经济波动与基金投资策略粘性

发布时间：2018-02-22 10:23

本文关键词： 策略粘性经济波动择时能力选股能力　出处：《财经研究》2017年08期 　论文类型：期刊论文

【摘要】：大量国内外文献研究了基金投资能力,但很少从经济周期视角研究基金投资策略。文章首先从选股和择时两个维度检验了我国开放式基金投资策略是否存在周期性转换,然后分析了不同投资策略的相对绩效与投资者偏好。研究表明:第一,基金经理确实存在显著的选股与择时能力。从整个行业看,基金的择时与选股能力存在周期性转换,其中择时能力在经济紧缩期更突出,而选股能力在经济扩张期更突出。第二,个体基金存在显著的投资策略粘性,而不存在明显的周期性转换,中国市场上择时与选股两种能力的周期性转换并不能带来更好的基金收益。第三,行业层面的周期性源自个体基金两类不同的投资策略:第一类投资策略在经济扩张期的选股能力和择时能力都强于其他基金,而在经济紧缩期则都弱于其他基金,采用这种投资策略的基金更关注其在经济扩张期的投资表现;第二类投资策略则相反,采用这种投资策略的基金更关注其在经济紧缩期的投资表现。前者具有高收益、高风险的特征,而后者则表现为低收益、低风险。文章的研究不仅发现了中国基金投资行为的新特征,还为投资者选择基金提供了投资决策建议。
[Abstract]:A large number of domestic and foreign literatures have studied the fund investment ability, but seldom studied the fund investment strategy from the angle of economic cycle. Firstly, this paper examines whether there is a periodic transformation of the open-end fund investment strategy in China from the two dimensions of stock selection and timing. Then, the relative performance and investor preference of different investment strategies are analyzed. The results show that: first, fund managers do have significant stock selection and timing ability. Among them, the timing ability is more prominent in the period of economic contraction, and the ability of stock selection is more prominent in the period of economic expansion. Second, individual funds have significant stickiness of investment strategy, but there is no obvious cyclical transformation. The cyclical conversion of timing and stock selections in the Chinese market does not bring better fund returns. Third, The periodicity at the industry level stems from two different types of investment strategies for individual funds: the first type of investment strategy is stronger in stock selection and timing in times of economic expansion than in other funds, and weaker than other funds in times of economic contraction. Funds that adopt this investment strategy are more concerned with their investment performance during periods of economic expansion, while those with such strategies, on the contrary, are more concerned with their performance during periods of economic contraction. The former has high returns. The research of this paper not only finds out the new characteristics of Chinese fund investment behavior, but also provides investment decision advice for investors to choose funds.
【作者单位】：上海财经大学经济学院;
【基金】：上海市哲学社会科学规划课题(2015110470)
【分类号】：F124.8;F832.51

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