我国基金投资风格及其成因.pdfVIP

- I - Abstract Fund investment style differences reflect that, different funds are founded to attract specific groups of investors, thereby understanding the funds investment styles and realizing the funds investment risks has great practical significance. This paper selects top 6 funds management companies in market value of China (with 44 funds in total), introduces securities investment fund data from January 1999 to December 2005, takes return-based style analysis model similar to Western scholar Sharpe (1992), explores the actual investment style in sample period, analyzes the styles and changes of securities investment funds in China, and investigates the style formations and their change conditions sequentially. We conclude that, the formations and changes of fund investment style are primarily caused by Chinas stock market and fund management companies. The main reason for this is the policy market feature in China, and the funds under the same management company share the research results, information and the overall investment strategy. In addition, there are other important reasons, the fund investors and fund managers disaccord on the interests of investment objectives; the funds are lack of concept to keep the compliance strictly; the fund managers take reputation-based Herd Behaviors for the career concerns to avoid their own credibility risks. Key wordsFund,Investment Style, Return-based Style Analysis - II - I A B S T R A C T II 1 1 1.1 1 1.2 3 1.3 3 2 5 2.1 5 2.1.1