CAJ | 학술논문

本文以54只基金重仓股和193只开放式基金的季度数据以及天数据为研究样本，构造出基金的特征变量因子，扩展Fama三因子模型建立动态投资组合进行实证分析，结果表明：引入基金特征变量后的多因子模型能提高方程的拟合优度，基金数量、投资者需求与股票的收益率成负向变动的关系；基金获得的信息量与股票的收益率正相关；账面市值比、基金的规模、基金经理的风险容忍度、投资者的风险容忍度均不能充分解释基金重仓股的截面收益差异。
본문이54지기금중창고화193지개방식기금적계도수거이급천수거위연구양본，구조출기금적특정변량인자，확전Fama삼인자모형건립동태투자조합진행실증분석，결과표명：인입기금특정변량후적다인자모형능제고방정적의합우도，기금수량、투자자수구여고표적수익솔성부향변동적관계；기금획득적신식량여고표적수익솔정상관；장면시치비、기금적규모、기금경리적풍험용인도、투자자적풍험용인도균불능충분해석기금중창고적절면수익차이。
The traditional Fama three factors model itself has many problems. The size factor, book- to-market factor usually can＇t be regarded as risk factors. Theory on the impact of return is not enough to show convincing explanation. This paper takes quarterly data of 54 funds heavy warehouse stocks and 193 opened fund for study samples, constructing fund characteristic variable factors, expanding Fama three factors model, making use of the dynamic portfolio approach to get empirical results which show that： the introduction of fund characteristic variable factors for multi-variable model can improve goodness-of-fit, the number of funds ,investor＇s demand yield to the negative changes in the relationship with stock return, while information of Fund yield positive correlation; Book-to -Market, size of fund, risk tolerance of fund managers and investors can not fully explained the section return difference for these fund heavy warehouse stocks.