摘要中国的股票型投资基金实际投资风格呈现普遍趋同的现象，但趋同与基金绩效之间的具体量化关系学界并未做过深入探讨。针对投资风格趋同，本研究旨在从实证角度揭示趋同对基金绩效的影响及其可能的原因，回答基金“趋同行为是否合理”这一问题。本文选取了2007年至2011年期间存续的共162只开放式股票型基金，在利用Gruber四因素模型识别实际投资风格的基础上，设计相关趋同指标量化基金投资风格离群度，并利用扩展的三因子模型进行面板数据回归，探究趋同与基金绩效的总体效应和特定情境效应。研究发现：基金实际投资风格趋同严重；总体上长期来看趋同会降低基金绩效，但幅度较小；若基金经理拥有较高个人能力，离群会显著提高基金绩效，相反趋同与绩效之间呈现不稳定关系；离群策略的效果以基金经理拥有较高个人能力为前提。83065

毕业论文关键词  风格趋同  基金绩效  个人能力

毕 业 论 文 外 文 摘 要

Title    Performance analysis on the Chinese Open-end  Stock Funds’ investment style convergence       

Abstract At present, the fund's actual investment style shows the phenomenon of general convergence, but the specific quantitative relationship between convergence and fund performance has not been done in depth。 In view of the convergence of investment style, this study aims to reveal the influence of convergence on fund performance and its possible reasons from the empirical point of view, and to answer the question whether the convergence behavior of the fund is reasonable。In this paper, we select a total of 162 open-end stock funds from 2007 to 2011。On the basis of identifying the actual investment style by using the Gruber four factor model, we design related convergence index to quantify the outlier degree of fund investment style, and use the expansion of the three factor model for panel data regression to explore the overall effect and the specific situational effect between the convergence and the fund performance。 We found that: fund's actual investment style tends to be worse convergent; the overall long term convergence will reduce the performance of the fund, but to a lesser extent; if the fund manager has a higher personal ability, being outlier will significantly improve the performance of the fund, on the contrary it presents the unstable relationship between convergence and the performance; the effect of convergence depends on the ability of the fund manager。

Keywords  style convergence  fund performance  personal ability 

目   次

1  绪论1

1。1  问题的提出1

1。2  研究意义1

1。3  研究目的与研究方法2

1。4  研究内容与结构2

2  基金投资风格研究概述4

2。1  基金投资风格定义4

2。2  基金投资风格分类4

2。3  风格研究相关概念区分5

2。4  基金投资风格判定方法及其比较6

3  基金投资风格趋同及绩效相关研究综述8

3。1  投资风格趋同研究概述8

3。2  基于投资风格漂移与趋同判定层面的绩效分析8

3。3  基于投资风格漂移与趋同特定影响因素层面的绩效分析9

3。4  投资风格趋同研究现状总评11

4  我国开放式股票型基金投资风格趋同的实证研究12

4。1  开放式股票型基金投资风格判定12

4。2  开放式股票型基金投资风格趋同研究13

结论21

致谢24

参考文献25

1  绪论