China's Securities Investment Fund Tracery Behavior Empirical Research

Since the Efficient Market Theory was published in1970, there have been many empirical studies to test the efficiency of market and many studies have shown that there are a lot of anomalies in the market. Turn-of-the-month effect is one of the anomalies. Window dressing hypothesis, as one of the explanations of the turn-of-the-month effect, also becomes a hot research point.Window dressing consists of two aspects:manage of investment portfolio and manage of rate of return. This paper takes the last as research subject and uses the turn of period return to measure it. Based on the principle-agent theory and from the perspective of explicit incentive and implicit incentive, we examine the incentives of window dressing and study the following issues:First, do the investment funds manage their rate of return at the end of period? Second, which fund will manage their rate of return more seriously? Third, which stock will be manipulated by the fund managers?This paper draws the following conclusions:First, investment funds will manage their fund return at the end of year, but not at the end of quarter. As the number of managed funds increase, the fund management company will select one or two funds to window dress and not all. Second, the closed-end funds will manage their return at the end of year, but open-end funds will not; compared with the "ordinary fund", the lucky fund and dog fund will manage their return more seriously; A fund manage company always want to make their first fund to be the super fund, so they will manage their return at the end of year; compared with the middle-size fund, the large and small size fund show a more serious window dress effect; besides, the fund manage company will select the fund with high volatility to dress; Third, if a stock was held by many funds belongs to a fund manage company, its price would be pulled up at the end of year more seriously; a stock with higher liquidity, smaller free float market capitalization, higher rate of return and higher volatility will exhibit higher turn of period return.