选购基金“一对多”有诀窍

公募基金团队的投资能力是关键。作为公募推出的“私募基金”,基金公司的投资能力和完善的投研体系是做好“一对多”业务的基础。“一对多”产品的投资回报在很大程度上取决于基金经理的投：资能力。露前,各大基金公司纷纷为“一对多”业务的开展配备了精良的团队,团队的沥史投资业绩、管理人的投资经验、投资风格等就成为重要的参考指标。除了公募基金以往的管理业绩以外。基金公司管理的年金。社保等基金的投资情况也值得关注,     

PE成了过剩资本主攻方向 私募与公募对决隐含市场深化密码

经过12年的高速发展，当最初的激情退去之后，公募基金迷失了。于是，“打辞职报告”的主角从2008年的“基金经理”变成2009年的“投资总监”，再到今年的“基金公司总经理”，纷纷冲出公募的围城，集体“私奔”——从公募退出之后，转眼便又穿着私募的马甲高调亮相。人才荒作为公募基金危机的表达式，呈现出流转性和梯次性，这已成为证券基金人才流动的基本规律。     

基金持股偏好、市场环境与投资绩效

文章以2011—2019年公募基金数据样本为研究对象,考察了基金机构持股的成长性、行业及长短线偏好在不同市场环境下对投资绩效的影响。研究发现:在牛市环境下,公募基金投资组合中持有小盘股、轻资产企业以及成长性高的科技股会带来更高的投资绩效;而在熊市环境下公募基金的投资组合中更偏向于持有大盘股、重资产企业以及消费行业的股票从而带来更高的投资绩效。进一步研究发现,公募基金机构的异质性也同样作用于其投资绩效。本研究有助于理解基金机构对于稳定股市的作用以及规范交易型公募基金投资机构投资行为的重要性。     

机构投资者交易行为中的羊群效应

“羊群行为”是金融市场上一个令人困惑的现象，“信息不对称”，“名誉的考虑”和“投资经理激励机制”被认为是导致“羊群效应”的主要原因。对美国金融市场的研究表明，机构投资者在进行投资时存在典型的羊群效应。随着我国公募基金的迅速发展，透明的披露机制的压力以及基金的“相对业绩评价标准”导致我国证券投资基金在交易中也出现了羊群效应下的从众行为。     

何种特征属性决定了基金经理的业绩提升

本文研究了基金经理特征对其业绩的影响及解释力,发现基金经理的业绩具有一定的持续性,其职业稳定性对基金业绩的提升是必要的,在基金公司内部出于管理或人事安排的需要进行频繁的岗位轮换或人员搭配往往不能起到理想的预期效果,但基金经理来自其他基金公司的从业经历却有助于其业绩提升;一定的证券从业经验对基金经理的业绩提升是必要的,但并不意味着从业时间越长,就能获得越好的业绩表现;没有证据表明基金经理学历、历任基金经理的持续时间对其业绩提升有显著的贡献,但性别对基金业绩有着显著的影响。研究表明基金公司在选拔和任用基金经理时,秉持“业绩至上”的原则是必要的,但不能过度沉溺于“经验至上”的迷信,不同经验对基金经理的业绩提升有着不同的影响,需要区别对待。     

分析师对基金重仓股发布乐观预测的后果研究——来自佣金分仓的证据

选取2010—2015年分析师盈利预测、基金重仓持股和基金向券商支付的佣金数据研究分析师对基金公司重仓股发布乐观盈利预测的后果，发现分析师对基金公司重仓股发布乐观盈利预测次数越多，基金公司向该分析师所在券商支付的交易佣金越多。进一步的研究发现：分析师对重仓的冷门股发布乐观预测以及越早发布乐观预测，能提高基金公司对券商的分仓佣金；小规模基金公司通过佣金分仓回报券商分析师讨好的成分更大；基金公司通过提高交易量的方式向券商支付更多交易佣金；利益冲突是导致分析师行为异化的原因。     

基金业绩与基金经理风险调整行为——来自银行系基金的证据

基金公司通过相对业绩排名考核基金经理，基金经理会根据前期业绩排名调整投资组合的风险水平。我国商业银行及其控股的基金管理公司在金融市场占据举足轻重的地位，基于股东影响基金经理投资行为的角度，文章对比了银行系与非银行系基金经理风险调整行为的差异。以2005—2020年中国开放式股票型和偏股混合型基金为样本，考察了业绩排名对基金经理风险调整行为的影响。研究发现，银行系基金经理更在意业绩排名。当前期业绩较差时，银行系基金更有动力进行风险调整。另外，银行系基金风险调整对未来业绩产生更显著的正向影响，且具有更强的业绩持续性。通过比较发现，银行系基金的离职率更低且团队更稳定，可以更加主动地进行策略选择和投资组合调整。该发现扩展了基金风险调整行为的研究，也对基金投资具有一定的参考意义。     

HOT NOT

王亚伟：2009年最后一个股市交易日结束．基金公司和投资者较为关注的2009年基金年终排名最终落幕。王弧伟担任基金经理的华夏大盘以不到01个百分点的微略优势，战胜了陆文俊领衔的银华核心优选．成为最终年度冠军。王亚伟再次成为“最牛基金经理”。     

我国证券市场中小投资者非理性羊群行为分析

一、羊群行为的概念 2007年我国股市上证综指突破6124点,但4个月后的2008年第一季度,就下跌到3357点,股票指数的剧烈波动,充分说明了我国大部分投资者的投资是一种非理性的投资行为,即羊群行为。证券市场中的羊群行为是一种非理性的行为,它是指投资者在信息环境不确定的情况下,行为受到其他投资者的影响,模仿他人的决策,或者过度依赖于舆论,而不考虑自己的信息的行为。在我国股市中,中小投资者所占比例很大,但往往缺乏对个股投资价值的分析和研究,没有自主明晰的投资策略,因此,不得不追随其他投资者行动的行为。这种投资行为在市场上有较强的传导效应,是一种被动盲从的投资行为。     

论私募基金财务管理中的风险防范策略

近来来,我国私募基金规模和数量迅速增长,且已超过公募基金规模.私募基金与公募基金相比有着更灵活、更复杂的投资策略,私募基金成为高净值人群青睐的投资方式.私募基金的缺乏监管、透明度差、流动性弱和估值难度大等都潜藏着财务风险,为保护投资者利益,促进私募基金规范化发展,文章从私募基金加强财务管理视角出发,通过建立中介机构库,加强尽职调查,强化现金流管理,做好信息披露,加强信息化建设,加强审计和监督等措施进行了风险防范,并就促进我国私募基金的健康发展进行了讨论.     

互联网基金对股票市场的影响——基于大数据情绪指数的实证研究

投资者在进行投资决策时易受到自身情绪的影响，并且投资者行为是影响金融市场间波动溢出的直接原因。运用文本挖掘技术对新浪微博2014年4月至2016年7月的博文进行文本分析和随机森林主成分分析并构建微博大数据投资者情绪指数，根据投资者情绪指数研究互联网基金市场对股票市场的影响，结果表明互联网基金市场对股票市场具有波动溢出效应。     

贷款利率市场化与企业金融资产投资：抑制还是促进

选取2007—2017年我国沪深上市公司的数据,实证检验了贷款利率市场化对企业金融资产投资行为的影响。研究发现,贷款利率市场化显著推动了企业金融资产投资行为,这主要是因为贷款利率市场化使企业能够获取更多的长期资金用于金融资产投资。进一步研究发现：相对于金融资产投资较多的企业,贷款利率市场化对金融资产投资行为较少的企业具有更明显的促进作用;同时,贷款利率市场化使得企业更倾向于对长期金融资产的投资;宏观经济越不景气,贷款利率市场化越能促进企业金融资产投资,而货币政策宽松程度对二者关系并不存在显著影响。研究结论能够揭示贷款利率市场化与企业金融资产投资行为的关系,为进一步考察贷款利率市场化的经济后果以及更具针对性地防控实体企业“脱实向虚”风险提供新的微观层面证据。     

Herding in the strategic allocations of Spanish pension plan managers

This paper empirically examines herding behavior in the strategic style allocations of Spanish pension plan managers. The study uses both the standard metric used in financial literature to capture institutional herding and a new approach to address some shortcomings of this traditional measure. Concretely, some authors have highlighted that the traditional measure does not take into account that the probability that a manager buys rather than sells a certain stock depends on both the initial holding in the stock and the asset flows. As a consequence, this study proposes a new approach, which can be applied to other financial markets and provides more accurate values of the probability to increase (or decrease) the style exposures bearing in mind the previous exposure of each portfolio. The study confirms the existence of herding behavior by using both methods. Although the strength of this behavior decreases using the new approach, the herding levels detected in this study of style herding of Spanish pension plans are higher than those of previous research analyzing portfolio holdings in other countries. Additionally, herding levels are higher in periods of low volatility while market returns does not seem to influence herding levels.     

Learning about individual managers’ performance in UK pension funds: The importance of specialization

This study examines the performance of managers over time, as well as its persistence, taking into account both manager characteristics and market conditions. Applying parametric and non-parametric methodologies, we examine a sample of UK equity pension fund managers. Our results help to understand the importance of manager assignments in the industry and reveal the importance and benefits of management specialization. We find certain manager performance persistence, revealing that some managers are better than others and possess superior investment skills. Additionally, we find that managers achieve better results when they run a single fund or one investment-objective funds, which allows managers to focus on specific tasks. Nonetheless, manager performance varies with market conditions and highlights managers’ different skills. Specialist managers perform better in bullish markets, and generalists perform better in bearish periods.     

Market conditions and the effect of diversification on mutual fund performance: should funds be more concentrative under crisis?

This paper investigates the non-monotonic and non-linear effect of diversification on mutual fund performance. We apply a frontier-based efficiency measure, the stochastic frontier approach, to estimate fund efficiency and the benefit of diversification. The empirical results indicate that concentration strategy may not be appropriate for fund managers, and the benefit of diversification disappears or negatively affects performance when a fund holds too large a number of different stocks. Moreover, this paper examines whether market conditions moderate the relation between diversification and fund performance. The result shows that the benefit of diversification increases within low market return, high market volatility, and financial crisis, implying that the number of stocks needed to achieve a well-diversified portfolio increases under such market conditions.     

Fund immunity to the COVID-19 pandemic: Evidence from Chinese equity funds

This paper discusses the connection between public equity fund characteristics and performance reactions to COVID-19 using data over 1300 equity funds across 105 Chinese fund companies. Empirical evidences from over 20 fund characteristics show that the liquidity, diversification and pre-2020 Sharpe ratio, fund management abilities, agency costs can determine the fund immunity to COVID-19. Based on these characteristics mentioned, our empirical results can explain why COVID-19-induced drop in fund performance is milder among open-end funds, active funds, ETFs, and growth funds, and also can explain why funds controlled by private companies or by sino-foreign joint ventures or by companies with more independent directors of financial experiences perform better in the pandemic. Our work also provides some valuable suggestions for investors and regulators confronting an exogenous shock.     

An analysis of the capital asset pricing model in the Egyptian stock market

This paper offers evidence confirming the validity of applying modern portfolio theory and capital asset pricing models to the emerging stock market of Egypt. The results indicate that market risk, as measured by beta and preference for skewness, seems to play a significant role in the returns dynamics in the Egyptian stock market. There is a significant and positive premium for companies with positive skewness. With regard to the return-risk trade off, the results indicate that a portfolio that was based on consumer staples and financial companies (mainly banks) with low betas had outperformed a portfolio containing construction, materials, hotels, and weaving companies with larger betas. Historically, the government's nationalizations that took place, between the mid fifties to the mid sixties, had adversely affected companies in the industrial and construction sectors more than consumer staples companies and banks. This could explain why lower beta companies were observed more in consumer staples, banks, and pharmaceuticals.     

控股股东股权质押是否增加企业的财务风险？——来自民营企业的经验证据

以2014—2019年深沪A股民营上市公司为样本,考察控股股东股权质押对企业财务风险的影响。研究发现,控股股东股权质押增大企业财务风险的效应受到股权质押率高低的影响,当控股股东股权质押率较高时,股权质押增大企业财务风险的效应会更加显著。进一步研究发现,股权制衡度弱化了股权质押增大企业财务风险的效应。在董事长和总经理两职合一的民营上市公司中,控股股东股权质押增大企业财务风险的效应更加显著。     

基于自由现金流的投资组合研究

本文运用我国股市1998～2006年间的财务报表数据,选择正自由现金流、低自由现金流乘数和低财务杠杆的大公司,对其以自由现金流为基础的投资组合进行了检验。结果显示,以自由现金流为基础的投资组合回报始终优于市场指数,说明在我国股市实行基于自由现金流的投资组合是积极可行的。     

Mutual Fund＇s Behavior on Stock Liquidity： Empirical Results from Chinese Security Market

This paper studies the relationship between fund investment and market liquidity by using Chinese security market data. The results show that, among several measures of market liquidity, the indexes based on volume, such as turnover and market depth, have a deeper impact on fund investment decision. Furthermore, the relationship between security liquidity and fund investment varies when market status is taken into account. On the other hand, fund investments have a negative effect on security liquidity measured by market width, while have a positive effect on other liquidity measures. The authors attribute the results to herding behavior of fund investment.