摘要
本文探讨了投资组合的行业集中度与基金业绩之间的关系。采用Kacperczyk等的方法测量各基金的投资组合在13个行业中的资产配置情况,我们发现基金投资组合的行业集中度与基金业绩之间存在显著的负向关系,这说明行业集中度更高的基金业绩落后于那些实行分散化投资的基金。最后,不同子样本期间的考察表明结论是稳健的。因此,我们建议基金经理人在执行更为集中的行业投资策略时,应该保持谨慎的态度。
This paper gives an empirical test on the institutional investor holding shares and the information delay in Chinese stock market.In this paper,we study the relation between the industry concentration and the performance of funds in Chinese stock market.We measure the industry concentration in 13 industries by using industry concentration index（ICI） which was advocated by Kacperczyk et al..We find that the industry concentration can＇t significantly increase the performance of funds in quarterly data.Instead,we find that there exist negative relations between the industry concentration and the performance of funds.We confirm the robustness of our results with split the sample period into two different sub sample period.
出处
《管理评论》
CSSCI
北大核心
2010年第4期17-25,86,共10页
Management Review
基金
国家自然科学基金项目(70803013
70703024)
教育部人文社会科学研究项目(09YJC790267)
关键词
共同基金
行业集中度
业绩
mutual fund
industry concentration
performance
