基于动态面板回归的基金业绩决定因素

Study on Fund Performance's Determinants Based on Dynamic Panel Regression

基于我国61家股票型基金2004-06~2008-03的16个季度面板数据,使用动态面板回归模型对数据进行了探索性建模,研究了政策性资产配置和基金经理对基金业绩的贡献。主要发现有：①政策性资产配置与基金业绩之间的关系显著,在控制其他因素的情况下,基金资产配置能力提高1%,约能提高基金业绩0.8%;②基金经理的学历、年龄、从业时间和从业背景对基金业绩的贡献显著,但贡献度不大;③基金业绩存在可能的＂反转＂现象,反转周期估计半年。

The purpose of this study is to test whether policy asset allocation and fund managers help to explain fund performance.We use Arellano and Bond（1991） dynamic panel regression to do this based on the database of 61 stock funds in June 2004 to March 2008.The major findings include：（1）policy asset allocation significantly affects fund performance,In the control of other factors,if the ability of asset allocation increased 1 percent,the fund performances can be improved about 0.8 percent;（2）fund managers characteristic such as qualifications,age,employment time and business background,significantly affect fund performance;（3）fund performance may exist ＂reversal＂ phenomenon in China,the cycle is about half a year.