基金经理主动管理能力与基金业绩--基于市场周期视角  

Fund Manager’s Active Management Skills and Mutual Fund Performance:Based on the Perspective of Financial Market Cycle

作　　者：陈晓非 叶蜀君[1] 任悦轩 CHEN Xiao-fei;YE Shu-jun;REN yue-xuan(School of Economics and Management,Beijing Jiaotong University,Beijing 100044,China)

机构地区：[1]北京交通大学经济管理学院,北京100044

出　　处：《经济问题》2022年第1期47-55,共9页On Economic Problems

基　　金：国家社会科学基金项目“促进科技与经济深度融合的体制机制研究”(16ZDA011);。

摘　　要：优秀的基金经理通常可以获得更高的收益,因此衡量基金经理的个人能力及探究对于基金业绩的影响具有重要意义。基于2296只开放式股票型基金2010—2020年的面板数据,从明星效应、能力效应以及羊群效应等理论出发,通过构建套利能力、个人认知能力、独立决策能力、择时与选股能力五个维度的基金经理能力指标,实证分析了基金经理能力的影响因素以及对基金业绩的影响,并进一步结合市场周期波动,通过滚动回归的方法探究不同市场行情下基金经理能力对于基金业绩影响的差异以及变化趋势。研究发现,基金经理的能力在不同市场环境下对基金业绩的影响存在差异,且该影响随着金融市场周期的波动存在一定的周期性。Top-notch fund managers can usually get higher returns.It is important to measure the active management skills of fund managers and understand their impact on fund performance.This paper utilizes theories in behavioral finance,to constructs measurements of fund managers’abilities in five dimensions.Panel data of 2296 open-end equity funds from 2010 to 2020 were used to analyze the influences of these factors on fund manager and their impact on fund performance empirically.Furthermore,financial market cycle was introduced to explore the variation of fund manager abilities on fund performance under different market conditions,and rolling regression was also carried out to identify the change in magnitude of the impact to the fund performance by these indicators.The study found that the deciding factor of fund manager’s ability on fund performance vary in different market environments,and with the fluctuation of market cycle,the influence has certain periodicity.

关 键 词：基金经理 基金绩效 基金评价 主动管理能力 金融市场周期 

分 类 号：F830[经济管理—金融学]