证券投资基金粉饰橱窗的实证研究

上海交通大学硕士学位论文证券投资基金粉饰橱窗的实证研究姓名：邹戈申请学位级别：硕士专业：会计学指导教师：陈欣20090101I2001-20082003-2008//TII2001-20082003-2008IIIAnEMPIRICALRESEARCHONTHEWINDOW-DRESSINGOFSECURITYINVESTMENTFUNDSABSTRACTWiththeprevalenceofthedelegatedinvestment,mutualfundsbecomemoreandmoreimportantintheworldsecuritiesmarket.Inrecentyears,Chinastockmarkethaswitnessedarapidandfirmdevelopmentofthesecurityinvestmentfundswhichhavebecameoneofthelargestandmostimportantinvestorandalsotheoreticalresearchobjects.Ithasbeenprovedbymanyresearchesthatsecurityinvestmentfundsplayedpositiveroleontheefficiencyandstabilizationofthestockmarket.However,withthedevelopmentofmarketanomaliesandbehaviortheory,theirrationalinvestmentbehaviorsofsecurityfundshavealsobeendisclosed,whichbringonthemarketnon-effective.ToexaminethepotentialproblemsinChinasecurityinvestmentfunds,thepaperstudiestheoneofthemajorirrationalinvestmentbehavior-“Window-Dressing”whichresultsfromthePrincipal-agentProblemsunderthedelegatedinvestmentmodel.AndthenitoffersempiricalevidencetofundsmanagersandregulatorstoadvancethehealthdevelopmentofChinasecurityinvestmentfunds.UsingthemethodologyoftheCalendarEffect,thispaperisfocusedontheempiricalexaminesonNAVsandfunds’majorstockholdingsintendingtodisclosedtheWindow-Dressingbehaviorofsecurityinvestmentfunds.Themainbodyofthispaperincludestwoparts.First,itexaminesonNAVstofindtheWindow-Dressingeffectofsecurityinvestmentfunds.Usingtheopen-endstockfundsdatafrom2001to2008,itintroducesdummyvariablesinthefixed-effectregressionmodel.Furthermore,itdiscussesthecharactersoftheabnormalNAVsinflationwidthwiseandlengthwise.Second,thepaperexaminesfunds’majorstockholdingstofindtheIVWindow-Dressingeffectofsecurityinvestmentfunds.Usingthestockfundsdatafrom2003to2008,itteststhetradingdaysatquarter-ends/quarter-beginningsandyear-ends/year-beginning.Moreover,itdiscussesthecharactersofabnormalstockholdingsinflationfromtheperspectiveoftheirimportanceanddifficulty.Thepaperdrawsseveralconclusions.First,theNAVsforallopen-endstockfundsfrom2001to2008expressedabnormalpositiveexcessreturnsonthequarter-endsandabnormalnegativeexcessreturnsontheyear-ends.Astimegoeson,Window-Dressingeffectbecomesmoreobvious.ThemainaimoftheNAVsinflationinquarter-endsistoimproveagoodrank.Second,funds’majorstockholdingsfrom2003to2008expressedabnormalpositiveexcessreturnsonthequarter-endsandabnormalnegativeexcessreturnsontheyear-ends.Thestockswithhigherratesonfunds’stockholdingsandhigherturnoversaremoreabnormalexcessreturns,whicharemanifestinstockholdingsbyopen-endfunds.Toexplainthephenomenonofabnormalnegativeexcessreturnsonyear-endsinChinasecurityinvestmentfundswillbeaveryinterestingissuethatbearsresearching.Atlastthepapersummarizesthecharactersofchina’ssecurityinvestmentfunds’Window-Dressingbehaviorbyinterpretinganddiscussingtheempiricalresultsofthestudy.Italsogivesoutsomepiecesofadviceandfurtherstudy.BasedonthetheoryofPrincipal-agentProblemstoexplaintheirrationalbehaviorsofsecurityinvestmentfunds,thispaperstudiesandtestsWindow-DressingeffectsystematicallywiththelatestChinasecuritymarketdatafromawidedirection,whichmadethispapermoresignificantforbothacademicandpracticalway.Keywords:SecurityInvestmentFunds,Open-endStockFunds,Close-endFunds,Funds’MajorStockHoldings,DelegatedInvestment,IrrationalInvestmentBehavior,Window-Dressing11.1.MutualFund2080ICI20078752126635026.29.611.811.911.711.31416.217.821.826.205101520253019981999200020012002200320042005200620071-1Figure1-1TotalNetAssetsofMutualFundsWorldwide(Unit:thousandbillionsofdollars)250266527465169252849539965456954982568686188566350500005500060000650007000019981999200020012002200320042005200620071-2Figure1-2theNumberofMutualFundsWorldwideDelegatedInvestment19907.9%200723.4%200760%05101520251990199119921993199419951996199719981999200020012002200320042005200620071-3%Figure1-3RatiosofMutualFundsinAmericanFamiliesFinancialAssets(Unit:percent)3200525SIASecuritiesIndustriesAssociation196516200161NYSE19897020029619971119983202000200120046120075836332934327543043301020304050607019981999200020012002200320042005200620071-44Figure1-4theNumberofFundManagementCompaniesinChina05010015020025030035040019981999200020012002200320042005200620071-5Figure1-5theNumberofSecurityInvestmentFundsinChina0500010000150002000025000300003500019981999200020012002200320042005200620071-6Figure1-6TotalNetAssetsofSecurityInvestmentFundsinChina(Unit:hundredmillionsofRMB)5--20002005EfficientMarketHypothesisEMH1952Markowitz6-1964Sharpe1965Lintner1966MossinCapitalAssetPricingModelCAPM1970Fama1973Black-Scholes-Merto1976RossArbitragePricingTheoryATP208090EMHCAPMcalendareffectmarketanomalies206070Principal-agentProblemsAdverseSelectionMoralHazardKahnemanTyersky1979CognitivePsychological7ObjectiveFunctionUtilityFunction81.2-WindowDressing9Window-Dressing1-12001200820031200810T101.3FixedEffectModelT10T1211calendareffect2.1,2.2.1marketanomaliesFredC.Kelly1930[1]Wachtel1942[2]2070Cross1973[3]1953197012500S&P5005006239.50.12-0.18WeekendEffectRozeffKinney(1976)[4]1904197411Fosback1976[5]5002080-90French1980[6]195319