中国基金在投资中是否追求了价值?  

Are Chinese Funds Investments Pursuing Value?

作　　者：姚颐[1] 刘志远[1] 相二卫[1,2] 

机构地区：[1]南开大学商学院 [2]新南威尔士大学商学院

出　　处：《经济研究》2011年第12期45-58,共14页Economic Research Journal

基　　金：国家自然科学基金"不同市场状态下基金投资行为与市场稳定"(批准号:70872052)和"制度环境;投资者情绪与企业投资行为"(批准号:71072099)的资助

摘　　要：基金的一些投机行为引发媒体的负面评价,导致市场对其过度否定。而本文从基金的投资行为与投资效果出发,首次将基金的交易行为区分为新进入、新退出、增减仓三种情况,对基金投资是否追求价值进行了大样本的实证研究。研究结果表明,基金作为知情交易者有能力对未来价值进行预测,基金的投资体现了对于股票未来会计盈余的追求。同时,基金的交易行为发生后股价对未来价值有明显的提前反映,提高了证券市场的定价效率。这表明基金投资追求了价值。本文结论对于客观评价基金的市场作用以及科学发展机构投资者具有一定的理论意义和政策启示。Funds in China are usually awarded as speculators by the press, which bring them with negative evaluation by capital market. Our paper is the first one applying quarter data from 2002 to 2008 to investigate if funds investments are pursuing value from motivation and consequence aspects, and further categorize fund investment activities into taking initial position, liquidating and adjusting position. The results show that funds as informed traders are capable of forecasting stocks＇ future value. Meanwhile, after the fund investment activities, stock price could evidently reflect the future value in advance, which improves the pricing efficiency of capital market. In general, fund＇s investments pursue value of stocks. This paper thus has some theoretical significance and policy implications in objectively investigating the role of funds and scientifically developing institutional investors in our capital market.

关 键 词：基金 价值投资 投机 股票回报 盈余预测 

分 类 号：F832.51[经济管理—金融学]