基金经理的投资经验、交易行为和股市泡沫.pdfVIP

研究领域：资本市场风险管理 1 基金经理的投资经验、交易行为与股市泡沫 潘越 a 戴亦一 b 陈梅婷 a (a. 厦门大学经济学院金融系；b. 厦门大学管理学院) 摘要：本文以我国股市最新一轮泡沫周期为研究背景，实证研究在不同的泡沫阶段，基金经理 的投资经验对其交易行为及基金业绩的影响结果，以考察基金经理交易行为的市场稳定功能。本文 的研究发现：（1）在股市狂热时年轻的基金经理不断增持泡沫股票，但经验丰富的基金经理却相当 理性，投资泡沫股的羊群行为并不显著；（2）年轻的基金经理表现出鲜明的“追涨杀跌”特征，即 根据前期收益对泡沫股票组合进行相应的正向调整，但经验丰富的基金经理这种行为并不明显；（3） 在股市泡沫期，年轻基金经理之所以偏好在组合中配置泡沫股，是因为泡沫股对提升基金收益作用 显著，由于持有较多的泡沫股，年轻基金经理的投资表现要强于经验丰富的基金经理，但这种情况 在股市泡沫破灭之后有显著变化。以上结论证实了，缺乏经验的机构投资者对股市泡沫起到推波助 澜的作用，但基金经理如果具有丰富的投资经验，则可抑制其行为的负面效应。 关键词：基金经理；投资经验；交易行为；股市泡沫 Investment Experience, Trading Behavior of Fund Manager and Stock Bubble Abstract: In this paper, we study the trading behavior of experienced and inexperienced mutual fund managers during the latest the finance market bubble. Using age as a proxy for managers investment experience, we find that both in the bubble period and around the peak of the bubble period, mutual funds run by younger managers are more heavily invested in bubble stocks, relative to their style benchmarks, than their older colleagues. Further more, young managers, but not old managers, exhibit trend-chasing behavior in their bubble stock investments. Young managers have a positive effect on the returns. In the bubble period, the younger fund managers invest more in the bubble stocks, then during the bubble period they should exhibit better performance. But the situation changes in the burst period. All results are in line with the behavior of inexperienced investors in the finance market bubble. The negative influence should be weakened if the fund is run by the older investors. Keywords: Fund Manager ；Investment Experience；Trading Behavior；Stock Bubble. 一、 引言 投机泡沫（Speculati