我国封闭式基金生存偏差效应研究

An Analysis of Survivorship Bias Effect of Chinese Close-ended Funds

基金投资者一般根据基金绩效及其持续性来选择基金,这种投资策略有效的前提是基金绩效度量准确,而生存偏差效应却可能导致人们对基金绩效进行错误估计,忽略这种效应的基金投资策略可能无效。在Fama-French三因子模型和Carhart四因子模型的基础上,选取2000—2008年期间57只封闭式基金的数据,对中国封闭式基金的生存偏差效应问题进行考察。结果表明:中国封闭式基金存在显著的生存偏差效应,"小盘"和存续到期后大多选择"封转开"是导致生存偏差效应的主要原因,"生存基金"样本和绩效度量加权方法的选择对估计结果也有一定的影响。

Investors like to choose funds according to fund performance and its persistence, but this strategy is efficient only if the fund performance is rightly measured. Survivorship bias effect can make us wrongly estimate the fund performance, so this can make the above strategy inefficient. On the base of Fama-French Three-factor Model and Carhart Four-factor Model, this paper chooses the data of 57 Chinese close-ended funds from 2000 to 2008 to investigate survivorship bias effect. The results show that there exists a significant survivorship bias effect in close-ended funds markets and its main reason is small size and the expectation of ＂from closed - ended fund to open - ended fund＂. Different definition of ＂survivorship fund＂ and different weighted methods can lead different estimation of survivorship bias. This paper has an important significance for investors, fund corporations and monitors.