基于非对称幂分布的中国开放式基金业绩评价和检验

证券投资基金是现代金融业的重要组成部分。随着基金业的迅速发展,证券投资基金已成为我国资本市场最大、最有影响力的机构投资者。目前,开放式基金的数量和规模已远远超过封闭式基金,因此,本文主要探讨开放式基金的业绩评价和排名。已有大量实证研究发现基金收益具有尖峰厚尾性、非对称性和强正相关性,基于此,本文使用非对称幂分布(Asymmetric Power Distribution,APD)来拟合基金收益率分布。不同于其它文献的是,我们主要着眼于Sharpe比率估计量SR,研究36只开放式基金实际日收益率下SR和基于APD标准差和VaR的修正SR,并使用双样本统计量对SR进行假设检验,结论证明了假设检验是显著的,且在基金排名和评价的应用中是非常可行的。     

基金风险改变了投资者的业绩敏感程度吗？——基于基金业绩波动与资金净流量关系的实证研究

本文利用我国2005年至2011年期间开放式基金的面板数据,研究了基金业绩波动对投资者业绩敏感程度的影响。在验证了基金资金净流量与基金业绩的正相关关系后,实证研究发现:(1)基金业绩波动降低了投资者对基金业绩的敏感程度:基金业绩波动越大,相同业绩提升带来的资金净流量越少;(2)对于不同业绩类型的基金,业绩波动对基金“业绩—资金净流量”关系的反向影响程度也有所不同:这一影响主要体现在绩劣基金中,中等业绩基金次之,在明星基金中反而体现为正向影响。     

封闭式债券基金风格模糊聚类分析

封闭式债券基金能够在降低风险的同时获取投资收益,并且有着较长的久期,是稳健型投资者实现配置型投资收益较常选择的一个投资品种.利用模糊聚类分析,对封闭式债券基金主要的评价参数进行量化分析,从风险控制、收益水平、选时能力等方面将市场上现有的封闭式债券基金进了投资风格上的划分,为投资者如何选择封闭式债券基金提供了一个较为直观的方法.     

所有者结构与封闭式基金折价

委托代理理论认为所有者结构将对公司价值存在影响,分别为兴趣趋同效应和大股东侵占效应。这两种效应分别预言:大股东持股比例上升将增加/损害公司价值。在西方和中国股市的实证研究同时发现了这两种效应的存在。同时有理认认为:在美国的封闭式基金之间也存在大股东侵占效应,基金大股东持股越高,封闭式基金折价幅度越高。本文针对中国封闭式基金的理论和实证研究发现:在中国,横截面回归分析结果表明:当封闭式基金大股东持股比例越高,基金折价幅度越大。本文作者进一步指出:这种与美国实证研究类似的结果不是由于大股东侵占引起的,而是由于机构投资者等大股东主动选择的结果:机构投资者倾向于投资于折价幅度比较高的封闭式基金。     

基于VaR和ES调整的Sharpe比率及在基金评价中的实证研究

传统Sharpe比率将投资收益的标准差作为风险的度量,而实证研究中更关注基金的损失风险而非全部风险,这是收益标准差所无法准确刻画的。针对传统Sharpe比率的这一缺点,本文考虑了用于度量下方风险的指标风险价值VaR(Value at Risk)和预期不足ES(Expected Shortfall)来替代投资收益的标准差,从而对传统Sharpe比率进行了调整。这里对VaR和ES进行计算时,运用了经验非参数估计和非参数平滑核估计两种方法。此外,本文还考虑了基金收益随时间波动的动态性,用广义自回归异方差GARCH模型对收益波动进行模拟,考察动态的VaR和ES,在实践中以动态的VaR和ES评价风险收益更加灵活。在实证研究中,本文用传统的Sharpe比率、基于VaR和ES的Sharpe比率以及基于条件VaR和条件ES的条件Sharpe比率对国内证券市场上所有26只封闭式基金在2005-2009年间的业绩进行了实证分析,分析了基金在不同指标下所体现的风险控制能力和收益水平的差别,并基于不同指标对所有基金进行了排名。此外,本文还运用协整检验考察基金收益率与市场基准指数是否存在联动关系,检验证明两者并不存在长期的均衡关系。     

基于行为金融视角的基金申赎行为实证研究

以开放式证券投资基金申购、赎回行为背后的行为金融机理为研究对象,通过分析相关变量作用于基金投资者心理的方式和路径,探讨其对基金申购、赎回所产生的影响。在理论分析的基础上,提出基金业绩、规模、存续时间、价位、分红等变量能够各自基于信号传递、心理账户、预期框定偏差、预期惯性、处置效应等多元化路径影响投资者心理,并作用于基金申购、赎回和基金流量,并据此提出了相关假设。进一步地,通过建立结构方程模型,以我国327只股票型开放式证券投资基金为样本,对2011至2013年三组年度截面数据进行了检验。实证结果表明信号传递、预期框定偏差路径始终稳定存在,预期惯性路径仅在2011、2013年实证检验中存在,处置效应路径只在2012年检验中存在、且呈现非对称性特征,而心理账户路径则无法得到证实,据此得出结论认为基金业绩对基金申赎影响最为显著但不具稳定性。最后,从投资者行为模式和基金市场发展环境等角度对实证结果进行了分析。     

我国封闭式投资基金业绩评价实证研究

随着我国基金行业超常发展,恰当的分析和评价基金业绩已越来越重要。本文根据CAPM的基本原理,利用国外先进的基金业绩评价方法对我国封闭式基金的综合业绩进行实证研究。研究结果表明:总体来看,基金获得的市场超额收益显著为负。基金经理不具有证券选择能力,但具有一定的市场择时能力,但这两种能力均不显著。同时,我们还发现不同投资风格的基金经理具有不同的证券选择能力和市场择时能力。     

中证开放式基金指数波动的非对称性研究

基于开放式基金指数周收益率时间序列的非正态性和厚尾特性,以中证开放式基金指数为例,运用EGARCH模型进行研究,系统地分析我国不同类型的开放式基金指数的波动是否存在非对称性.实证分析结果并没有得出"利空"的作用大于"利好"的作用的非对称性的结论,从中证开放式基金指数的信息影响曲线可以看出我国基金经理们追涨比杀跌更疯狂.     

私募股权基金在华Pre-IPO投资的影响因素分析

经历过金融危机的洗礼,私募股权基金(Private Equity Fund)"巨头"们在全球资本市场上,尤其是在亚洲资本市场上再次迅猛发展.中国正被国际目光所聚焦,备受PE亲睐.不过,专门研究Pre-IPO基金对中国企业投资运作的文献甚少.借鉴国内外相关研究成果,从私募股权基金的角度出发,研究其在中国Pre-IPO投资项目时选择目标企业所考虑的相关条件及主要影响因素.采用相关性分析和因子分析相结合的综合实证方法分析,对所选取的样本进行了统计分析.在相关性分析法中,通过考察包括有、无Pre-IPO基金参与投资的样本的诸多项指标,从中找出与Pre-IPO投资这项指标相关系数较高的十四项指标,并具体分析了它们之间的关系.接着用因子分析法进一步对有Pre-IPO基金参与投资的样本进行分析.综合评价各项指标间的内部关系并以此得到指标的分类,从而得出影响私募股权基金选择目标企业投资Pre-IPO的主要因素.通过分析,以期对想"牵手"私募股权基金"巨头"们来实现上市融资的国内企业,有实质性的借鉴作用和可操作意义.     

中证开放式基金指数波动的非对称性研究北大核心

基于开放式基金指数周收益率时间序列的非正态性和厚尾特性,以中证开放式基金指数为例,运用EGARCH模型进行研究,系统地分析我国不同类型的开放式基金指数的波动是否存在非对称性.实证分析结果并没有得出"利空"的作用大于"利好"的作用的非对称性的结论,从中证开放式基金指数的信息影响曲线可以看出我国基金经理们追涨比杀跌更疯狂.     

共同资金投资组合的有效边界与最优策略

本文利用均值方差模型,分析了非线性交易成本下的共同资金投资的有效边界和在一般的效用函数下讨论了最优投资组合和最大效用,其中只考虑风险资产的总投资比例对交易成本的影响.     

共同基金和无风险资产投资的最优策略

利用均值-方差模型,分析了非线性交易成本下的共同基金与无风险资产投资组合的有效边界和在一般的效用函数下讨论了投资者的最优投资策略.     

Optimal construction and rebalancing of index-tracking portfolios

Index funds aim to track the performance of a financial index, such as, e.g., the Standard?&?Poor’s?500 index. Index funds have become popular because they offer attractive risk-return profiles at low costs. The index-tracking problem considered in this paper consists of rebalancing the composition of the index fund’s tracking portfolio in response to new market information and cash deposits and withdrawals from investors such that the index fund’s tracking accuracy is maximized. In a frictionless market, maximum tracking accuracy is achieved by investing the index fund’s entire capital in a tracking portfolio that has the same normalized value development as the index. In the presence of transaction costs, which reduce the fund’s capital, one has to manage the trade-off between transaction costs and similarity in terms of normalized value developments. Existing mathematical programing formulations for the index-tracking problem do not optimize this trade-off explicitly, which may result in substantial transaction costs or tracking portfolios that differ considerably from the index in terms of normalized value development. In this paper, we present a mixed-integer linear programing formulation with a novel optimization criterion that directly considers the trade-off between transaction costs and similarity in terms of normalized value development. In an experiment based on a set of real-world problem instances, the proposed formulation achieves a considerably higher tracking accuracy than state-of-the-art formulations.     

Mean-variance portfolio rebalancing with transaction costs and funding changes

Investment portfolios should be rebalanced to take account of changing market conditions and changes in funding. Standard mean-variance (MV) portfolio selection methods are not appropriate for portfolio rebalancing, as the initial portfolio, change in funding and transaction costs are not considered. A quadratic mixed integer programming portfolio rebalancing model, which takes account of these factors is developed in this paper. The transaction costs in this portfolio rebalancing model are composed of fixed charges and variable costs, including the market impact costs associated with large market trades of individual securities, where these variable transaction costs are assumed to be non-linear functions of traded value. The use of this model is demonstrated and it is shown that when initial portfolio, funding changes and transaction costs are taken into account in portfolio construction and rebalancing, MV efficient portfolios that include risk-free lending do not have the structure expected from portfolio theory.     

交易成本条件下排污权市场的均衡、初始排污权分配的效率与厂商行为分析

传统的排污权交易模型在理论上假设了一个无交易成本的、正规的排污权交易市场,但从美国等国家排污权交易的实践来看,现实中的排污权交易与理想假设相差甚远,许多案例中的交易活动不但信息不充分,交易不频繁,而且建立在逐案谈判基础之上.本文分析了排污权交易中交易成本以及交易成本条件下排污权市场的均衡、初始排污权分配的效率与厂商行为问题,对这些问题的研究不但在理论上可以使我们对排污权交易有更为具体的理解和认识,而且在实践和政策方面有助于我们自觉而理性地对待排污权交易.     

Xetra efficiency evaluation and NASDAQ modelling by KapSyn

In this paper we give an introduction to capital market synergetics, a model enabling us to compute transaction costs and investigate the operating efficiency of a stock market's microstructure. Frankfurt's trading system Xetra and NASDAQ are currently implemented into the computer program KapSyn. By using KapSyn we examine Xetra's behaviour in different market scenarios, particularly the designated sponsor's performance. The empirical evidence of the KapSyn parameter setting chosen is validated: connecting the parameter setting to economic data by using neural networks and analytical reasoning underlie the definition of market scenarios. The designated sponsor's eminent importance in non-liquid markets has been demonstrated very impressively. Finally, NASDAQ's transaction cost statistics are investigated in the above scenarios. Compared to Xetra, NASDAQ exhibits minimal transaction costs for mid-size trades, while transaction costs for small and block trades are nearly 100%/50% higher.     

Strong asymptotic arbitrage in the large fractional binary market

We study, from the perspective of large financial markets, the asymptotic arbitrage (AA) opportunities in a sequence of binary markets approximating the fractional Black–Scholes model. This approximating sequence was introduced by Sottinen and named fractional binary market. The large financial market under consideration does not satisfy the standard assumptions of the theory of AA. For this reason, we follow a constructive approach to show first that a strong AA (SAA) exists in the frictionless case. Indeed, with the help of an appropriate version of the law of large numbers and a stopping time procedure, we construct a sequence of self-financing trading strategies leading to the desired result. Next, we introduce, in each small market, proportional transaction costs, and we show that a slight modification of the previous trading strategies leads to a SAA when the transaction costs converge fast enough to 0.     

A unified approach to portfolio optimization with linear transaction costs

In this paper we study the continuous time optimal portfolio selection problem for an investor with a finite horizon who maximizes expected utility of terminal wealth and faces transaction costs in the capital market. It is well known that, depending on a particular structure of transaction costs, such a problem is formulated and solved within either stochastic singular control or stochastic impulse control framework. In this paper we propose a unified framework, which generalizes the contemporary approaches and is capable to deal with any problem where transaction costs are a linear/piecewise-linear function of the volume of trade. We also discuss some methods for solving numerically the problem within our unified framework.     

Explicit characterization of the super-replication strategy in financial markets with partial transaction costs

We consider a continuous time multivariate financial market with proportional transaction costs and study the problem of finding the minimal initial capital needed to hedge, without risk, European-type contingent claims. The model is similar to the one considered in Bouchard and Touzi [B. Bouchard, N. Touzi, Explicit solution of the multivariate super-replication problem under transaction costs, The Annals of Applied Probability 10 (3) (2000) 685–708] except that some of the assets can be exchanged freely, i.e. without paying transaction costs. In this context, we generalize the result of the above paper and prove that the super-replication price is given by the cost of the cheapest hedging strategy in which the number of non-freely exchangeable assets is kept constant over time. Our proof relies on the introduction of a new auxiliary control problem whose value function can be interpreted as the super-hedging price in a model with unbounded stochastic volatility (in the directions where transaction costs are non-zero). In particular, it confirms the usual intuition that transaction costs play a similar role to stochastic volatility.     

有交易费市场中套利问题的注记

对有交易费的资产模型,本文引入了市场有套利机会的一般定义,并利用辅助鞅和资产折算函数方法,讨论了无套利市场的基本性质,即在可允许投资策略下市场不存在套利机会.