基金投资行为与投资绩效实证研究

An Empirical Study of Investment Fund Behavior and Performance

本文主要研究2000年末到2004年6月国内基金投资行为与投资绩效。我们将基金交易行为分为:新进入、完全退出和对仓位进行调整3类,并分别研究其投资行为。研究结果显示,我国基金交易频率很高,近90%的基金采用动量投资策略,基金新进入股票时动量效应最强。价值型基金更易采取动量投资策略,高动量组收益高于低动量组收益。

This study mainly investigates the investment behavior of fund from the fourth quarter of 2000 to the second quarter of 2004. We decompose trading by fund into entry, exit, and adjustments to ongoing holdings. We find the investment strategies of 90 percents of mutual funds are momentum strategies, the momentum estimate for entry is typically lager than that for exit and adjustments to ongoing holdings. We also find significant differences in trading practices among different fund styles： the magnitude of momentum trading is largest for value fund. The high momentum strategies can realized significantly better performance than the low momentum strategies.