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中国管理科学

中国管理科学 ›› 2008, Vol. 16 ›› Issue (1): 32-41.

• 论文 • 上一篇    下一篇

开放式基金经理惯性投资行为研究

谢赤1,2, 张太原1, 禹湘1,2   

  1. 1. 湖南大学工商管理学院 湖南长沙410082;
    2. 湖南大学金融与投资管理研究中心 湖南长沙410082
  • 收稿日期:2007-09-10 修回日期:2008-01-22 出版日期:2008-02-28 发布日期:2008-02-28
  • 作者简介:谢赤(1963- ),男(汉族),湖南株洲人,湖南大学工商管理学院教授,博士生导师,研究方向:金融工程与金融管理1
  • 基金资助:

    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)

A Study on Open-End Fund Managers’ Momentum Trading Behavior

XIE Chi1,2, ZANG Tai-yuan1, YU Xiang1,2   

  1. 1.College of Business Management, Hunan University, Changsha 410082, China;
    2. Center of Finance and Investment Management, Hunan University, Changsha 410082, China
  • Received:2007-09-10 Revised:2008-01-22 Online:2008-02-28 Published:2008-02-28

PDF (PC)

1300

被引次数

36

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。

关键词: 开放式基金, 惯性, 投资行为

Abstract: 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.

Key words: open-end fund, momentum, trading behavior

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