| In 1998,the first five fund management companies in Chinese mainland were established.According to wind statistics,as of June 30,2020,the total number of funds has increased from 53 in 2001 to 6965,and the fund management scale has also increased from 81.803 billion yuan to 17762.950 billion yuan,which has increased nearly 216 times in 20 years,ranking the fifth in the world.With the popularity of the Internet,it has brought new vitality to the whole fund industry;At the same time,under the joint action of COVID-19,global currency release and asset shortage,the fund has gradually become an indispensable part of the allocation of assets by small and medium investors,which has also become the focus of public attention.However,compared with the mature market,the Chinese market is more special.The rapidly changing market style,the more irrational investors and the rapid evolution of market structure,the rapid training and promotion of fund managers and other employees have created a unique fund market in the world.The fund market has gradually moved from barbaric production to well ordered growth.At this important time,the research on China’s fund market is of great significance not only for daily investment,but also for providing the world with unique Chinese samples and China’s localization research.As far as the whole fund market is concerned,there are a variety of participants.According to their respective functions and roles,the most important participants of the fund include the fund manager,the fund investor,and the fund trustee.In China,most of the fund trustees are state-owned banks,which rarely involve specific fund investment behavior and decision-making.Therefore,in terms of investment decisions,fund managers and fund investors play the most important role.The fund manager is usually a fund management company established according to law.The company makes unified decisions and management,and the fund manager makes specific investment decisions.As far as the micro participants of funds are concerned,fund investors,fund management companies and fund managers form a complete closed loop.Fund investors purchase and redeem funds for related trading operations,and fund management companies hand over money to fund managers for management.The corporate culture of fund management companies and the investment ability of fund managers jointly determine the performance of funds,Fund investors determine whether to continue to invest according to fund performance,and fund management companies evaluate fund managers through fund performance.This paper focuses on the three micro participants of the fund.Starting from the fund investors,fund management companies and fund managers,this paper constructs a fund performance research framework based on these three perspectives.At the same time,combined with China’s unique situation,including irrational investors,entrusted investment of social security funds and rapid promotion and training of fund managers,This paper makes a study of localization and discusses the influence of the three main participants on the investment behavior and fund performance of fund managers.Firstly,from the perspective of fund investors,this paper studies the impact of fund flow on fund managers’ investment behavior and fund performance,that is,the motivation and consequences of this flow driven risk shifting behavior.This paper finds that:(1)there is a serious disposal effect in China’s fund investors,and the funds that have experienced a large amount of capital inflow tend to reduce their risk-taking degree.However,if the net inflow of funds occurs in funds with good performance in the past,the risk level of the fund will increase.(2)Fund managers tend to increase the risk by increasing turnover rate,increasing portfolio risk coefficient,increasing the proportion of equity positions and buying more winner stocks.(3)This kind of high-performance fund flow driven risk transfer will make the fund’s performance worsen in the next two quarters and recover only in the third quarter.(4)This kind of risk transfer behavior is more likely to occur in the fund with high abnormal inflow,good performance due to luck,small and relatively new.Secondly,from the perspective of fund management companies,this paper studies the impact of fund management companies on fund managers’ investment behavior and fund performance from the perspective of social security fund,which is with Chinese characteristics.We find that:(1)the entrusted social security fund has more excess returns than the similar mutual funds.(2)The excess return of social security fund may come from better timing ability and cross subsidy within the fund management company,which has nothing to do with the political connection.(3)After obtaining the qualification of social security management,the overall performance of the fund management company will decline,and the investment style will be similar to the social security funds in the same management company,in which there will be reverse transactions.Further analysis shows that those funds with poor performance and large management scale may be the providers of internal cross subsidy funds.(4)The management of Social Security Fund helps fund management companies to expand market share and gain more privileges,such as the establishment of new funds.Finally,from the perspective of fund managers,this paper describes the core competence of fund managers through their past research experience and studies the impact of analysts’ industry experience on fund managers’ investment preference and performance.This paper finds that:(1)fund managers will carry out over allocation in their own advantageous industries.This kind of over allocation is established no matter relative to the whole market,the whole fund industry or the same type of funds.At the same time,the holding time of stocks in advantageous industries will be longer.(2)After considering the position factor,the fund manager’s over allocation behavior for the advantageous industry can bring the fund excess return compared with other non advantageous industries.At the same time,the fund manager has stronger risk control ability in the advantageous industry.(3)In depth study found that fund managers have stronger stock selection ability and industry timing ability in the advantageous industries,which further confirmed the core competence formed by the advantageous industries and thus have relevant advantages.(4)In the final expansion study,it is generally confirmed that the fund manager’s continuous expansion of policy sensitivity and ability in the advantageous industry,which originated from the industry itself,is not the existence of private information.To sum up,this paper puts the micro participants including fund investors,fund management companies and fund managers into a unified research framework.It not only complements and perfects the relevant theories,but also combines the unique factors of China’s market and makes the characteristic innovation research which is different from other research,which provides a variety of empirical evidence and research angles for the world to study China’s fund market. |
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