一直在努力?——基金管理者买卖行为的有效性分析  

Having Been Trying Hard? The Validity of Unobserved Actions of Open-End Fund Managers in China

作　　者：朱宏志[1] 马晓维[2] 朱宏泉[2] 

机构地区：[1]重庆师范大学后勤集团,重庆400047 [2]西南交通大学经济管理学院,四川成都610031

出　　处：《数学的实践与认识》2012年第21期26-38,共13页Mathematics in Practice and Theory

基　　金：国家自然科学基金(70971110;71171170);教育部人文社科规划基金(09YJA790169)

摘　　要：通过构建收益缺口-基金的净资产收益与投资组合收益之差,探讨了我国证券市场中开放式基金管理者的买卖行为及其对基金业绩的影响.研究结果表明,在2004至2007年中,基金月收益缺口的均值显著大于零,表明基金管理者的努力总体上能增加基金的价值;投资者若模拟基金的股票构成进行投资,在熊市中,其平均回报小于基金的收益,但在牛市中,却显著地大于基金的收益,这一差异对配置型基金更明显.同时,基金收益缺口的大小与基金的类型和规模显著相关.In this paper, we explore the impact of unobserved actions and effort of open-end fund managers in China stock market on fund returns using the return gap--the difference between the reported fund return and the return on a portfolio that invests in the previously disclosed fund holdings. We document that the return gap is significantly larger than zero from year 2004 to 2007, which shows that in general the effort of fund managers can create value. If investors follow the previously disclosed fund holdings, they obtain less value than that provided by funds in bear market, and get more return in bell market. The difference is much more obvious for balanced-open-end funds. Further, the return gap is also significantly correlated to fund style and size.

关 键 词：开放式基金 基金管理者 努力程度 收益缺口 

分 类 号：F832.51[经济管理—金融学] F224