公共信息的依赖与基金经理能力的相关性研究

发布时间：2018-03-12 19:19

本文选题：RPI　切入点：基金绩效评估　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：截止2013年底,我国基金行业的管理规模已经突破了四万亿元,基金公司也成为我国资本市场上最有影响力的机构投资者,而在各类基金中,股票型基金无论是数量还是规模都占据着半壁江山。伴随着“买基金就是买基金经理”的观点深入人心,对于基金经理能力的评估也成为了学者们研究的热点,除了传统的三大经典模型,更有多因素模型,择时和选股能力评价模型和基于特征的绩效评价模型等。管理投资组合的过程就是对于信息的搜集和处理过程,基金经理会拥有公共信息和私人信息。理论上来说,只知道公共信息的投资者很难获得超额收益,而拥有更多更精确私人信息的投资者收益会更好。Martin Kacperczyk和Amit Seru(2007)利用Grossman口Stiglitz(1980)的模型证明了知情投资者对于公共信息的敏感度要小于非知情投资者,换句话说,知情投资者所依赖的公共信息比较少。文章利用了单回归和多元回归的方法研究了我国封闭式基金中对公共信息的依赖和基金经理能力之间的关系。首先利用股票评级数据计算了2003-2012年间封闭式基金的RPI(Reliance on Public Information)值；随后,又分别对RPI和传统绩效评估中的Jensen指数,T-M模型和C-L模型的选股Alpha值进行回归来证明RPI在评估基金经理能力方面的有效性。实证结果表明,大部分封闭式基金的RPI都在0.5之上,说明我国封闭式基金的基金经理对于公共信息的依赖程度普遍比较大。同时RPI和基金续存期之间也存在负相关关系,和基金规模的关系不明显。而RPI和超额收益之间存在明显的负相关关系,但RPI对于超额收益的解释能力一般,文章最后也对这种结果做了一些解释。
[Abstract]:As of end of 2013, the management scale of fund industry in our country has exceeded 4 trillion yuan, fund companies have also become the most influential institutional investors in the capital market of our country, and among all kinds of funds, Stock funds occupy half of the total amount and scale. Along with the view that "buying funds is buying fund managers", the evaluation of fund managers' ability has become a hot topic for scholars. In addition to the traditional three classical models, there are multi-factor models, timing and stock selection ability evaluation models and feature-based performance evaluation models. The process of managing the portfolio is the process of collecting and processing information. Fund managers have both public and private information. In theory, investors who only know public information have a hard time getting excess returns. And investors with more accurate private information would be better off. Martin Kacperczyk and Amit Seruzzi 2007) using Grossman's model, Stiglitz (1980) proves that informed investors are less sensitive to public information than uninformed investors, in other words. Informed investors rely less on public information. This paper uses the methods of single regression and multiple regression to study the relationship between the dependence on public information and the ability of fund managers in closed-end funds in China. The vote rating data calculated the RPI(Reliance on Public Information of closed-end funds between 2003 and 2012; Then, the Alpha value of Jensen index T-M model and C-L model in RPI and traditional performance evaluation are regressed to prove the effectiveness of RPI in evaluating fund manager's ability. The RPI of most closed-end funds is above 0. 5, which indicates that the fund managers in our country rely heavily on public information. At the same time, there is a negative correlation between RPI and the duration of the fund. There is a negative correlation between RPI and excess return, but RPI's ability to explain the excess return is not obvious. At the end of this paper, some explanations for this result are given.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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