基金的明星效应.docVIP

西南交通大学 硕士学位论文 基金的明星效应——基于中国基金市场的实证研究 姓名:陆蒙 申请学位级别:硕士 专业:金融学 指导教师:朱宏泉西南交通大学硕士研究生学位论文 第1页 摘要 随着中国基金市场地飞速发展,我国开放式基金也得到了快速发展,现在 已经成为我国证券市场上最主要的机构投资者之一。开放式基金在飞速发展过 程中,基金投资者从以前的不熟悉到熟悉,再到现在的对基金的追捧。但在开 放式基金快速发展的同时,也出现了一系列问题,例如相当一部分投资者盲目 追求明星基金或明星经理的现象。 本文正是在这样一个大背景下以131只偏股型开放式基金为研究对象,先 从理论角度来分析影响现金流的各种因素,然后建立相应的实证模型来实证分 析明星基金是否存在明星效应,即溢出效应,也就是说明星基金是否对该基金 家族(本文定义拥有两只或以上样本基金的基金公司为基金家族其他成员基 金带来显著的现金净流入以及对提高产生明星基金概率因素的相关研究。然后 利用相关金融理论与行为金融学部分投资心理学的知识对结果进行了分析与解 释。 最后研究得出明星基金存在正的溢出效应,但对自身表现出净现金流出, 而且不管是单只基金还是基金家族的历史业绩与现金流都有显著的负相关关 系。基金以及基金家族的一些特征变量如基金规模,换手率对基金现金流并没 有产生显著的影响。 关键词:明星基金;明星家族;溢出效应;现金流 西南交通大学硕士研究生学位论文 第Ⅱ页 Ab stract With the rapid development of Chinese fund market,Chinese open—end fund has also been developed rapidly.It has nOW become the most important institutional investors in Chinese stock market.To the open-end fund, investors were not familiar at first,and familiar later.Now the investors are very interested in open-end fund.However, with the rapid development of open—end fund,there have been a series of problems,such as a considerable number of investors pursue the star funds or star manager blindly. In this context of that,This article uses 131open-end equity funds as the research obj ect,starting with theoretical point of view to analyze the various factors that affect the cash flow, and then establish the appropriate empirical model to empirical analyze the existence of spillover effects,that is whether star funds bring more net cash inflow into the other member funds of the fu.nd family(defined in this paper has two or more samples of the Fund’S capital firms to fund family significantly as well as the probability produced star funds factors related research. Then use the relevant financial theory and some knowledge of the investment psychology of behavioral finance to analyze and interpret the results. The final results include that there is a strong positive spillover effect from having a star fund in the family, but showed a net cash outflow of