摘要
本文选取上海与深圳两个证券市场2004年1月至2007年3月共52只开放式基金及其重仓持有的126支股票为研究对象,考察中国开放式基金经理惯性投资行为的特征及获利成因。研究表明,中国开放式基金经理大多倾向于采取惯性投资策略。并且通过比较分析发现,开放式基金经理对个股特征的信息反应不足,对相对惯性反应过度。本文从开放式基金的委托代理关系出发,基于经济学理性人的假设,为基金经理采取惯性投资行为及惯性策略的获利成因提供了理论解释。
Through an analysis of 51 open--end funds as well as 126 stocks heavily held by these funds from December 2004 to March 2007 on Shanghai and Shenzhen Stock Exchanges, this paper investigates the momentum behavior and performance of open-- end fund managers in China and tries to explain the source of profitability of the momentum trading strategy. We find that most of the open--end fund managers in China tend to adopt the momentum trading strategy, which buys stocks that have performed well in the past and sells stocks that have performed poorly in the past. We find that open--end fund manager tends to under--react to firm--specific information, while overreact to relative return momentum. Based on the foundational assumption in economics that people are rational, we offer an agency--based explanation to support the economic rationale for momentum in return.
出处
《中国管理科学》
CSSCI
2008年第1期32-41,共10页
Chinese Journal of Management Science
基金
国家社会科学基金重点资助项目(07AJL005)
全国高校青年教师教学科研奖励基金资助项目(教人司2002[123])
教育部博士点专项科研基金资助项目(20070532091)
关键词
开放式基金
惯性
投资行为
open--end fund
momentum
trading behavior
