基金经理风险偏好、投资风格与基金业绩——基于性别个人特征的视角

发布时间：2018-03-10 06:21

本文选题：基金经理个人特征　切入点：性别　出处：《投资研究》2014年05期 　论文类型：期刊论文

【摘要】：本文研究了中国女性与男性基金经理在个人特征、所在基金特征、风险偏好、实际投资风格以及业绩方面的差异。利用2006年到2011年中国开放式股票型基金经理的数据,本文发现总样本中女性基金经理相较男性基金经理年龄较大,上任前证券从业时间长并且拥有研究员经历的比例较高,女性基金经理拥有理工专业教育背景和毕业于名校的比例较低,但是拥有MBA学位和持有CFA、CPA等各类资格证书的比例较高。利用配对样本研究法针对每一位女性基金经理选取一位个人特征均类似的男性样本之后,我们发现与配对的男性基金经理相比,女性持有的投资组合市场风险水平相对较低,对市场风险的厌恶程度较高,但是男性与女性基金经理在实际投资风格方面没有显著的差别。综合考察多项长期业绩表现指标,包括调整了基金经理风险偏好和实际投资风格的四因子模型Alpha,我们发现女性基金经理与配对后的男性基金经理在业绩表现上差异不显著。
[Abstract]:This paper studies the differences between Chinese female and male fund managers in terms of their personal characteristics, their fund characteristics, their risk preferences, their actual investment styles and their performance, using data from 2006 to 2011 in China's open-end equity fund managers. This paper finds that the female fund managers are older than the male fund managers in the total sample, have a long time in the securities industry before taking up their jobs and have a higher proportion of researchers' experience. Women fund managers have a relatively low percentage of science and engineering education and graduate from prestigious schools, But the percentage of people with MBA degrees and CFA-CPA qualifications was higher. After a matched sample study was used to select a male sample with similar personal characteristics for each female fund manager, We found that compared with matched male fund managers, women held relatively lower market risk levels and higher risk aversion to market risk. However, there is no significant difference between male and female fund managers in terms of actual investment styles. Including adjusting the risk preference of fund managers and the actual investment style of the four-factor model Alpha. we find that there is no significant difference between female fund managers and matched male fund managers in performance performance.
【作者单位】：清华大学经济管理学院;清华大学经济管理学院金融系;
【分类号】：F832.51;F275

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