证券市场导报
證券市場導報
증권시장도보
Securities Market Herald
2013年
11期
47~54
,共null页
开放式基金 业绩排名 锦标赛 投资风格
開放式基金 業績排名 錦標賽 投資風格
개방식기금 업적배명 금표새 투자풍격
open-end fund, performance Ranking, tournament, investment style
本文以2005—2010年开放式基金为样本进行实证检验，发现支持锦标赛预测的证据主要集中在牛市期间。输赢家投资风格改变方向趋同，羊群效应是导致基金行业缺乏锦标赛效应的主要原因。期中业绩排名将引起输赢家的动量／反向和价值／成长风格发生改变，这两种投资风格的改变影响基金选股能力和期末业绩排名变动。投资者的申赎决策主要考虑基金的价值／成长和动量／反向风格的改变。在锦标赛制度下基金经理个人特征将进一步影响投资风格的改变。
本文以2005—2010年開放式基金為樣本進行實證檢驗，髮現支持錦標賽預測的證據主要集中在牛市期間。輸贏傢投資風格改變方嚮趨同，羊群效應是導緻基金行業缺乏錦標賽效應的主要原因。期中業績排名將引起輸贏傢的動量／反嚮和價值／成長風格髮生改變，這兩種投資風格的改變影響基金選股能力和期末業績排名變動。投資者的申贖決策主要攷慮基金的價值／成長和動量／反嚮風格的改變。在錦標賽製度下基金經理箇人特徵將進一步影響投資風格的改變。
본문이2005—2010년개방식기금위양본진행실증검험，발현지지금표새예측적증거주요집중재우시기간。수영가투자풍격개변방향추동，양군효응시도치기금행업결핍금표새효응적주요원인。기중업적배명장인기수영가적동량／반향화개치／성장풍격발생개변，저량충투자풍격적개변영향기금선고능력화기말업적배명변동。투자자적신속결책주요고필기금적개치／성장화동량／반향풍격적개변。재금표새제도하기금경리개인특정장진일보영향투자풍격적개변。
Using 2005-2010 open-end funds as sample, after empirical test this paper found that tile evidences for tournament effect were mainly in the bull market period. The changing direction of the investment style of winners and losers are similar, and the herding effect is the primary cause for absence of tournament effect. The midterm performance ranking will change the investment styles of both winners and losers in momentum/reverse and value/growth, and the changes of the investment styles will further affect the stock selection ability, fund performance rankings, and the net cash flow. The change in investment style of the fund caused the market reaction and the purchase and redemption decision-making of the investors based on the investment styles of both momentum/ reverse and value/growth. When faced with competition pressure, characteristics of fund managers have further influence on investment style changes.
