中国私募证券基金管理者特征与绩效影响

China private security fund manager characteristics and performance influence

私募证券基金在我国证券市场中的规模逐渐壮大,是提高直接融资比例和引导民间资本的可能途径。但是目前相关的量化研究较少,无法为金融监管与制度设计提供行为基础。本文以私募证券基金管理者人力资本特征作为主要切入点,建立包含组织制度因素和管理者特征差异的多因素模型来考察投资行为倾向、风险特征的综合效果。主要的发现是组织制度因素在市场环境整体表现中有助动效应以及基金管理者人力资本特征与投资绩效有显著关系。这些发现可以为面向新型金融形态的金融监管体系设计提供决策依据。

Private securities fund is one of most im- portant institutional investors in securities market but ignored by scholars in China. This paper takes trust investment plan as research object with the per- spective of fund manager＇s human capital feature. It uses multi-factor model to test effects of fund manag- er＇s feature and institutional constrain on securities private fund performance. The results show that secu- rities private funds have weak security selection a- bility and better timing ability. Trust company＇s ef- fect on performance of private fund is related to per- formance of whole securities market, Fund managen pro- fessional background has strong effect on performance of private fund. These findings may contribute to the building of regulatory system for new financial indus- try.