基金规模对基金投资行为的影响研究+文献综述
Title The Effect of Size on Mutual Fund Investment Behavior:
Evidence from Chinese Stock Open-end Fund
Abstract
In this paper, with the sample data of the stock open-end fund from 2004 to 2011 in
China, the effect of size on mutual fund behavior and fund family behavior is studied
and the effect of persification on adjusted return is examined by using multiple linear
regression analysis and combination analysis. The empirical results indicate that
managers prefer to scale up their existing investments as the fund grows, but fearing the
liquidity constraints, they have to increase the number of investments in their portfolio;
large funds and small-cap funds persify more quickly; Fund in small family persify
slowly and the new funds may hold the same stocks with their existing siblings. Funds
with many siblings persify less rapidly as they grow, suggesting that the fund family
may influence a fund's portfolio strategy; and the relationship between persification
and return are not significant.
Keywords Size Holding share width Holding share depth Fund family
目次
1 引言 .. 1
1.1 研究背景和意义 .. 1
1.2 文献综述 .. 2
1.3 研究方法及创新 .. 5
1.4 本文主要研究内容 . 5
2 实证设计 6
2.1 研究假设 .. 6
2.2 数据来源及描述性统计 .. 7
2.3 变量说明与模型设定 8
2.3.1 变量说明 .. 8
2.3.2 模型设定 10
3 实证结果及分析 . 11
3.1 个体基金规模对投资行为的影响 .. 11
3.2 基金家族规模对投资行为的影响 .. 16
3.3 持股宽度对基金收益率的影响 19
4结论与展望 20
4.1 结论 .. 20
4.2 不足之处及未来展望 . 21
致谢 22
参考文献 . 23
附录 25
1 引言
1.1 研究背景和意义
开放式基金在国外又称共同基金，是指基金发起人在设立基金时，基金份额
总规模不固定，可视投资者的需求，随时向投资者出售基金份额，并可应投资者
要求赎回发行在外的基金份额的一种运作方式。投资者既可以通过基金销售机构
购买基金使基金资产和规模由此相应增加，也可以将所持有的基金份额赎回并收
回现金使得基金资产和规模相应减少。
在欧美等国外市场，基金已逐步取得了与传统三大金融产业——银行业、证
券业、保险业并驾齐驱的地位，成为一支不可忽视的金融力量。虽然我国基金行