摘要
现有信息披露机制决定了季度内基金投资行为不可观测,这导致了基金及投资经理的委托—代理行为,强化了基金短期炒作和投资风格轮动动机。本文借鉴Kacperczyk、Sialm和Zheng(2006)定义的"收益差值"指标,用以衡量基金的活跃交易收益及隐含成本,采用拓展的Fama—French三因子模型对30只股票型基金面板数据进行实证分析,结果显示"收益差值"指标对基金超额收益贡献明显,进一步采用市场周期虚拟变量说明基金交易活跃程度呈现周期性趋同变化,这种周期性变化加剧市场波动,其内在根源在于现代金融理论中资产定价理论假设与投资者行为的背离。
Because of the present disclosure requirements,the trade actions of Chinese stock equity mutual funds are unobserved.It strengthens mutual funds managers＇ principal-agent behavior and manipulation induces.This paper estimate the impact of unobserved actions on mutual funds＇ returns using the return gap,which was defended as the difference between the reported fund return and the return of a portfolio that invests in previous disclosed holding by Kacperczyk,Marcin and Sialm（2006）.Through a panel data model of 30 stock equity mutual funds in China,the study shows a positive relationship between fund returns and return gap of stock during bull market,but a negative relationship during bear market.I also find funds with better return gap tend to be those having smaller aggregate assets and more active investment styles.
出处
《中大管理研究》
2009年第2期93-106,共14页
China Management Studies
