交易频率对基金业绩的影响研究——基于中国公募基金数据  

The Effect of Turnover Rate on Fund Performance: Evidence from Chinese Mutual Funds

作　　者：刘晓昱[1] 施灵怡 沈一凡 

机构地区：[1]浙江大学,浙江杭州310058 [2]复旦大学,上海200433 [3]鸿商资本股权投资有限公司,上海200120

出　　处：《浙江金融》2022年第2期15-32,39,共19页Zhejiang Finance

摘　　要：本文选用2009年1月至2018年12月中国基金市场公募基金月度交易的面板数据,探究基金交易频率与基金未来业绩的关系。结果表明:基金交易频率具有一定持续性,且在此持续性基础上的基金业绩也具持续性;频繁交易及其交易频率的改变对基金未来业绩有负面影响。进一步研究发现这种负面影响在异质基金经理间与不同市场态势下程度都有所差异。本文研究结果对理解中国公募基金市场交易频率的特点、影响及依据交易频率特征预测基金未来业绩有一定参考价值。This paper selects panel data of monthly transactions of public funds in China’s fund market from January 2009 to December 2018 to explore the relationship between fund trading frequency and fund future performance. The empirical results show that the trading frequency of fund managers has a certain continuity, and the fund performance based on this continuity is also sustainable. Frequent trading and changes in trading frequency have a negative impact on future fund performance. Through further research, we find that the degree of this negative impact varies between heterogeneous fund managers and under different market situations. The research results of this paper have certain reference value for understanding the characteristics and influence of trading frequency in China’s Public Funds market and predicting the future performance of the fund according to the characteristics of trading frequency.

关 键 词：交易频率 风险调整业绩 公募基金 基金经理异质性 

分 类 号：F830.9[经济管理—金融学]