我国证券投资基金谨慎投资行为的实证检验  

Empirical Test on Prudent Investment Behavior of Securities Investment Funds

作　　者：杨德群[1] 杨朝军[1] 蔡明超[1] 

机构地区：[1]上海交通大学管理学院,上海200052

出　　处：《三峡大学学报（人文社会科学版）》2005年第2期71-75,共5页Journal of China Three Gorges University(Humanities & Social Sciences)

基　　金：国家自然科学基金资助项目(70073017)。

摘　　要：引入了国外的机构投资者谨慎投资原则的概念,对我国证券投资基金的谨慎投资行为进行了实证研究;在2002年基金年报公布的投资组合基础上,对基金的持股比重与股票的某些特征变量(这些特征变量与基金的谨慎投资行为有关)进行了回归分析和分组回归分析。结果表明,在2002年末期,基金的投资行为是谨慎的;在研究变量中,基金的持股比重与股票的大多数特征变量之间存在非线性关系,并且基金避免持有这些特征变量极高或极低的股票。This paper introduces the concept of prudent investment rule of institutional investors abroad, and studies empirically on the prudent investment behavior of securities investment funds in China. O the basis of portfolio in 2002 Annual Reports of securities investment funds, a regression analysis and quintile regression analysis are also made on the relationship between investment funds ownership and various specific parameters among firms (these factors are related to prudent investment behavior of investment funds). The regression results show that investment behavior of funds is prudent at end of 2002; and that there is a non-linear relationship between investment funds ownership and various specific parameters among firms, and that these funds try not to hold the securities of these specific parameters when the prices are too high or low.

关 键 词：证券投资基金 持股特征 谨慎投资原则 中国 实证检验 

分 类 号：F832.5[经济管理—金融学]