Matching Items (19)

158044-Thumbnail Image.png

基于因子的FOF组合构建应用

Description

近年来,中国内地FOF业务发展迅速,但在业务发展初期的实践中,FOF管理人在遴选基金资产和预测其未来收益等方面遇到诸多困难,传统的FOF组合构建技术往往不理想。本文借鉴海外因子配置相关理论,尝试通过归因分析基金的收益来源,寻找能深度刻画基金经理管理能力的特质因子,创新性地提出了基于权益类基金的特质因子构建FOF组合的新方法。本文选择100家权益类私募基金,通过因子拆解剥离了市场、行业、风格等共同影响因素,遴选出特质因子表现更优的基金经理,而不是仅仅选择过往业绩好的基金经理,并基于特质因子构建一组FOF组合,与此同时,运用传统方法构建基于基金资产的另一组FOF组合,对比两种组合方法的组合绩效,实证结果显示基于特质因子的FOF组合绩效更优。本文进一步运用转移概率矩阵和相关性分析,找到了基于特质因子的FOF组合绩效更优的证据,即特质因子延续性更好和相关性更低。与基于基金资产的FOF组合配置传统方法相比,由于基金的特质因子延续性更好,运用历史数据预测未来收益的确定性相对更好;基金的特质因子之间的相关性低,大幅增强了FOF组合配置的稳定性和分散性。总体来讲,基于特质因子的FOF组合配置方法为FOF管理人提供了一个更量化、更有效、更稳健的组合配置新路径,能有效提升FOF组合配置的绩效。

关键词: FOF、因子投资、组合配置、特质因子

Contributors

Agent

Created

Date Created
  • 2020

158040-Thumbnail Image.png

基金投资者交易行为与投资回报的实证研究

Description

中国基金行业经过20多年的发展,基金产品数量和管理资产规模稳步大幅增长。但是在行业快速发展的同时,大多数投资者并没有赚到钱或者盈利体验不好:根据中国证券投资基金业协会2016年公布的数据,自投资基金开始运作以来,盈利的投资者占比为30.9%,而亏损的投资者达到45.3%,特别是权益类基金,普遍存在着基金产品长期业绩不错,但多数个人投资者投资回报不佳,导致权益类基金的规模近十多年持续不断萎缩。

本文根据市场有效性理论与行为金融学、交易反馈策略等理论,结合某大型基金公司过去16年累积的权益类基金投资者的日度交易数据,对投资者投资基金的交易行为特别是持有时间与投资回报的相关关系进行统计分析,验证投资期限与投资回报之间的相关关系。同时,研究投资者在不同交易结构下的申赎行为对投资回报的影响;以及投资者选择不同特征的基金产品对投资回报的影响和投资者持有基金期间的市场波动率对于投资回报的影响。

本文在实证研究的部分将通过数据分析验证理论模型,具体揭示不同因素(持有基金产品时间、申购赎回周期、基金经理换手率、大盘波动率、Jensen指数、基金资产规模、基金经理管理经验、基金经理更换频率等)与投资回报的相关关系。在此基础上,结合相关理论和实践背景,分析在不同情形下,基金投资者可以采取什么样的交易策略、应该重点关注基金产品的哪些指标,来调整自身的投资行为,提升投资回报;或者基金管理人可以通过哪些方式来帮助投资者采取正确的投资行为。

本文研究的意义在于利用大量个人投资者的日度交易数据,去探讨其交易行为与策略对投资回报的影响,剖析基金投资者难以赚钱的实际原因,从不同维度分析出现这种状况的多方面影响因素,从微观层面实现对基金投资者交易行为与基金投资回报研究这一课题在学术研究层次上的有效补充。并以此为依据,对基金管理公司、个人投资者、基金销售机构和监管层提出具有实践意义的建议,期望通过这些建议或措施逐渐改善基金投资者的投资回报。

Contributors

Agent

Created

Date Created
  • 2020

158039-Thumbnail Image.png

从风险管理角度分析中国租赁公司的经营性租赁业务

Description

摘要

中国融资租赁行业在相关政策的推动下,自2007年起迅速发展,十余年间资产规模增长超过40倍,已突破6万亿元人民币。租赁行业已经成为金融市场中一支重要的力量。

但是,中国融资租赁行业在发展过程中一直伴随着争议和质疑,类信贷的业务模式具备典型的政策套利和影子银行的特征,这在客观上造就了租赁行业过去的繁荣,也导致了今天的困境。2018年起,中国政府强力实行金融强监管、去杠杆的政策,租赁行业加速分化转型,很多公司纷纷寻找差异化的产品和市场定位。以控制租赁物风险为主的真租赁业务,如经营性租赁业务,可以帮助租赁公司摆脱价格战的泥潭,提高收益率,建立竞争优势,实现公司长期发展。

本文从业务实质出发,对类信贷业务模式和经营性租赁业务模式进行分析,以具有不同代表意义的三家租赁公司为案例,从风险管理角度分析了经营性租赁业务在提高公司收益率、保障资产质量、促进制造业升级等方面的作用。希望本文的研究能对中国目前正计划转型的租赁公司提供一定帮助。

关键词: 融资租赁、类信贷、真租赁、经营性租赁、转型、风险管理

Contributors

Agent

Created

Date Created
  • 2020

158029-Thumbnail Image.png

我国建筑行业高管激励与企业企业绩效的关系研究 ——基于中国上市建筑业企业数据

Description

在现代企业的运营过程中,构建高效的高管激励机制已经成为提高公司治理水平的关键。但对于我国建筑行业上市公司而言,由于受到宏观经济、政策环境特别是行业性质等内外部因素影响,建筑业企业高管激励与企业绩效传导机制有其特殊性,其有效性还有待检验。从现有研究文献分析看,总体上高管激励机制与公司业绩关系的研究结果并不一致,就建筑行业而言,还鲜有实证研究文献。本文以我国建筑业上市公司为研究对象,对建筑行行业高管激励机制与公司绩效的相关性展开实证研究,具有理论价值与实践意义。

本文依据“规范研究-实证检验-对策分析”的研究路径,主要可以分为三大部分:首先,通过规范性研究,文章梳理了相关理论基础与研究成果,揭示了当前我国建筑行业上市公司高管激励机制的建设水平,构建了高管激励与公司业绩关系研究的理论框架。其次,实证研究方面,文章运用我国110家A股建筑上市公司2013-2018年相关数据进行了描述性统计、相关性检验与多元回归分析。研究结果发现,我国高管短期薪酬激励与企业绩效正相关;建筑企业的高管长期持股激励机制不健全;短期薪酬激励对企业绩效的正影响在国有控股企业比在非国有控股企业更强;短期薪酬激励对企业绩效的正影响在大型企业比在中小型企业更强。实证检验结果与理论假设并不完全一致,可见我国建筑上市公司的高管激励机制尚不能够充分发挥作用;最后,综合考虑理论分析与实证检验的结果,为提高公司业绩,剔除实际控制人,本文认为我国建筑企业应该坚定高管激励可以提高企业绩效的认识,但针对不同业务类型、产权性质和生命周期中不能一概而论,应结合企业实际情况应该采取不同的激励方式。

关键词:高管激励;企业绩效;建筑行业;上市企业;含金量

Contributors

Agent

Created

Date Created
  • 2020

156258-Thumbnail Image.png

A Strategic Management Perspective of Fund Family Competition: Theories and Evidence from America and China

Description

Since the 2008 financial crisis, the total assets managed by U.S. mutual funds have frequently hit new highs and the industry has become increasingly concentrated. In the meantime, two strategies

Since the 2008 financial crisis, the total assets managed by U.S. mutual funds have frequently hit new highs and the industry has become increasingly concentrated. In the meantime, two strategies have emerged in the American mutual fund industry: active and passive management. What factors affect the market shares of firms that adopted these two different strategies?

Building on strategic management theories, I suggest that mutual fund families that adopted active and passive management strategies tend to compete in different dimensions. Active management fund families tend to implement the product differentiation strategy, competing on “product quality” through excess-returns, innovative and differentiated fund products; passively managed fund families focus more on "price competition" by conducting an overall cost leadership strategy.

This research examines the driven factors of fund families’ market share. The results show that: the market share of actively managed fund families is more sensitive to positive impact of fund performance, while passive management firms are more sensitive to negative effect of management fees and total loads; 12b-1 expense improves the competitiveness of active fund families and thus enhance their market shares but it has negative impact on passive fund families. In addition, high turnover decreases the market share of all fund families, especially for passively managed families. The outcome reveals the latest US mutual industry orientation: products differentiation, turnover, management fee have greater impact on market share while the competition of fund performance is diminishing. The Matthew effect in US mutual fund industry is outstanding. Industrial competition dimension expands from performance and products to cost cutting.

Empirical analysis on Chinese mutual fund families is also conducted. Different from the US, there is only small number of mutual fund families targeting passive management products. The results show that the distribution channel has the largest impact on Chinese mutual fund family market share and investors are more willing to chase performance than to consider cost-efficient fund families. This study then analyses reasons behind the difference of Chinese and American mutual fund industries.

Contributors

Agent

Created

Date Created
  • 2018

156343-Thumbnail Image.png

An Empirical Study on the Short-run Performance before and after the Unlock of Private Placement Stocks in the A-share Market

Description

Private placement is an important financing tool for listed companies in China, and the lock-up arrangement is its supporting system. The Efficient Market Hypothesis suggests that, if investor expectations are

Private placement is an important financing tool for listed companies in China, and the lock-up arrangement is its supporting system. The Efficient Market Hypothesis suggests that, if investor expectations are unbiased, there will be no abnormal fluctuations in the stock prices of listed companies before and after the unlocking day. However, around the time of the unlocking of private placement shares, the stock prices generally show a V-shaped pattern.

Through the empirical analysis of the Chinese A-share stocks from May 8th,2006 to December 31st, 2016, I found that from the 40th day before the unlocking day to the 90th day after, the stock price showed an evident first-downward-then upward trend. The lowest price appeared near the unlocking day. Meanwhile, the greater stocks fall before the unlocking day, the greater prices rise after that. The characteristics of the distinctive difference between the stock prices before and after the unlocking day can provide investment opportunities.

By reviewing research on investor behavior, this paper suggests that the V-shaped pattern can be explained by the influence of investors’ psychological factors on their trading behavior. The general performance of the stocks before the unlocking day is negative due to the increasing uncertainty perceived by investors. After the unlocking day, the uncertainty gradually disappears and the stock rebounds. In addition, I found that stock returns during the lock-up period, shareholder background, and the length of lock-up period also had significant impacts on the V-shaped price trend.

Contributors

Agent

Created

Date Created
  • 2018

158054-Thumbnail Image.png

价值成长投资策略研究

Description

随着我国经济高速发展,国民收入水平显著提高,理财方式也多种多样,如股票、债券、基金、黄金等。我国股市是新兴市场,而且正处于转轨改革的特殊时期。在这样的大环境下,股票投资者们要想获得超额收益率,最关键的是找出一套与中国股市相适应的投资对策。本文在同时关注股票成长性与价值性基础上,提出了价值成长投资策略。

通过因子实证检验方法,选取通过检验的6个有效估值因子和6个有效成长因子构成价值成长投资策略中的选股指标体系。最后利用我国A股市场上所有股票(创业板除外)从2006年至2018年的历史数据来进行该策略的有效性实证研究,在对构建的三种投资组合的超额收益率进行比较。经实证检验,发现双维度的价值成长投资策略要优于单维度的价值投资策略和成长投资策略,其对预测股票下一期收益率具有非常好的效果,而且具有很好的股票市场区分度。具体来说,价值投资策略的平均超额收益率为11.22%,成长型投资策略的平均超额收益为6.82%,而价值成长投资策略的平均超额收益远超上述两种投资策略为21.27%。

本文从价值策略和成长策略的角度,尝试验证价值成长投资策略在我国A股市场的适用性。一方面,研究结果丰富了我国股票市场的投资策略,拓宽了现有价值成长策略的研究,另一方面,对于广大投资者们具有一定的参考意义,我国股市未来的发展趋势是由投机渐渐向成熟理性市场转变。

Contributors

Agent

Created

Date Created
  • 2020

158003-Thumbnail Image.png

法律职业全球化:国际经验对中国政策的启示

Description

法律职业全球化作为经济全球化的必然产物,在近二十年来不断受到法律职业社会学者的广泛关注及探讨。中国改革开放四十年中国法律职业得以蓬勃发展,却很少学者研究探讨中国法律职业全球化。在中国企业“走出去”和“一带一路”倡议的背景下,新技术创新特别是人工智能、大数据等浪潮不断冲击着法律职业,给中国法律职业全球化发展带来机遇和挑战。本文拟阐述法律职业发展及其全球化理论,并以比较法视角探索研究不同司法管辖区如美国、英国以及印度等国法律职业全球化经验和启示,考察现有国际律师事务所以及“四大”法律服务全球化的发展历程,并且探新技术的创新是如何改变法律职业、重塑全球法律服务业的格局,通过分析和借鉴法律职业的国际经验、经济学原理和变革趋势探讨中国法律职业改革开放及全球化的模式和路径,并提出相关政策建议

Contributors

Agent

Created

Date Created
  • 2019

158057-Thumbnail Image.png

公司的社会价值模型与量化评估:以“A股上市公司义利99”为例

Description

本文是针对A股上市公司的社会价值所进行的模型开发与量化评估研究。

公司的社会价值,在本文中界定为公司所实现的经济、社会和环境等方面的综合贡献。随着全球和中国越来越重视可持续发展,公司的社会价值也越来越引起资本市场投资者的关注。

研究以具有原创性的“上市公司社会价值评估模型”为工具,以沪深300成分股为对象,以上市公司的经济、社会和环境的综合贡献为内容,筛选出社会价值量化得分居前99位的公司,形成义利99榜单和指数。

基于该模型和义利99榜单,博时基金已经发布了“博时中证可持续发展100指数”ETF产品(515090),标志着“义利99”从一项研究变成了可交易的基金产品。

“上市公司社会价值评估模型” ,将公司的社会价值分为三个方面,即目标、方式和效益。 “目标” (AIM)是建设更高质量、更有效率、更加公平和更可持续的美好未来,这是公司社会价值的驱动力; “方式” (APPROACH)是指创新的生产技术、运营模式和管理机制,这是公司社会价值的创新力; “效益” (ACTION)是指公司的经济、社会和环境的贡献,这是公司社会价值的转化力。该模型也称 “社会价值三A三力三合一模型” ,简称3A模型。

通过义利99指数和博时中证可持续发展100指数长达五年以上的回测分析发现,这些公司有相对更好、更平稳的市场表现,这两个指数存在Fama-French因子不能解释的超额收益率,即具有显著的正α。回归分析还显示,义利两个属性的因子都能贡献超额收益,但股票月收益率与利的指标成显著正向线性相关,与义的指标成正向线性相关但关系较弱。

“义利99” 是将上市公司对经济、社会和环境的贡献纳入模型进行量化评估的探索,有利于资本市场更好地关注上市公司的社会价值,并促进上市公司将社会价值纳入长期战略安排。

随着更多上市公司更好地承担起信息披露的责任,“义利99”未来将不会局限于沪深300,会有更广泛的应用。中国上市公司终将成为推动世界可持续发展的新动力。

Contributors

Agent

Created

Date Created
  • 2020

155991-Thumbnail Image.png

On Risk Prevention and Supervision of Local Trading Platforms for Financial Assets

Description

This dissertation focuses on risk prevention and regulatory issues of financial asset trading platforms, exploring the composition of a financial asset trading platform and its risks, formulating the general framework

This dissertation focuses on risk prevention and regulatory issues of financial asset trading platforms, exploring the composition of a financial asset trading platform and its risks, formulating the general framework of platform risk prevention and regulation, and discussing the methodologies for monitoring and managing the risk of financial assets trading platform. The dissertation is divided into eight chapters. The first chapter is the introduction, which discusses the current status in this research field, the motivation and significance of the research topic. The second chapter discusses the transaction cost theory, information asymmetry theory, financial risk management theory, financial supervision theory and other related basic theories related to financial asset trading platform risk prevention and supervision. The third chapter presents the definition, the main types, the generating mechanism and the transmission mechanism of the financial asset trading platform. The fourth chapter elaborates theoretically on the general framework of financial asset trading platform risk prevention and supervision based on the aspects of basic principles, key tasks, applicable methods and constituent elements. The fifth chapter discusses the performance of financial asset trading business, asset return trading business, financing business and information coupling business on financial asset trading platforms, and analyzes the risk prevention of financial asset trading platforms from a business perspective. The sixth chapter discusses the development of financial asset trading platforms in developed countries, and summarizes the experience and practice of their risk prevention and supervision based on four categories of business lines. On this basis, the dissertation draws the inspiration and implications for the future development of the trading platforms in our country. The seventh chapter puts forward policy recommendations regarding risk prevention and supervision of financial asset trading platforms in five aspects: legal positioning, credit information system, protection of consumer rights, self-discipline management and business supervision.

Contributors

Agent

Created

Date Created
  • 2017