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Study Of Influence On Fund Behavior Attribute From Fund Manager Change

Posted on:2005-11-18Degree:MasterType:Thesis
Country:ChinaCandidate:T WuFull Text:PDF
GTID:2156360152467797Subject:Business Administration
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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 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.
Keywords/Search Tags:Fund management change, Fund risk level, Security picking and Market timing, Market efficiency hypothesis
PDF Full Text Request
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