基于动态面板回归的基金业绩决定因素.pdfVIP

19 1 系 统 管 理 学 报 V ol. 19 N o. 1 20 10 2 J ournal o f System s M anagement Feb. 20 10 : 1005- 2542( 2010 01- 0077- 06 1 2 唐松莲 , 许友传 ( 1. , 200237; 2. , 200433 = 基于我国61 家股票型基金2004- 06~ 2008-0 3 的16 个季度面板数据, 使用 态面板回归模型对 数据进行了探索性建模, 研究了政策性资产配置和基金经理对基金业绩的贡献主要发现有: ¹ 政策性资 产配置与基金业绩之间的关系显著, 在控制其他因素的情况下, 基金资产配置能力提高 1% , 约能提高基金 业绩0. 8% ; º 基金经理的学历年龄从业时间和从业背景对基金业绩的贡献显著, 但贡献度不大; » 基金 业绩存在可能的/ 反转0现象, 反转周期估计半年 : 资产配置; 政策性资产配置; 基金经理; 基金业绩 : F 830. 39 : A Study on Fund Performance. s Determinants Based on Dynamic Panel Regression 1 2 TA N G S ong-lian , X U You-chuan ( 1. Schoo l of Bu siness, East China U niv ersit y o f Science and T echnolo gy, Shanghai 200237 , China; 2 . Co lleg e of F inancial Research, F udan U niv er sit y, Shanghai 2004 33, China =Abstract T he purpose of t his st udy is t o test w hether po licy asset allocation and fund manag ers help t o ex plain f und per for mance. We u se A r ellano and Bond ( 1991 dy namic panel regression to do t his based on the dat abase of 6 1 st ock funds in June 2004 to M arch 2008. T he m ajor finding s include: ( 1 po licy asset allo- cation significant ly af f ects f und per for mance, In t he cont rol of ot her f act ors, if t he abilit y of asset alloca- t ion incr eased 1 percent, t he f und per for mances can be improved abo ut 0. 8 per cent ; ( 2 fund managers charact er ist ic such as qualif icat io ns , age, employm ent t ime and