| The report at 19th CPC National Congress has taken "fending off and defusing major risks" as the first of the three critical battles to build a moderately prosperous society in all respects.It requires Party organizations and Party members at all levels to "enhance their ability to control risks and improve risks prevention mechanisms in all aspects",and emphasizes the importance of risks management and prevention in the ideological field.Liu(2018)believes that risks obey a "conservation law,and will not disappear,but can only be dispersed,transferred and transformed.The risks of an individual or field are less,not because they have disappeared,but because they have transformed to other individuals or fields.In the field of social security,with the gradual establishment and improvement of China’s social security system,residents5 uncertain risks are transformed into public risks to a certain extent.Due to the aging of population,increase of social welfare and changes of systems,social security in our country has been underfunded,which has led to the pressure of "invisible liabilities" further increasing(Jia,2007;Tang and Zhang,2019)and the public risks further appearing.In order to deal with the public risks arising from the underfunded social security,the National Social Security Fund was established in August 2000,which is managed and operated by the National Council for Social Security Fund.In June 2003,the pressure of value maintenance and appreciation prompted the National Social Security Fund to formally invest in the stock market.In 2012,the government took Guangdong province as a pilot to promote local pension funds to invest in the stock market nationally.With the expansion of the National Social Security Fund and inflow of large amounts of local pension funds(the National Social Security Fund and local pension funds collectively referred to as Social Security Funds in this thesis),the investment scale of Social Security Funds has increased dramatically,from 20 billion yuan allocated at the beginning to 2,223.124 billion yuan at the end of 2017.As the main funds of the "National Team",the average annual return on investment of the Social Security Funds is still 8.44%after many rounds of stock market conversion.That is inseparable from the different investment modes(including direct investment and entrusted investment)adopted by Social Security Funds,strengthening tactical asset allocation by entrusted investment,seeking market opportunities to increase fund value in the process of realizing long-term investment objectives.Timing and stock seleetion are important means for tactical asset allocation.Social Security Funds as a whole have achieved good investment performance,but do Social Security Funds invested in the stock market show good timing ability and stock selection ability?Is there any difference between direct investment and entrusted investment in timing ability and stock selection ability?What roles do different investment modes of Social Security Funds play in prevention and control of public risks?What are the differences in timing ability and stock selection ability of Social Security Funds in different market conditions?Answering these questions has important theoretical value and practical significance to scientifically understand and evaluate the investment performance of Social Security Funds in the different investment modes.This thesis is structured as follows.Firstly,the background and significance,ideas and structures,methods and innovation of the thesis are elaborated.Secondly,relevant research literature on public risks,Social Security Funds,timing ability and stock selection ability is reviewed.Thirdly,the public risk theory,the principal-agent theory,the corporate governance theory and other basic theories are expounded,the timing ability and stock selection ability of Social Security Funds investment are analyzed,and two research hypotheses are put forward.Fourthly,the data sources and empirical methods are explained,the empirical results and robustness test results are reported and analyzed,and further analysis from the aspects of distinguishing market conditions and examining stock price volatility is provided.Finally,the research conclusions and limitations are presented.The main conclusions of this thesis include the followings.Firstly,direct investment of Social Security Funds rarely obtained excess returns by timing and stock selection,so it did not show the ability of timing and stock selection,which means it prevented and controlled public risks by implementing the national investment policies to maintain the healthy development of capital market.Secondly,entrusted investment of Social Security Funds had obvious timing ability and stock selection ability.It pursued excess returns by virtue of its timing ability and stock selection ability,which means it prevented and controlled public risks by improving investment returns to alleviate the funds shortage in social security.Thirdly,no matter what kinds of market conditions,the timing ability and stock selection ability of direct investment and entrusted investment did not change generally.Finally,direct investment played a role in restraining stock price volatility,while entrusted investment did not have a significant impact on stock price volatility,which provides some empirical evidence for direct investment to prevent and control public risks by maintaining the healthy development of capital market.The innovation of this thesis is mainly reflected as follows.Firstly,in terms of research perspective,this thesis takes public risks prevention and control as research perspective,analyzes the transmission path of risks in the investment and operation of Social Security Funds,and explores the role of Social Security Funds in the prevention and control of public risks in different investment modes.Secondly,in terms of research content,most previous studies focused on securities investment funds,while this thesis studies the timing ability and stock selection ability of Social Security Funds,which are special investment funds with public attributes;then,most previous studies failed to distinguish the different investment modes,considering that the investment decision-makers of different investment modes have some differences in various aspects,this thesis studies the timing ability and stock selection ability of Social Security Funds in different investment modes,and then this thesis analyzes the timing ability and stock selection ability of direct investment and entrusted investment according to their decision-makers’attributes,which explains the differences of timing ability and stock selection ability in different investment modes from a deeper level.Finally,in terms of research methods,on the one hand,this thesis uses the daily and weekly market return rate data to construct the timing factors in the regression analysis,which alleviates the deviation of the test results caused by the too long interval of quarterly data in previous studies to some extent;on the other hand,this thesis uses the non-parametric test,which overcomes the limitation of regression analysis in testing the timing ability,so as to obtain more robust results. |
