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The Validity of Unobserved Actions of Open-End Fund Managers in China

Author: DuanNiNi
Tutor: ZhuHongQuan
School: Southwest Jiaotong University
Course: Accounting
Keywords: open-fund fund managers investment behavior return gap
CLC: F832.51
Type: Master's thesis
Year: 2009
Downloads: 8
Quote: 0
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Abstract


With the development of the Fund, the measurement of Fund’s performance and the assessment of the ability of the fund managers becomes the topic of great concern to the market, investors and researchers. In this thesis, based on the existing theory of research methods of the measurement of Fund’s performance and the assessment of management capabilities of the fund managers, we put forward our own research methods:through constructing the return gap-the difference between Fund’s net capital gains and its portfolio income, we analyse the opened-fund managers in the efforts of its impact on fund performance in China’s stock market.First of all, using the capital asset pricing model (CAPM) and Fama-French three-factor model we make statistical analysis for the return gap of samples to explore the impact of the return gap by the market factor, the value factor and the scale factor and further study in the continuity and predictability of the return gap.Then, through introducing the rate of buying stocks, selling stocks, bond trading volume and the total trading volume of securities over a period of time, we explore the impact of the managers of the efforts to the performance of the Fund; Subsequently, further analysis in the influencing factors of the different market conditions and portfolio composition is made.Concluded in 2004 to 2007, on the average, the return gap of the samples, was significantly greater than zero, indicating that the efforts of fund managers, in general, increase revenue for the fund investors. If the investors simulate the portfolio of Fund to invest in stocks, in the bear market, their average return is less than the Fund’s income, but in a bull market, significantly greater than the Fund’s income, the difference to the balanced funds was particularly evident. At the same time, fund type and the size have the significant impact on fund returns.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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