开放基金投资策略与风险偏好匹配性研究  

Study on Matchability of Risk Preference with Investment Strategy of Open-end Mutual Funds

作　　者：王劲松[1] 王咏梅[1] 

机构地区：[1]北京大学光华管理学院,北京100871

出　　处：《经济管理》2010年第3期133-138,共6页Business and Management Journal ( BMJ )

摘　　要：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。Behavior of securities investment funds has been a focus of concern in financial economics. We first using CAPM model to conduct an empirical study on the existence and statistical property of the beta coefficients of open-end funds investment portfolio, then we checked the matehability of actual risk preference with claimed investment strategy of open-end mutual funds. Our main findings are ： （ 1 ） the existence and value of beta coefficient is highly related with the length of the cycle used to compute security return. （2） actual risks borne by most investment funds far depart from the level of risks prescribed in the strategic plans. There are no statistical significant differences between the beta coefficients of growth funds, balanced funds and income funds. Meanwhile, in response to the changing market, whether it is funds of high or medium risks, most have been diverted into risk averse.

关 键 词：开放基金 投资策略 风险偏好 BETA系数 匹配性 

分 类 号：F224[经济管理—国民经济]