牛市还有“巴菲特”吗？--基于牛熊市中基金投资行为的实证研究  

Are There "Buffett" in Bull Market?——Evidence From Value Investing of China Mutual Fund in Bull and Bear Market

作　　者：姜永宏[1] 饶育铭 严伟健 

机构地区：[1]暨南大学经济学院金融系

出　　处：《投资研究》2017年第8期52-64,共13页Review of Investment Studies

基　　金：国家社科基金一般项目(15BJY165)“中国证券市场隐性交易成本测算以及运行绩效评估研究”;广东省学科共建项目(GD16XYJ12)“基于效率--全要素生产率统一框架的中国商业银行竞争力研究”

摘　　要：熊市崇拜价值投资,牛市人人是"股神"是我国股市的一种普遍现象。本文利用2006年-2015年开放式基金重仓持股数据来检验基金在牛熊市中的投资行为是否符合价值投资。研究表明:基金具有挖掘未来价值信息的挖掘能力,表现为对股票未来会计盈余的追求;基金在熊市表现出这种能力,遵循价值投资;而在牛市忽视价值投资,是由于基金在不同市场行情下对信息优势的选择性表达。＂Worshipping value investing in the bear market and everyone is ＇BuffeR＇ in the bull market＂ is a general impression of China stock market. We use the open-end fund holdings data span from 2006 to 2015 to test whether the investment behavior of the mutual fund consistent with value investing both in the bear and the bull market. This paper finds that the fund does have the ability to dig for future value information, meaning the pursuit of future accounting earnings. The fund shows this kind of ability in bear markets, which follows the value investment. However, in the bull market ignoring the value investment, because the fund selectively displays the information superiority under the different market situation.

关 键 词：基金 牛熊市 价值投资 未预期盈余 

分 类 号：F832.51[经济管理—金融学]