基金特征、管理特性与基金绩效关系的实证研究

通过一个多元固定影响模型对基金绩效的影响因素——基金特征、管理特性进行了分析。研究发现,在列出的7大类22个影响因素中,上一年度的基金超额收益、折价率、单位净资产、基金经理从业经历以及市净率是与基金绩效最密切相关的因素。前3个因素给基金绩效带来显著的积极影响,后2个因素与基金绩效有显著的负相关性。当投资者进行投资决策时,除了上述5个因素外,还要注意基金年龄和周转率,其会对基金绩效产生消极影响。此外,基金绩效在样本观察期内也表现出了明显的持续性。

An Empirical Research: Relation of Fund Performance to Fund Characteristics and Managerial Attributes

The fund-specific characteristics and managerial attributes influencing fund performance were analyzed through a multiple factors fixed-effects model. The result showed that among 22 factors of 7 listed kinds, the performance, unit net asset and devaluation rate of last year impacted on the fund performance positively and remarkablely and the working experience of fund managers and P/B did on the performance negatively. Furthermore, fund age and turnover rate affected also the fund performance negatively. Finally, the fund performance exhibited significant persistence during the e-valuation period.