我国证券投资基金持股特征的实证研究

The Empirical Study on Stock Characteristics of Investment Funds Holdings

本文使用2002年基金年报中的投资组合数据对2002年末期基金的持股特征进行了实证研究。研究表明,基金的持股比重与股票的每股收益、标准差、股票价格、流通市值、换手率和上市年龄等特征变量具有显著的相关性,通过分析进一步发现基金在2002年末市场低迷的时期十分注重上市公司的业绩、股票的波动性和流动性风险,并且实施价值型投资策略。本文的其它研究结果还表明基金具有较好的识别、挖掘股票价值以及调整投资组合的能力。

This paper uses Investment funds' portfolio in 2002 Annual Reports to empirical study characteristics of investment funds holding. We find that the level of investment funds ownership is significantly related to earnings per share, standard deviation, stock price, market value, turnover and listing ages. These results show that stock characteristics have important effect on investment funds' investment decisions. Further analyses show that investment funds pay attention to listed companies' performance, stock volatility and liquidity risk, and implement value strategies at end of 2002. The other results also show that investment funds have good ability to identity and find stock value, and to adjust portfolio.