导　　师： 宋光辉

学科专业： 120202

授予学位： 硕士

作　　者： ;

机构地区： 华南理工大学

摘　　要： 明确的基金投资风格是投资者根据自己偏好选择基金的基本前提，也是进行投资的依据和基准。但是国内外大量的实证分析都表明基金投资风格存在漂移现象。投资风格的漂移违背了投资者当时购买基金的投资理念及初衷，可能会导致投资者基于自身风险偏好的目标收益不能实现，使投资组合面临新的风险，但也可能带给投资者超越其目标的收益。 另一方面，投资者行为的研究对监管机构、基金管理公司和投资者都有重要的意义，已有的文献中从宏观环境、基金收益率、规模、分红等角度进行了研究，但是鲜有文献从基金的风格漂移角度考虑。此外一般认为机构投资者为获得稳定收益会要求基金恪守其投资风格，而个人投资者更多的是关注基金的业绩，但是鲜有文献对此做出实证研究证明。 为此本文首先运用Sharpe模型来验证各类基金的实际投资风格，并使用SDS指标来测量风格漂移程度。其次，以投资者申购、赎回、净申购为被解释变量，引入基金业绩、分红、规模、风格漂移程度、市场收益率等为解释变量建立多元回归模型，分析对投资者行为的影响。最后为揭示风格漂移对个人与机构投资者的影响，将投资者区分为个人投资者和机构投资者，以净申购率为被解释变量，通过多元回归模型进行分析。 通过本文研究主要得出以下几点结论：1、中国开放式基金存在严重风格漂移现象，且具有趋同性。2、不同投资风格类型、不同阶段的基金漂移程度存在差异。3、基金风格漂移对投资者申购、赎回、净申购有影响，但不同时期表现不一。4、基金风格漂移不能带来基金业绩的增长。5、风格漂移程度对个人与机构投资者存在影响，机构投资者更加厌恶基金的风格漂移，且敏感程度也大于个人投资者。 国内外学者在基金投资风格识别和量化、投资者申购与赎回影响因素方面做了大量的研究，与之前的研究相比，本文的创新与贡献之处在于： 1、将基金风格的漂移程度引入到分析投资者行为的模型中，并将投资者行为区分为申购、赎回和净申购，以分析漂移程度对其影响。2、将投资者进一步区分为个人投资者和机构投资者，分析漂移程度对个人与机构投资者净申购影响的异同。 Fund's investment style is the basic premise of investor preferences for their owninvestment funds, but also a basis for invest and benchmarks. But a large number of domesticand international empirical analysis shows that the fund exist style drift phenomenon. Styledrift has violated the investor’s investment philosophy and may cause investors can not beachieve the target income. But Style drift may bring investors to exceed its target revenue too.On the other hand, Research on the behavior of investors have an important role in regulators,fund management companies and investors, Previous studies revealed the macro environment,the fund rate of return, size, dividends, but rarely literature from the investor style drift angle.In addition, generally believed that institutional investors will be asked to obtain a stableincome fund adhere to the investment style, while individual investors are more concernedabout the performance of the Fund, but little literature to make this empirical research toprove. In order to analyze investment style drift impact on investor behavior, the articleanalyzed from three aspects. First, use the Sharpe model to describe the characteristics of fundinvestment styles, then use the SDS measure the degree of style drift. Second, introductionfund performance, dividend, size, degree of style drift, the market rate of return to explaininvestor behavior. Finally, reveals the style drift of the different effects of individual andinstitutional investors, investors divided into individual and institutional investors. In this paper, the main draw the following conclusions: 1, the open-end funds in China there is a serious style drift, and convergence. 2, different investment styles, different stages of the Foundation of the extent of driftthere are some differences. 3, Fund style drift affect investors' behavior, but were mixed in different periods. 4, the degree of style drift can not bring about the growth of fund performance. 5, the degree of style drift affect on individual and institutional investors, institutionalinvestors more disgust fund style drift. 6, other factors are not the same impact on individual investors and institutional investors. Domestic and foreign scholars in the fund investment style to identify and quantify, theinvestor subscription and redemption of factors have done a lot of research, compared withprevious studies, the innovation and contribution to the Department is: 1，the degree of fund style drift is introduced into the model analysis of investor behaviorand investor behavior is divided into the investors' behavior. The analysis of the extent of driftand its impact. 2, further divided into individual and institutional investors to analyze the similaritiesand differences between individual and institutional investors.

关 键 词： 开放式基金 投资风格漂移 投资者行为 机构投资者

分 类 号： [F832.5 F224]

领　　域： [经济管理] [经济管理]