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对证券投资基金行为选择的研究是金融经济学关注的焦点问题。本文首先应用CAPM模型对我国股票型开放基金投资组合的Beta系数的存在性及统计特性进行实证研究,在此基础上对其投资策略宣称的风险偏好与投资组合实际表明的风险偏好之间的匹配性进行研究。主要发现有:(1)Beta系数的存在及大小与计算证券收益率的周期的选取存在密切关系;(2)绝大部分股票型开放基金实际承担的投资风险远远偏离其投资策略宣称的风险偏好类型。成长型、平衡型、价值型基金其投资组合的Beta系数统计上无显著差异。无论是风险偏好型还是风险中性型基金,在实际投资中几乎全部转型成了风险规避型基金。
The research on the choice of securities investment fund behavior is the focus of financial economics. In this paper, firstly, we use the CAPM model to test the existence and statistical characteristics of the beta coefficient of the portfolio of open-end funds in our country. Based on this, we make a comparison between the risk appetite declared by the investment strategy and the actual risk appetite indicated by the portfolio Sex research. The main findings are as follows: (1) The existence and size of Beta coefficient are closely related to the period of calculating the return rate of securities; (2) The actual investment risk of stock-based open-end funds far deviates from the risk declared by its investment strategy Preference type. The Beta of the growth, balanced and value funds did not show statistically significant difference. Regardless of the risk appetite or risk-neutral funds, almost all of the actual investment into a risk aversion fund.