發(fā)布時間：2018-06-19 21:13

  本文選題：陽光私募 + 選股能力��； 參考：《浙江財經(jīng)學(xué)院》2013年碩士論文

【摘要】：陽光私募基金是借助信托公司發(fā)行，經(jīng)過監(jiān)管機構(gòu)備案，資金實現(xiàn)第三方銀行托管，有定期業(yè)績報告的投資于股票市場的基金。由于借助信托公司平臺發(fā)行保證了私募認(rèn)購者的資金安全，而且它比一般地下私募證券投資基金更為規(guī)范化和透明化，又有著公募證券投資基金并不具備的靈活性與高收益性，因此陽光私募基金在最近幾年得到了快速的發(fā)展，成為了民間金融一股不可忽視的投資力量。 所以無論是從投資者的角度還是從監(jiān)管者的角度出發(fā)，在研究陽光私募基金這個課題上都已顯得十分迫切和必要。究竟它是否具有顯著的選股選時能力，有何種投資傾向，對證券市場會造成怎樣的影響，而監(jiān)管者們又如何對其進(jìn)行有效監(jiān)管，從而實現(xiàn)投資者的權(quán)益保護(hù)，這一系列的問題都是當(dāng)前必須面對和著手解決的。而本文正是從選股選時能力和投資傾向兩方面對陽光私募基金進(jìn)行研究，力圖了解它的行為績效與投資傾向，進(jìn)一步完善目前學(xué)術(shù)界對陽光私募基金這一民間金融重要領(lǐng)域的研究，具有一定的理論意義；同時，一方面可以為那些有意向投資于陽光私募基金的中高端客戶提供一些有價值的投資參考，另一方面也為后續(xù)研究陽光私募基金的行為模式及其對證券市場的影響，以探討一系列有益于監(jiān)督管理的建議打下堅實基礎(chǔ)，具有一定的實踐意義。 本文對陽光私募基金的選股選時能力和投資傾向進(jìn)行了理論方面與實證方面的深入研究。理論方面，主要介紹了國外關(guān)于證券投資基金選股選時能力和投資傾向的經(jīng)典理論模型；實證方面，本文對我國2008年前成立的且目前仍在存續(xù)期內(nèi)的81只非結(jié)構(gòu)化陽光私募基金從2008年1月至2012年5月的月度數(shù)據(jù)分別進(jìn)行了選股選時能力和投資傾向方面的實證研究。 在選股選時能力研究中，本文采用TM-FF3、B-FF3和TM-B-FF3模型分別對我國陽光私募基金進(jìn)行了全區(qū)間和分階段的實證檢驗。在全區(qū)間檢驗中，本文不僅對單個基金的時間序列數(shù)據(jù)進(jìn)行了實證研究，而且同時也對基金整體的面板數(shù)據(jù)進(jìn)行了相應(yīng)的實證檢驗。實證結(jié)果表明，無論是從單只基金角度還是從基金整體角度出發(fā)，，陽光私募基金都表現(xiàn)出了顯著的市場時機把握能力，但在證券選擇能力上的表現(xiàn)卻很一般。在分階段檢驗中，本文發(fā)現(xiàn)在上升期時，陽光私募基金表現(xiàn)出了顯著的選股選時能力；在震蕩期時，其僅表現(xiàn)出相對顯著的選股能力，但并沒有表現(xiàn)出選時能力；在下降期時，其表現(xiàn)出了顯著的選時能力，但在選股能力上的表現(xiàn)卻很差。此外，在陽光私募基金選股選時能力的模型解釋力上，本文發(fā)現(xiàn)B-FF3模型明顯要優(yōu)于TM-FF3和TM-B-FF3模型。 在投資傾向研究中，本文采用Fama和French的三因素模型對我國陽光私募基金同樣進(jìn)行了全區(qū)間和分階段的實證檢驗。實證結(jié)果表明，無論是從單只基金角度還是從基金整體角度出發(fā)，陽光私募基金都比較傾向于投資小盤股和成長股。在分階段檢驗中，本文發(fā)現(xiàn)在上升期時，陽光私募基金傾向于投資小盤股和成長股，但這種傾向并不十分明顯；在震蕩期時，其同樣傾向于投資小盤股和成長股，并且表現(xiàn)出了很強的顯著性；在下降期時，其卻傾向于投資小盤股和價值股。
[Abstract]:The sunshine private fund is issued by the trust company, records by the regulatory agency, the funds are managed by the third party bank, and the fund is invested in the stock market with regular performance reports. The fund is guaranteed by the trust company platform, and it is more standardized than the ordinary private equity investment fund. And transparency, and the flexibility and high income that public securities investment funds do not have, so the sunshine private fund has developed rapidly in recent years, and has become an investment force that can not be ignored in private finance.
Therefore, whether it is from the perspective of the investor or the supervisor, it is very urgent and necessary to study the topic of the sun private equity fund. In order to realize the protection of the investor's rights and interests, this series of problems must be faced and solved at present. This paper is to study the sunshine private fund from two aspects of the time selection ability and investment tendency, trying to understand its behavior performance and investment tendency, and further improve the current academic circles on the sunshine private fund. The research on the important field of folk finance has some theoretical significance. At the same time, it can provide some valuable investment reference for the middle and high-end customers who have the intention to invest in the sunshine private fund. On the other hand, it also explores the behavior pattern of the sunshine private fund and its impact on the securities market. A series of useful suggestions for supervision and management have laid a solid foundation and have practical significance.
This paper makes a thorough research on the theoretical and empirical aspects of the selection and selection of the stock selection ability and investment tendency of the sunshine private fund. In theory, it mainly introduces the classic theoretical model of the choice of stock selection time and investment tendency of securities investment fund in foreign countries. The 81 unstructured sunshine private funds in the period from January 2008 to May 2012 respectively carried out an empirical study on the ability of selecting time and the tendency of investment.
In the study of time selecting and selecting ability, this paper uses TM-FF3, B-FF3 and TM-B-FF3 models to carry out an inter regional and sub stage empirical test on China's sunshine private equity fund. In the inter region test, this paper not only conducts an empirical study on the time series data of a single fund, but also carries out the panel data of the fund as a whole. The empirical results show that, both from the perspective of a single fund or from the point of view of the fund as a whole, the sunshine private fund shows a significant market timing ability, but the performance of the securities selection is very common. In the phased test, the sun private fund shows the present rise period. In the period of concussion, it only showed a relatively significant stock selection ability, but did not show the ability to select time. In the decline period, it showed significant time selection ability, but the performance of stock selection was very poor. In addition, in the model of choosing time for choosing the ability of the sunshine private fund selection, this paper made a conclusion. The present B-FF3 model obviously outperforms TM-FF3 and TM-B-FF3 models.
In the study of investment tendency, this paper uses the three factor model of Fama and French to test the sunshine private fund in China. The empirical results show that the sunshine private fund is more inclined to invest small stocks and growth stocks from the perspective of single fund or from the perspective of the fund as a whole. In the phased test, this paper finds that the sunshine private fund tends to invest in small stocks and growth stocks during the rise period, but this tendency is not very obvious. In the period of shock, it also tends to invest in small stocks and growth shares, and shows a strong significance; in the downfall, it tends to invest in small stocks and value stocks.
【學(xué)位授予單位】：浙江財經(jīng)學(xué)院
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224

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