【作者】 吴涛；

【导师】 廖理；

【作者基本信息】 清华大学 ， 工商管理， 2004， 硕士

【摘要】 中国的基金管理行业自1998年起步,在大力以至超常规发展机构投资者,改善中国证券市场的投资者结构,扩大直接融资比重的政策支持下,和中国改革开放二十多年来积聚的巨大社会财富对专家理财的投资需求的强大推动下,证券投资基金经历了一个迅猛发展的时期,基金管理的资产从无到有,从小到大,到目前基金已经成为了证券市场上的最重要的机构投资者,展望未来,和发达国家相比,基金行业的发展空间仍非常巨大。伴随着基金管理行业的快速发展,基金经理的变更日益频繁,基金经理的频繁变动已经成为中国基金管理行业的明显特征。作为基金投资的关键人员,基金经理的变动,很有可能会带来基金行为特征的改变,研究这些改变,对基金投资人来讲,是一件很有意义的事情:在投资人的基金投资组合中,剔除那些发生了基金经理的不利变更的基金,增加那些发生了基金经理有利变更的基金,可以为基金投资人创造价值。本文以中国股票市场可以流通的全部封闭式证券投资基金为研究对象,选取2002年为事件发生的窗口期,以该年度发生的20件基金经理变更事件作为样本,研究事件发生前后基金风险水平的变化情况,证实了大多数基金的风险水平在事件后都发生了改变,在事件后大都提高了风险水平。在此基础上,本文利用Henriksson 和Merton的模型研究了基金选股能力和择时能力的变化情况,并比较了选股能力和择时能力的相对大小,以占基金超额收益较大比重的选股能力的变化为基准,研究二级市场上基金交易价格的变动情况,发现绝大多数基金的市场反应是与基金选股能力的变动情况是相符的,也是与市场的有效性相符的。更多还原

【Abstract】 The fund management industry commenced in 1998, and has experienced a rapidly growing period since then with the policy support in an effort to strongly even abnormally expand institutional investors, to improve the structure of investors in China security market, and to expand direct funding rate, and with the powerful push for professional asset managers to manage the gigantic wealth created by innovation and openness within these 20 years. The assets managed by funds have started from none, expanded from a little to a lot, until now the funds have become the most important institutional investors in the stock market. Seen at the viewpoint of future, compared with developed countries, the Chinese fund industry still has a very huge space to develop.Together with the rapid growth of fund sector, the changes of managers happened more and more frequently. The frequent changes of fund managers have turn into obvious phenomena in China fund industry. As the decisive persons in investment, the changes of fund managers are likely to bring about shifts of fund behavior attribute. To study these shifts is meaningful to our fund investors: they may earn profit by dropping out those whose fund managers have changed unfavorably and buy in those whose fund managers have changed favorably.This paper aimed at the whole sum of the closed-end securities investment funds listed in Chinese stock market, selected the year of 2002 as the event window period, and took the 20 events of fund manager changes happened in that year as samples. The paper studied the fund risk level shift before and after the events, and showed that the majority had shifted their risk levels, and a majority of them had raised their risk levels. On the basis of that, this paper studied the fund’s security picking capability and market timing capability with model from Henriksson and Merton, and compared them in terms of relative importance. Finally this paper <WP=5>selected the security picking capability, which was more important than market timing capability in measurement of contribution to abnormal returns of funds, as a benchmark to study the fund price changes in the secondary market. It was found that the majority of market responses of fund prices accorded with security picking capability of funds, hence accorded with market efficiency hypothesis.更多还原