基金经理利用基本面信息选股吗?——来自基金持仓方面的证据  

Do Fund Managers Use Fundamental Information to Pick Stocks?——Evidence from China Mutual Fund Stock Holdings

作　　者：樊帅 张千玉 姜国华[1] 

机构地区：[1]北京大学光华管理学院

出　　处：《投资研究》2017年第8期65-81,共17页Review of Investment Studies

基　　金：国家自然科学基金资助项目71472007的支持

摘　　要：近年来,我国基金市场发展迅速,基金逐渐成为投资者进行投资理财时的重要选择之一。已有研究表明,基金经理具有超越一般投资者的选股能力,但对其依据何种信息进行选股的研究则较少。本文从基金持仓角度出发,提供了基金经理利用基本面信息进行选股的证据。研究发现,基金的个股超配指标与所持股票基本面特征变量高度相关,与其投资类型与投资风格基本一致,并会适当参考情绪面特征变量进行择时。In recent years, China mutual fund market has been seen rapid growth in both the number of mutual fund products and mutuaI fund market size. Prior literature has shown that fund managers possess outstanding assets management capability and above-average stock picking ability than ordinary investors. However, there is little empirical evidence on the kinds of information that fund managers utilize to pick stocks. From the perspective of fund stock holdings, this paper provides the evidence that mutual fund managers use fundamental information to pick stocks. We find that the average active weights of funds are highly correlated with a series of stock fundamental characteristics, and are consistent with their investment types and investment styles. Besides, fund managers also take advantage of sentimental characteristics for timing.

关 键 词：基金 基本面信息 选股 个股超配指标 

分 类 号：F832.51[经济管理—金融学]