Open-end Fund Holdings Of Expected Stock Returns

Open-end fund is the fund shares are not fixed, fund shares may be carried out in the time and place of the fund contract to purchase or redemption. According to the different investments, the open-end fund can be divided into the categories of stock funds, bond funds, currency funds, mixed funds. The development of open-end fund has a great influence on stock markets. With the rising number of holdings and the market value of the open-end fund, stock market supply and demand is changing, Open-end fund holdings may affect the stock price and return.In this paper, the impact of open-ended fund's holdings on expected stock returns is studied.Open-end fund shares held in December 2003 to June 2011 is analyzed with cross-sectional multiple linear regression, the results show that after the control variables, Open-end fund holdings have a significant positive effect on the expected return of the stock; Further studies showed that, in the short term, open-end fund stock selection ability, causing the impact of open-ended fund's holdings on expected stock returns. In the long term, open-end fund demand for stocks is caused by the impact of open-ended fund's holdings on expected stock returns. The impact of open-ended fund's holdings on expected stock returns are studied in different sample period, after the split share structure reform, open-end funds holding have more significant impact on the expected return, the impact of equity open-ended fund's holdings on expected stock return is more significant than overall open-end fund's holdings.In this paper, the open-end fund's holdings is seleted as an intermediate variable, stock characteristics is seleted as the common variable of expected stock returns and Open-end fund shares, the impact of open-ended fund's holdings on expected stock returns are studied the structural equation model. The results show that stock characteristic have a positive impact on the stock expected return, open-end fund holdings have a significant positive effect on the expected return of the stock, stock characteristic have a positive Negative impact on open-end fund holdings. This resule verifies the positive impact of open-end funds holding on the stock expected return, there is no clear preference for the characteristics of open-end fund on the stock.