An Empirical Study On Influencing Factors Of Securities Investment Funds’ Performance

After developing several years, the varieties of market transactions are maturing gradually. The structure, size and investor groups of market are becoming increasingly stronger in global capital markets. In our country, the security market develops rapidly. Especially, the security investment fund is becoming an important force in the capital markets with an extraordinary speed. The number of issued funds, the size of fund-raising and the number of investors have experienced a tremendous growth since2005in China. According to a survey of Security Association of China, we find that individual investors are the most important investors on the asset size of fund and in terms of quantity. Therefore, from the perspective of investors, what affect the performance of funds, which factors become important consideration when investors want to choose funds to invest, whether the behavior of investors’fund’s investment is rational, and so on. The study and answer to these questions are important theoretical significance and practical significance.We find that the paper on fund have been more, which made by domestic and foreign scholars, regulators and industries, according to the needs of their own work. What’s more, the topics of all the papers basically revolve around how to accurate assessment of fund’s earnings, the level of risk and the stock selection and timing ability. The most researchs pay their attention to the three mdexs and the modified models of the fund’s absolute return and risk adjusted returns. The results are the same with Momingstar rating results essentially. However, why do different performance different funds, what is the root cause, and what affect the performance of the fund in this market, and so on. All of these have been studied lessly. In this paper, from the perspective of investors, we want to know which factors will be considered to affect the performance of funds’when investors choose funds to invest, and want to know wether these factors could play a guiding role on investment behavior of investors. Based on these results, we could get a conclusion that whether fund invertors is rational.The main contents and viewpoints:This article is divided into seven chapters, the main contents are as follows:Chapter one is introduction. This chapter states the background and reasons for the author to choose the topic of this article, as well as the framework, methods and date sources of this article.Chapter two is a literature review of this article. The key points are summarized on macroeconomic variables, the stock market, fund size and fund managers. At the same time, the author makes a comprehensive evaluation of relevant literature and pointes out the deficiencies of the existing literature.Chapter three analyzes the relationship between fund performance and macoeconomics. In this chapter, the methors of factor analysis and VAR model are employed in our country’s actual data.Chapter four analyzes the relationship between China’s stock market and fund performance empirically. The models of multi-factor anlysis and VAR are used in this chapter. Analysis results show that stock market and fund performance existence a long-time cointegration.Chapter five analyzes the relationship between fund managers’characteristics and funds’performance. In this chapter the author uses regression model to demonstrate the impact of personal characteristics of fund managers on fund performance, and then compares the difference of performance under centralized management and decentralized management. At last, the author funds that frequent changing fund manager could impact its performance——the performance will be worse than before.Chapter six analyzes empirically the relationship between fund’s size, performance and investment behavior, based on the panal date. At first, the author finds that the larger the fund size, the worse fund performance. And then, the author studies deeply what causes this change, and finds that firstly funds maneger will increase ownership shares, and then they will increase the number of stocks in the portfolio to diversify the investment. At the same time, the funds with high TNA may diversify investment, and large cap funds may increase it’s holding, reponse to size changing.Chapter seven is conclusion.This chapter summarizes the main conclusion of the study and look ahead the follow-up research about this article.The main innovations of this article:First, this article carries out an empirical analysis on the assumptions that macroeconomic variables affect the fund performance. For most of all, it is a simple and obvious problems that macroeconomic conditions affect the performance of fund. So the empirical study on relationship between them are rare. In order to giving more theory and dating explaintion to this phenomenon for investor, I make an empirical and theoretical analysis.Second, this paper focuses on that security market affects fund performance and empirically explore the mechanism of them, based on the analysis of relationship between security market and fund performance. The existing literatures pay their attention to the mechanism fund affect the securities market, especially whether fund play a stabilizing role to security market, made by domestic and foreign scholars. But few empirical researchs are made to analyze stock affect fund performance, perhaps the mechanism of this is intuitive, and the impact is taken for granted. So this paper wants to give a empirical analysis on this intuitive phenomenon.Third, based on a simple analysis on relationship between fund size and it’s performance, this article deeply analyzes scale changing how to affect funds’investment behavior, and further ananlysis that family size changes affect the performance of fund.Based on existing literatures, most papers only pay attention to the relationship between size and performance, but few literatures are related to the mechanism behind the phenomenon. This article examines it.Major shortcomings of this paper:Due to data availability constraints, the sample period in this paper is short, and the number of sample is limited. In this paper, the sample period is from January2006to December2010. What’s more, the author excluses some date, in order to ensure date integrity. And then the selected factors affecting the performance of fund is limited in this paper. The factors considered in the course of fund inverstment would be more, much more than four factors in this paper. Because this article space is limited, other factors cann’t be induced.