商业银行理财产品实际年化收益的影响研究——基于Lasso和主成分回归的实证分析  

A Study on the Impact of Actual Annualized Returns of Wealth Management Products in Commercial Banks——Empirical Analysis Based on Lasso and Principal Component Regression

作　　者：张兆鹏 ZHANG ZhaoPeng(School of Economics,University of Chinese Academy of Social Sciences,Beijing 100048;Institute of Economics,Chinese Academy of Social Sciences,Beijing 100836)

机构地区：[1]中国社会科学院大学经济学院,北京102488 [2]中国社会科学院经济研究所,北京100836

出　　处：《中国证券期货》2024年第3期54-63,共10页Securities & Futures of China

基　　金：中国社会科学院大学(研究生院)研究生科研创新支持计划项目(2023-KY-55)。

摘　　要：个人投资者是金融市场的社会自然人,更是理财产品最广泛的投资主体。积极扩大个体投资,有助于促进经济平稳健康发展。现实中,商业银行理财产品的实际收益率往往低于预期收益率,这对中高风险投资者造成大量损失,也重挫市场信心。运用商业银行理财产品的截面数据,建立主成分回归和Lasso模型,对实际年化收益的影响因素进行实证分析,以期精准度量实际收益率,为投资者鉴定优劣产品提供参考标准。研究发现,商业理财产品实际年化收益率与委托期和递增单位呈正相关,与发行主体的资信规模、预期年化收益率呈显著负相关;而投资者普遍认为重要的收益类型起到的作用却很小。在新发展阶段,建议建立理财产品的全流程风险控制,可以保持产品收益稳定,改善理财产品需求侧与供给侧的协调能力,提升理财产品的营销和服务能力,激发理财产品的创新活力。Individual investors are social and natural persons in the financial market,and are also the most widely used investment subjects in wealth management products.Actively expanding individual investment can help promote stable and healthy economic development.In reality,the actual return on investment products of commercial banks is often lower than the expected return,which causes significant losses to medium and high-risk investors and also severely undermines market confidence.Using cross-sectional data from commercial bank wealth management products,establish principal component regression and Lasso model to empirically analyze the influencing factors of actual annualized returns,in order to accurately measure actual returns and provide reference standards for investors to identify good and bad products.Research has found that the actual annualized yield of commercial wealth management products is positively correlated with the commission period and increasing unit,and significantly negatively correlated with the credit scale and expected annualized yield of the issuing entity;However,investors generally believe that important types of returns play a small role.In the new development stage,it is recommended to establish a full process risk control for wealth management products to maintain stable product returns,improve the coordination ability between the demand and supply sides of wealth management products,enhance the marketing and service capabilities of wealth management products,and stimulate the innovative vitality of wealth management products.

关 键 词：商业银行理财产品 实际年化收益 主成分回归 Lasso 

分 类 号：F832.2[经济管理—金融学]