ASU Electronic Theses and Dissertations
This collection includes most of the ASU Theses and Dissertations from 2011 to present. ASU Theses and Dissertations are available in downloadable PDF format; however, a small percentage of items are under embargo. Information about the dissertations/theses includes degree information, committee members, an abstract, supporting data or media.
In addition to the electronic theses found in the ASU Digital Repository, ASU Theses and Dissertations can be found in the ASU Library Catalog.
Dissertations and Theses granted by Arizona State University are archived and made available through a joint effort of the ASU Graduate College and the ASU Libraries. For more information or questions about this collection contact or visit the Digital Repository ETD Library Guide or contact the ASU Graduate College at gradformat@asu.edu.
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Description无论是公募基金还是私募证券基金，基金经理的投资能力是影响其管理的基金的绩效的关键因素，如何挑选出拥有优秀的投资能力的基金经理，从而实现好的基金绩效，是一个无论是基金投资者还是基金公司都关注的问题。虽然已经有大量的学者研究基金经理的个人特征与基金绩效之间的关系，但是一方面是过往的而研究更侧重基金业绩的评价方面，另一方面是受限于数据的约束，研究也主要集中在公募基金行业。随着私募证券基金在信息披露等方面逐步规范，可用于比较研究的数据逐渐丰富和标准化，本文也借助美市科技的数据支持，重点分析私募证券基金的个人特征对其管理的基金绩效的影响。在前人研究的基础上，本文将基金总体绩效分解成为超额收益与总风险，并在此基础上将超额收益进一步分解成为选股能力及择时能力，将总风险进一步分解为系统性风险与非系统性风险。本文从生理特征、教育背景、从业时间这几个角度作为选择解释变量的依据，再将市场进一步分成牛市与熊市两个阶段，以更好地分析基金经理的个人特征和基金绩效之间的关系。
本文的研究结果显示：(1) 无论是牛市还是熊市，基金经理的性别特征对基金的绩效没有显著的影响关系。(2) 无论是牛市还是熊市，基金经理的学历与基金的总风险呈现显著的负向关系。并且在牛市中基金经理的学历因素与基金的综合绩效呈正相关的关系。(3) 基金经理的从业经验与基金的综合绩效呈负相关的关系。
ContributorsZhu, Yifan (Author) / Shi, Zhan (Thesis advisor) / Yan, Hong (Thesis advisor) / Chen, Hui (Committee member) / Chen, Andrew N.K. (Committee member) / Arizona State University (Publisher)
Created2022
Description中国大陆证券市场上的Ａ、Ｂ股市场，是世界独特的分割市场，其中，双重上市公司A、B股（以下简称AB股），同股同权，但B股相对A股价格长期折价，被称为“Ｂ股难题”（B Share Puzzle）, 这是国际资本市场上的一个热点问题，此相关问题研究也一直延续。本文尝试研究中国政府出台的对股市长期发展进行调节的政策与B股折价之间的关系，通过对AB股发展历史的回顾，梳理出二个对AB股长期发展干预和调节的政策，即2001年2月中国政府允许中国大陆居民投资B股（简称政策一）和2005年4月29日开始的中国证券市场股权分置改革（简称政策二），并在此基础上，运用计量统计方法实证分析，研究发现中国政府出台的对股市长期发展进行调节的政策一、政策二与B股折价率有显著相关性，同时政策的干预和调节是分别有针对性进行的，使得B股折价率变化在政策影响下，通过A股价格或者B股价格的显著变化而实现。另外发现，B股平均折价率具有波动聚集特性，有小幅波动和均值回归特点，具有可预测性。
ContributorsLiu, Li (Author) / Li, Hongmin (Thesis advisor) / Zhang, Jie (Thesis advisor) / Chen, Hui (Committee member) / Arizona State University (Publisher)
Created2023
Description近年来中国房地产市场迅速发展，但境内的置业市场受多种因素影响不利于投资者，于是一些高净值人士将目光投向经济发展水平高、房地产市场发展稳健的市场，开始了海外房地产投资。本文检验了海外房产中投资者性别异质性及其年龄与教育对海外房产投资的影响。本研究以行为金融学理论为基础，以个体投资者为研究对象，通过问卷调查的方法，探讨了投资者性别异质性对海外房产投资的影响。研究发现，从性别异质性角度来看，女性投资者作为决策者进行海外房产投资往往可以提高海外房产交易达成的概率。从年龄方面来看，当投资者年龄越高时，投资者越有可能投资海外房产，而且当投资者为女性时，这种年龄效应尤为明显。从学历角度来看，当投资者受过大学高等教育即学历为本科学历时，这类投资者可以促进海外房产投资的达成，且在投资者为女性时，投资者的上述学历效应尤为显著。本文主要从性别异质性的角度拓展了投资者有限理性对海外房产投资的影响。
ContributorsZhu, Qingling (Author) / Zhu, David (Thesis advisor) / Chen, Hui (Committee member) / Yan, Hong (Committee member) / Arizona State University (Publisher)
Created2021
Description
Convertible bonds, as a vital means for listed companies to raise funds, are favored by both listed companies and institutional investors due to their hybrid features of equity, debt, and options. The U.S. market, with its large scale, significantly supports the rapid growth of numerous high-tech enterprises. In contrast, China's convertible bond market started later and lags behind in terms of issuer numbers and issuance scale. Since the issuance regulations on February 17, 2017, the convertible bond market in China has seen substantial development opportunities, with increased enthusiasm from listed companies and various investors, leading to significant growth in market issuance and trading volume.This article employs Monte Carlo simulation to empirically study the theoretical pricing of convertible bonds, aiming to identify factors influencing differences between theoretical and market prices. Analyzing classic terms such as conversion, redemption, put, and call provisions, the study establishes a foundation for subsequent convertible bond pricing research.
Following the consideration of various terms, the article uses the Monte Carlo simulation method to attempt pricing the asset prices of convertible bonds. To enhance computational efficiency, the core simulation process undergoes encapsulation and optimization. The analysis of theoretical prices reveals minimal overall fluctuation in pricing errors, showing a negative error rate before June 2021, indicating market prices
slightly below theoretical prices, and afterward, market prices slightly above theoretical prices.
Finally, the article analyzes the reasons behind pricing errors, examining 13 variables' potential impact through regression analysis, finding significant effects from 11 variables.The article attempts to provide a reasonable interpretation of the logic behind the impact of variables on pricing errors.
ContributorsLiu, Bo (Author) / Huang, Xiaochuan (Thesis advisor) / Yan, Hong (Thesis advisor) / Chen, Hui (Committee member) / Arizona State University (Publisher)
Created2024