集中与分散化投资--谁是基金的最优选择？  

Is Concentration or Diversification the Optimal Investment Strategy for Closed-end Funds in China?

作　　者：朱宏泉[1] 李亚静[2] 

机构地区：[1]西南交通大学经济管理学院,成都610031 [2]电子科技大学经济与管理学院,成都610054

出　　处：《管理评论》2008年第2期9-13,共5页Management Review

摘　　要：基金的管理者应利用其信息上的优势,将更多的资金投资到未来可能获得超过市场平均回报的个股或行业。本文探讨了我国证券市场中封闭式基金的投资集中度与基金净值间的相关性。结果表明,基金前十位股票的投资比重之和占其股票投资的比例与基金累计单位净值显著地正相关,而基金的行业投资集中度对基金累计单位净值的影响不显著。表明,在我国证券市场投资中,选择股票远比选择行业重要。Mutual fund managers may deviate from the passive market portfolio by concentrating their holdings in specific industries or stocks.This paper explores the relationship between the industry concentration or stock concentration and the performance of closed-end funds in China from 1999 to 2006.Our results indicate that,on average,funds with more concentrated top ten stock holdings perform better after controlling the risk and style differences.But industry concentration could not significantly improve fund′s cumulative net asset value.This finding suggests that the selection of stocks is more important than that of industry.

关 键 词：封闭式基金 投资组合 投资集中度 累计单位净值 

分 类 号：F832.51[经济管理—金融学] F830.59