| 基金"重仓股"特征及可预测性研究 |
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| 引用本文： | 朱滔,李善民.基金"重仓股"特征及可预测性研究[J].当代财经,2006(12):39-45. |
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| 作者姓名： | 朱滔 李善民 |
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| 作者单位： | 1. 暨南大学,金融系,金融研究所,广东,广州,510632
2. 中山大学,管理学院,广东,广州,510275 |
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| 基金项目： | An Empirical Study of the Characteristics of the Closed-end Funds Holding Stocks and a Forecast |
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| 摘 要： | 基于对1999-2004年我国封闭式基金重仓持有股票的收益结构特征、财务和非财务特征以及重仓股的可预测性研究,结果表明:重仓股在季度末基金持股信息披露前后的累积超常收益(CAR)分化显著,在信息披露之前-75,-15]内有显著正的CAR,而在信息披露之后15,75]内有显著负的CAR;重仓股具有明显的可识别特征,基金表现出一定的择股能力;重仓股具有较强的可预测性,Logit模型的预测结果总正确率达到92.9%,通过预测的股票组合可以获得显著正的CAR。
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| 关 键 词： | 重仓股 累积超常收益 特征 可预测性 |
| 文章编号： | 1005-0892（2006）12-0039-07 |
| 收稿时间： | 2006-07-04 |
| 修稿时间： | 2006年7月4日 |
An Empirical Study of the Characteristics of the Closed-end Funds Holding Stocks and a Forecast |
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| ZHU Tao,LI Shan-ming.An Empirical Study of the Characteristics of the Closed-end Funds Holding Stocks and a Forecast[J].Contemporary Finance & Economics,2006(12):39-45. |
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| Authors: | ZHU Tao LI Shan-ming |
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| Institution: | 1. Jinan University, Guangzhou, 510632; 2. Sun Yat-Sen University, Guangzhou, 510275 |
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| Abstract: | In this paper,we study the characteristics of Closed-end funds holding stocks in China and make a forecast.Empirical results show that funds holding stocks have a significantly positive cumulative abnormal return(CAR) before publicizing the funds' holding portfolio,while holding stocks have a significantly negative CAR after publicizing;Funds holding stocks have some manifestly recognizable characteristics.Funds prefer the stocks of the firm with the characteristics of being better managed,under-valuated and with rational capita structure,stronger assets expanding abilities and greater size.Funds show abilities in selecting stocks to some extent;Funds holding stocks can be well forecasted.The overall correct percentage in our forecasting model-Logit Model is 92.9%.By holding the forecasted portfolio investors can earn a positive CAR adjusted by the market return. |
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| Keywords: | Fund Holding Stock CAR Characteristic Forecast |
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