 2.1 开放式基金投资风格漂移形成的理论基础 4 2.1.1 投资风格漂移的行为金融学解释 4 2.1.2 过度自信加剧风格漂移程度 5 2.1.3 羊群行为促使投资风格趋同 5 2.1.4 动量效应造成中短期风格漂移 6 2.2 投资风格漂移的信息经济学解释 7 2.3 关于开放式投资基金特性漂移的文献总述 8 2.3.1 基金风格分类与识别