中国证券投资基金的需求与其风格“标签”关系的实证分析

对于以组合管理为基本方法的证券投资基金,由于其投资风格选择的不同会导致投资者对其投资偏好的差异,加之证券市场的非有效性和投资者的非完全理性,投资者对基金的投资决策更多基于心理动机和行为因素的判断。本文运用行为组合理论,对我国证券市场封闭式基金的折价状况进行了考察,分析了证券投资基金投资风格选择对基金需求的影响及我国证券市场投资者的需求特点和偏好状况。     

证券投资基金评价的方法

随着我国证券投资基金的规模不断扩大，对证券投资基金进行科学合理的考核评估已势在必行。各基金由于投资理念和操作方式各有其特点和风格，业绩与风险也大不相同．对基金进行业绩评价具有重要意义。     

证券投资基金与A股市场波动性相关分析

近十年来证券投资基金业在我国取得了长足发展,投资基金行业也经历了完整的证券市场牛熊周期。本文按照行为金融学的实证研究,来分析证券投资基金的投资行为是否对股票市场起到稳定作用。通过对我国2002年至2010年证券投资基金的实证研究,得出以下结论:在我国A股市场,证券投资基金的持股比例是影响股票的波动的重要因素,即证券投资基金的投资行为导致股票市场具有一定的波动性。     

证券投资基金与A股市场波动性相关分析

近十年来证券投资基金业在我国取得了长足发展,投资基金行业也经历了完整的证券市场牛熊周期。本文按照行为金融学的实证研究,来分析证券投资基金的投资行为是否对股票市场起到稳定作用。通过对我国2002年至2010年证券投资基金的实证研究,得出以下结论:在我国A股市场,证券投资基金的持股比例是影响股票的波动的重要因素,即证券投资基金的投资行为导致股票市场具有一定的波动性。     

我国证券投资基金对证券市场稳定性的影响分析

证券投资基金已成为我国证券市场的重要构成,并对市场稳定产生了关键影响。本文在分析证券投资基金投资行为的基础上,指出了当前证券投资基金存在的主要问题,并分析了基金投资行为对证券市场稳定性的影响。     

我国证券投资基金羊群行为的实证研究

论文通过LSV及其修正模型,运用2003年第一季度到2009年第四季度我国开放式证券投资基金的季度投资组合数据,对我国证券投资基金羊群行为进行了实证分析,发现我国存在较明显的羊群行为,基金卖出羊群一般明显大于买入羊群,且羊群行为在第2季度最明显。     

基于DEA的证券投资基金绩效评价

证券投资基金作为一种社会化的集合投资理财工具,起源于英国的信托投资公司。我国的证券投资基金从《证券投资基金法》实施以来才步入快速发展阶段,因而国内并没有一个对证券投资基金绩效评价的有效体系。本文基于现有基金绩效评价方法的局限性,提出数据包络分析DEA的研究方法,对DEA方法进行阐述,并在此基础上对该方法在证券投资基金绩效评价中的有效性进行分析,得出结论。     

证券投资基金公司风险管理探析

本文从我国证券投资基金业风险管理现状入手,揭示我国证券投资基金业在风险管理方面存在的问题和制度安排的缺陷,对进一步加强证券投资基金业风险管理和提高证券投资基金业风险管理能力做了深入研究。目前证券投资基金业正蓬勃发展。然而,证券投资造成的亏损破产事件也是层出不穷,这些事实使人们意识到风险管理是基金公司赖以生存的先决条件。如何对日益复杂的风险进行良好的管理和控制是我国基金投资公司进一步发展面临的重大问题。     

证券投资基金公司风险管理探析

本文从我国证券投资基金业风险管理现状入手,揭示我国证券投资基金业在风险管理方面存在的问题和制度安排的缺陷,对进一步加强证券投资基金业风险管理和提高证券投资基金业风险管理能力做了深入研究。目前证券投资基金业正蓬勃发展。然而,证券投资造成的亏损破产事件也是层出不穷,这些事实使人们意识到风险管理是基金公司赖以生存的先决条件。如何对日益复杂的风险进行良好的管理和控制是我国基金投资公司进一步发展面临的重大问题。     

证券投资基金业绩评价方法研究综述

证券投资基金的业绩主要从基金收益指数的选择、基金经理的证券选择能力和时机判断能力、对基金业绩指标持续性及基金投资风格等四个方面进行评价.基金业绩评价方法的研究已经从无条件模型发展到了条件模型,从对基金业绩的总体业绩评价发展到对总体业绩进行来源分解研究,从线性模型发展到了非线性模型.     

封闭式基金的投资风格的实证研究——以动态的视角

本文回顾了Sharpe(1992)的资产因子回归模型,并用于分析我国的封闭式基金的投资风格。研究发现,样本基金中实际投资风格偏离了宣称的投资风格,同一个基金投资风格前后不一致,而且样本基金存在着投资风格趋同的现象。而且通过动态的视角,说明了该模型被忽略的价值。     

Equity Fund Performance Persistence with Investment Style: Evidence from Korea

Using a comprehensive database on equity funds in Korea, we investigate the performance and performance persistence with investment style employing the Fama and French three-factor model and the Carhart four-factor model. The paper finds that most investment styles in Korea noticeably outperform the passive benchmarks. In addition, positive performance persistence is observed among funds investing in large-cap stocks and stocks of high past performance. Finally, outperformance and positive performance persistence of equity funds are still present in various ranking and postranking horizons. These empirical findings are in sharp contrast with results from earlier studies on markets in developed countries, such as the United States.     

Does the choice of performance measure influence the evaluation of hedge funds?

The Sharpe ratio is adequate for evaluating investment funds when the returns of those funds are normally distributed and the investor intends to place all his risky assets into just one investment fund. Hedge fund returns differ significantly from a normal distribution. For this reason, other performance measures for hedge fund returns have been proposed in both the academic and practice-oriented literature. In conducting an empirical study based on return data of 2763 hedge funds, we compare the Sharpe ratio with 12 other performance measures. Despite significant deviations of hedge fund returns from a normal distribution, our comparison of the Sharpe ratio to the other performance measures results in virtually identical rank ordering across hedge funds.     

基金业绩如何影响风格漂移和经理离职?——理论与经验分析

本文通过一个两期模型,刻画了基金业绩如何通过影响市场信念,进而影响基金风格漂移和基金公司的解雇行为。若上期基金业绩很好,基金经理就会在乐观的自我能力预期下,完全按照自己的判断选择基金投资风格;若上期业绩一般,基金经理会因为调整成本而不太愿意切换投资风格;而若上期业绩很差导致自我能力预期悲观,基金经理就宁愿模仿上期绩优基金的投资风格。综合起来,基金风格漂移将随上期基金业绩呈现出显著的U型关系。进一步,因为业绩很差的基金经理会采取模仿策略,因此在市场风格发生切换时更有可能发生基金经理解雇事件。此外,本文基于中国开放式基金的季度数据,检验了风格漂移与滞后一期基金业绩之间的关系,经验证据稳健地支持了理论分析的各种结论。     

The day-of-the-month effect and the performance of the dollar cost averaging strategy: Evidence from China

Dollar cost averaging (DCA) is a popular strategy adopted by investors who recognise the difficulty in consistently timing the market. Using a sample of open-ended equity mutual funds in China from 2004 to 2020, this study investigates a calendar anomaly not yet documented – the day-of-the-month effect for monthly mutual fund DCA investment. We find that DCA investment in the first 5 days of each month could generate an annualised style-adjusted return of 0.35% more than in the remaining days. The results hold for subsamples of different fund styles, especially for growth funds. Moreover, the effects of earnings announcement, holidays and fund tournaments contribute to the DCA calendar anomaly. Robustness checks support our main findings.     

境内外私募股权基金比较研究

在亚洲等新型市场国家，私募股权基金投资并帮助那些优质的公司进一步拓展发展空间，并提供就业机会，引入先进的财务管理经验，且为其投资者提供高额回报，进而促进经济的发展，这使得亚洲尤其是中国地区的私募股权投资得到大幅度发展。本文的研究正是基于全球私募股权市场热火朝天的发展和我国私募股权交易数额呈级数增长的背景下进行。     

Alumni social networks and hedge fund performance: Evidence from China

Based on unique data of Chinese private hedge funds, we first construct the “strong alumni” (alumni of the same school and the same major) social networks of private hedge fund managers, and examine the impact of alumni social networks on the performance of hedge funds in China. We build a series of alumni networks using the educational background information of 4734 private hedge funds, and perform an empirical analysis on a sample of 1115 private hedge funds products from 2010 to 2019. Different from previous findings of mutual funds, we find that more central network positions of hedge fund managers are associated with better risk-adjusted fund performance. Hedge fund managers with more central positions conduct more active investment styles and receive lower fund flows.¹ The results supplement the evidence that information advantages brought by central position in social networks can influence managers' investment styles, thus improve hedge fund performance.     

基金业绩如何影响风格漂移和经理离职?——理论与经验分析

本文通过一个两期模型,刻画了基金业绩如何通过影响市场信念,进而影响基金风格漂移和基金公司的解雇行为。若上期基金业绩很好,基金经理就会在乐观的自我能力预期下,完全按照自己的判断选择基金投资风格;若上期业绩一般,基金经理会因为调整成本而不太愿意切换投资风格;而若上期业绩很差导致自我能力预期悲观,基金经理就宁愿模仿上期绩优基金的投资风格。综合起来,基金风格漂移将随上期基金业绩呈现出显著的U型关系。进一步,因为业绩很差的基金经理会采取模仿策略,因此在市场风格发生切换时更有可能发生基金经理解雇事件。此外,本文基于中国开放式基金的季度数据,检验了风格漂移与滞后一期基金业绩之间的关系,经验证据稳健地支持了理论分析的各种结论。     

UK equity mutual fund alphas make a comeback

In this study, we re-visit the performance of 887 active UK equity mutual funds using a new approach proposed by Angelidis, Giamouridis, and Tessaromatis. The authors argue that mutual funds stock selection is driven by the benchmark index, so if the benchmark generates alpha, there will be a bias in interpretation of manager's stock-picking ability. In their model, the alpha of a fund is adjusted by the benchmark's alpha. By applying this method, we eliminate bias inflicted by the persistently negative alphas of FTSE 100 Index in the period 1992–2013. We find that adjusted Fama–French and Carhat alphas of UK equity mutual funds are higher than those implied by the standard three- and four-factor models and are overall positive, contrary to most of the existing literature on UK fund performance. This result is consistent across funds' investment styles and robust to the use of FTSE Small Cap as benchmark for a sub-sample of small cap funds.     

How much does tax erode fund excess returns?

We model the tax drag from active fund management based on reported monthly holdings of active equity funds. Tax drag erodes 65 percent of the 0.74 percent excess return in Broad Market funds, but only 21 percent of the 1.80 percent excess return in Small-Cap funds for Australian superannuation (pension) fund investors. Tax drag varies with investment style; market state, which is most detrimental during bull markets; and fund turnover. For high-income individual investors, tax drag is exacerbated to the extent that active management only generates meaningful after-tax excess return for Small-Cap funds of certain styles.