开放式基金业绩与规模相关性的实证分析.doc

开放式基金业绩与规模相关性的实证分析姓名：梅月 学号：34020051301084TEL：13779936824 E –MAIL：meiyue2005@msn4>>主导师：马成虎 导师组成员：齐豪、潘越开放式基金业绩与规模相关性的实证分析Empirical Analysis between Open-end Fund Performance and Fund Size梅月Mei Yue主导师：马成虎main advisor: Ma ChengHu中 文 摘 要随着我国证券基金行业迅猛发展，开放式基金经历着一个爆发性的增长期然而，目前基金收益出现一个突出的特点就是中小规模基金占据了基金排行榜前列的绝大多数位置，其平均收益明显超过大规模基金随着我国开放式基金家数和规模差异的不断扩大，如何正确衡量与评价基金的绩效表现也就成为一个重要的课题本文以开放式基金业绩与规模之间相互关系为主要目的展开研究我们选择了基金的净值回报率、通过资产定价模型(CAPM)调整后的回报率和通过Fama-French三因素模型调整后的回报率三个衡量基金业绩的指标，并分别利用横截面回归模型和面板数据回归模型对基金业绩和规模的相关关系进行了详细全面的研究分析。

通过实证研究，我们发现，与规模经济效应相违背，基金业绩与基金规模存在显著的负相关关系最后，本文从选股理念的转换、大型基金的运作特点以及利益冲突三个方面对原因进行了探讨；并从相关金融环境的改造和优化基金治理结构两个方面对基金规模化发展提出了建议 本文采用了CAPM和Fama-French三因素模型对业绩评估指标进行了调整，并首次加入了基金前期业绩和基金公司规模以及基金年龄等控制变量，以使模型的拟合度得到提高 关键词：基金业绩；基金规模ABSTRACTWith rapid development of China financial sector in the past decades, the open-end fund has been experiencing a period of explosive growth. But the performance among funds of different sizes is however not always even.In this paper, we examine the relationships between open-end fund performance and its size. We made use of three different performance measures for the open-end funds. These are: the fund's quarterly net rate of return，the return adjusted by capital asset pricing model (CAPM)，and the return adjusted by the Fama-French three factor model. The analyses are carried out respectively by using cross-sectional regression analysis and panel data regression analysis. We found that the size of fund have a significant negative impact on fund performance, this is in contrast to the increasing return to scale hypothesis. This result could be due to the nature of managerial inefficiency for large scale open end fund, the difficulty in picking stocks, and other types of conflicts between investors and the fund owners.The analysis was carried out by adopting the CAPM and Fama-French three factor models with adjustment made concerning the existence of heterogeneity. We made use of lag performance of the fund, the size of company, and fund age as control variables in the regression analysis. This greatly improved the fitting of the model. ??? ????? Key words: Fund Performance; Fund Size.。