我国基金经理更换与基金行为特征的实证分析论文.doc

我国基金经理更换与基金行为特征的实证分析 摘 要 本文旨在通过实证数据研究基金经理更换的原因和后果。采用事件 研究法，首先给出了基金经理更换事件的描述统计分析,并从中提炼了更 换原因的假设，进而通过实证研究修正这一假设。最后选择描述基金投 资能力的量化指标进行了更换前后的差异性分析。 本文的主要结论有：（1）处于同一时间窗口下的所有基金中，被分 在优秀组和后进组的基金发生更换事件的可能性显著高于普通组的基 金。（2）基金表现好，一般将老经理提升为高级管理者或转任为其他基 金的经理，基金公司倾向于从自身队伍中选择合适人选；基金表现差， 更换往往是将老经理解职或降职，更多地从“体系外”挖掘新经理人选。 （3）优秀组的基金发生基金经理更换后风险调整的收益能力显著降低， 而后进组的基金这一指标显著提高。（4）新经理上任时，对前任基金经 理的证券仓位进行较大的调整，以实践自身的投资理念；在基金业绩较 差时，基金经理往往试图通过增加交易频率来提高投资收益。 本文基本完成了从直观的描述统计中得出一般规律，并从规律中提 炼假设，再用实际数据检验假设成果，并修正得出规律性的结论的研究 分析过程。对基金经理更换的原因和后果都得出了可靠度较高的结论， 另外本文的原始数据收集工作也是扎实、完整的。 关键词 基金经理，时间窗口，投资行为量化指标 五 AN EMPIRICAL STUDY ON MUTUAL FUND MANAGEMENT TURNOVER AND INVESTMENT BEHAVIOR－EVIDENCE FROM CHINA ABSTRACT This paper aimed on the research of the causes and consequences of mutual fund management turnover by an empirical study with China mutual fund data. By applying event study method, the paper first provided a descriptive statistic analysis on all the turnover events collected. An assumption was drawn from this analysis and then proved/revised by empirical data. Lastly, several quantitative parameters were selected to evaluate the investment behavior of mutual fund managers. T tests were applied with empirical samples to see whether these parameters are significantly changed after management turnover. Main conclusions are: (1) under the same time window, over performers and under performers are more likely to experience turnover than normal managers; (2) for over performers, the old managers are usually promoted, and new managers usually come from the same company with less experience and lower ranking, while for under performers, old guys are often fired and new comers are more likely from outside sources; (3) after the turnover, the risk adjusted return dropped (raised) significantly for over performers (under performers); (4) new manager tends to increase trading volume to adjust the fund’s position by applying her own idea, when the fund under performs, volume is usually increased to win back the