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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.
By constructing the income gap - the difference between the fund’s return on net assets and the return on investment portfolio, this paper explores the trading behavior of open-ended fund managers in China’s securities market and its impact on fund performance.The results show that from 2004 to 2007, Fund meanwhile, the mean of the monthly income gap is significantly greater than zero, indicating that the fund manager’s efforts generally increase the value of the fund. Investors who simulate the composition of the fund invest in the bear market, whose average return is less than the return of the fund. However, , But significantly greater than the return of funds, the difference is more obvious for the allocation of funds.At the same time, the size of the fund’s earnings gap and the type and size of the fund is significantly related.