基金经理个人特征对基金绩效影响及其机理研究

发布时间：2018-06-02 01:48

本文选题：基金经理 + 个人特征　；参考：《湖南大学》2015年硕士论文

【摘要】：目前,我国关于基金的研究主要集中于评估基金的业绩表现,基于基金经理的视角进行的研究还比较少,实际上基金经理对基金享有直接控制权,他们决定着基金的投资策略,对基金的重要性无可置疑。基金经理的能力对他们所管理基金的绩效有着重要的影响,所以加强对基金经理的关注,更多地对反映基金经理能力的各方面因素进行研究是非常有意义的。本文基于国内外有关基金经理个人特征和基金绩效相关性的研究成果,采用横截面回归分析的方法对2006年、2007年以及2008年中国基金市场的数据进行了实证研究。通过引入反映基金经理行为因素的投资风格变量,探索了基金经理个人特征对基金绩效的影响机理,同时通过将牛市和熊市的样本进行分离,对不同的市场行情下个人特征与基金绩效之间的相关关系进行了分析比较,最后将基金极端业绩分布引入模型,对研究进行了拓展。研究结果表明:性别、硕士学历对基金绩效的影响在一定程度上可以通过换手率、持股集中度、行业集中度等投资风格变量来进行传递;在不同的市场行情下,基金经理的个人特征及对基金绩效的影响表现出不少差异,在牛市中,硕士学历对基金风险调整后收益以及基金风险有着显著的负影响,基金经理管理基金的数量对基金风险的影响显著为负,而在熊市中,这些影响并不显著,而从业时间在两种行情下对风险调整后收益都施加着显著的正影响;无论在牛市还是熊市中,硕士学历都显著地降低了基金经理所管理的基金进入业绩排名前10%的可能性,任期在对基金进入业绩排名后10%有着显著的正影响,而从业时间能够降低基金进入业绩排名后10%的概率。
[Abstract]:At present, the research on fund in our country mainly focuses on evaluating the performance of the fund, but the research based on the perspective of fund manager is relatively few. In fact, fund manager has direct control over the fund, and they decide the investment strategy of the fund. There is no doubt about the importance of the fund. The ability of fund managers has an important impact on the performance of the funds they manage, so it is very meaningful to pay more attention to the fund managers and to study the factors that reflect the ability of the fund managers. Based on the research results of the correlation between fund managers' personal characteristics and fund performance at home and abroad, this paper makes an empirical study on the data of Chinese fund market in 2006, 2007 and 2008 by cross-section regression analysis. By introducing investment style variables that reflect the behavioral factors of fund managers, this paper explores the influence mechanism of individual characteristics of fund managers on fund performance, and at the same time, separates the samples of bull market and bear market. This paper analyzes and compares the correlation between individual characteristics and fund performance under different market conditions, and finally introduces the extreme performance distribution of funds into the model to expand the research. The results show that the influence of gender and master's degree on fund performance can be transferred to a certain extent by investment style variables such as turnover rate, shareholding concentration, industry concentration, etc. The personal characteristics of fund managers and their impact on fund performance show many differences. In the bull market, the master's degree has a significant negative impact on the fund risk adjusted income and fund risk. The number of funds managed by fund managers has a negative impact on fund risk, but in bear market, these effects are not significant, and the time of employment exerts a significant positive impact on the risk-adjusted returns in both markets. In both bull and bear markets, master's degrees significantly reduced the likelihood that funds managed by fund managers would make the top 10 percent of their performance, and tenure had a significant positive impact on the fund's entry into the top 10 percent. But the employment time can reduce the fund to enter the performance rank the probability 10%.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2015
【分类号】：F832.51

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