我国基金经理更换对基金绩效影响效应的实证研究

发布时间：2018-04-14 22:24

本文选题：开放式基金 + 基金经理　；参考：《西安电子科技大学》2012年硕士论文

【摘要】：随着基金的快速发展,基金经理频繁更换日渐成为我国基金行业的一个显著特点。作为基金的管理者,基金经理的频繁更换可能会影响基金的绩效,损害投资者的利益。因此研究基金经理更换对基金绩效的影响,不但具有重要的理论意义,还能为投资者保护自己的利益和基金管理公司调整基金经理有一定的帮助,具有重要的现实意义。本文以开放式股票型基金和混合型基金为研究对象,以更换前一年和更换后一年为时间窗,使用SPSS17.0配对样本t检验和回归分析法对基金经理更换的绩效影响效应进行实证分析。研究结果表明,在超额收益率和詹森指数方面,正样本基金经理更换对业绩有负影响。同时,正样本基金经理更换对总风险和非系统风险有显著正影响,对基金选股能力有显著负影响,对基金择时能力无显著影响。负样本基金经理更换对基金业绩有显著正影响,对总风险无显著影响。基金经理的证券从业时间和CFA\FRM\CPA等资质对基金择时选股的能力有显著负影响。总的来说,对于之前业绩不好的基金,更换基金经理起到了改善基金的业绩。但对于之前业绩优异的基金,更换基金经理致使基金业绩变差。这表明我国基金管理公司的基金经理调整机制在基金业绩较差时有一定的效果。投资者应理性的看待基金经理更换事件；基金管理公司需进一步完善基金经理更换机制,全面合理的评估基金经理的资产管理能力；证券监督部门应规范基金经理人才市场,督促基金公司建立合理的人才培养任用机制,限制基金经理的频繁更换。
[Abstract]:With the rapid development of funds, the frequent exchange of fund managers has become a remarkable feature of fund industry in China.As the manager of the fund, the frequent turnover of the fund manager may affect the performance of the fund and damage the interests of the investors.Therefore, it is not only of great theoretical significance to study the influence of fund manager replacement on fund performance, but also has certain help for investors to protect their own interests and fund management company to adjust fund manager, which has important practical significance.This paper takes the open-end stock fund and the mixed fund as the research object, and takes the previous year and one year after the replacement as the time window, and uses the SPSS17.0 matched sample t test and regression analysis to analyze the effect of fund manager turnover on the performance.The results show that the positive change of fund managers has a negative impact on performance in terms of excess yield and Jensen index.At the same time, positive change of fund manager has significant positive influence on total risk and non-systematic risk, has significant negative effect on fund stock selection ability, and has no significant effect on fund timing ability.The change of fund manager in negative sample has significant positive effect on fund performance, but no significant effect on total risk.The performance of fund manager and CFA\ FRM\ CPA have a significant negative effect on the ability of stock selection.Overall, for previously underperforming funds, the replacement of fund managers to improve the performance of the fund.But for the previous excellent performance of the fund, the replacement of fund managers resulting in poor performance of the fund.This indicates that the fund manager adjustment mechanism of fund management company in our country has certain effect when the fund performance is poor.Investors should treat the event of fund manager change rationally, fund management company should further perfect fund manager replacement mechanism, evaluate fund manager's asset management ability in an all-round and reasonable way, securities supervision department should standardize fund manager talent market,To urge fund companies to establish a reasonable talent training and appointment mechanism to limit the frequent turnover of fund managers.
【学位授予单位】：西安电子科技大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

【参考文献】