基于风格层面的开放式基金反馈交易行为的实证研究

文章通过结合Sharpe模型的参数构造一个基于风格层面的基金反馈交易检验模型，对我国在2004年之前成立的开放式股票型基金的反馈交易行为进行实证研究，结果发现：基金普遍采取正反馈交易策略，价值型基金比成长型基金具有明显的正反馈交易特征；在熊市时期，债券型基金的正反馈交易特征最为突出；在牛市时期，成长型基金和债券型基金则表现出明显的负反馈交易特征；历史业绩突出的基金更容易在随后时期内采取正反馈交易策略，这种策略在熊市中会恶化业绩，而在牛市中往往会提高其随后的业绩。

An Empirical Study on the Feedback Trading of Open-Ended Funds Based on Style Level

In this paper, we construct one model to test open-ended funds' feedback trading strategy based on style level by using Sharpe model parameter. We make an empirical study on open-ended funds which were set up before 2004.The result shows that all funds almost adopt positive feedback trading strategy. Value fund shows stronger characteristics of positive feedback trading than growth fund. In the bear market, bond fund shows the most prominent tendency of positive feedback trading. However, bond fund and growth fund show the most prominent characteristics of negative feedback trading. Funds with the best past performance will be more likely to adopt positive feedback strategy than those with the worst performance in the next term. The strategy may fail in the bear market, but does well in the bull market.