我国基金经理投资行为实证研究

The Empirical Research on Mutual Fund Manager's Investment Behavior

我国证券市场快速发展,推动了基金业的迅猛增长,随着基金数量的增多,作为管理基金的基金经理的作用和地位正在迅速上升。基金经理的投资决策行为势必会影响到基金的业绩,如何综合评价基金经理的投资行为,是摆在我们面前的一大课题。本文在对国内外学者有关基金经理投资行为文献评析的基础上,提出了"投资行为度"的概念,并运用多元回归计量方法和突变评价法对我国基金经理的投资风格、投资策略、投资绩效、择股时机选择能力、风险管理能力以及个人行为模式和基金业绩之间的关系等进行了实证检验,得出了一些有意义的结论。最后从行为金融理论角度分析了中国证券投资基金经理行为偏离的根本原因,并提出相应的政策建议。

How to comprehensively evaluate mutual fund managers＇ investment behavior is an important topic for us. This paper explores fund managers＇ investment behavior at home and abroad, and ＂investment behaviour measure＂ is established. On the basis of these, the paper empirically studies investing style, investing strategy, investing performance, stock picking and market timing ability, risk controlling ability, the relationship between personal behaviour characteristics and fund performance by multi-regression model and catastrophe evaluation methods. Some interesting conclusions are summarized. In the end, according to behavioral financial theory, the paper analyses the main reasons for behavior deviation of mutual funds managers, and several policy suggestions are put forward.