基金动量、风险载荷与市场状态——来自中国股票型基金的经验证据

Fund Momentum、Risk Load and Market State——An Empirical Evidence From Chinese Stock Open-ended Fund

以2005年1月至2017年9月中国市场股票基金为样本,检验我国基金市场是否存在显著的动量效应,解释其投资策略的风险载荷和收益来源,并分析动量效应的持续能力。实证结果表明,我国基金市场存在显著的alpha的特定动量效应,且在熊市时期更为显著。基于五因子模型的分析发现,盈利能力风险对特定动量效应具有一定的解释能力。高排名的基金在盈利能力风险上获取更高的风险溢价,表现出更高的回报;低排名的基金难以通过承担更高的市场风险和规模风险获取更高的收益。此外,alpha的特定动量效应具有很长的持续能力。上述结论具有很强的稳健性。本文的实证结果对投资者和基金市场监管者均有一定的参考价值和现实意义。

This article takes a sample of China’s stock funds from January 2005 to September 2017 to test whether there is a significant momentum effect in China s fund market,explain the risk load and source of income of the fund s momentum strategy,and analyze the duration of the momentum effect.The empirical results show that there is a significant and specific momentum effect in China’s fund market,and it is more significant in the bear market.Based on five-factor model,specific momentum effects can be explained by the company’s profitability level.High-ranking funds can obtain additional risk premiums for companies with high-profit.Low-ranking funds cannot achieve higher returns by taking risks from higher market risks and small-scale.In addition,the specific momentum effect of China’s fund has a long duration.These conclusions maintain robust.The empirical results of this paper have certain reference value and practical significance for investors and fund market regulators.