The Empirical Research On The Persistence Of Open-end Stock Fund Investment Performance In China

Since the born of two open-ended stock fund---Huaan innovation and Chinagrowth in2001, our country’s open-end fund market developed fast and much morefunds appeared in the market. As a relatively safe method, open-ended fund waschoosing by the investors. Because the investors face a variety of funds, they arehesitating how to choose funds to invest. When we chose the fund, we would focus onthe historical performance of the fund. Then we believed that the fund could get a goodperformance in the future if it had a good historical performance. This is the foundationof persistent problem.If the stock fund investment performance has the persistence,investors can buy the funds which have a good performance before to obtain extra profits,without spending a lot of time and energy to choose the funds. Whether the stock fundhas the persistence can be used to measure fund manager’s investment level and fundmanager’s professional ability, then have the investment decisions changed. In addition,fund performance persistence can help people grasp the operation characteristics of fundmarket, then test the effectiveness of China’s fund market.The introduction firstly analyzes the research background of fund performancepersistence.Then get a review of the literature on the domestic and international researchon investment fund performance persistence. This paper discusses the purpose andsignificance of the research, and finally explains the research framework and theinnovation of this paper.The first chapter mainly introduces the theoretical basis and fund performanceevaluation theory of the persistence of the stock fund performance, which containsModern Portfolio Theory,Capital Asset Pricing Model, Arbitrage Pricing Theory and theEfficient Market Theory.The second chapter gives a comprehensive explanation of the research method ofthe persistence of the fund performance. Then selected the fund performance evaluationindicators, research methods, the study sample and the data.The third chapter introduces the method and the research data according to thesecond chapter, then do the empirical study. The inspection period is divided int threemonths, six months and twelve months, to fund short-term, medium-term and long-term sustainability study.The fourth chapter is the conclusion of the study. Then summarized the paper withthe empirical research conclusions and the actual situation in our country.At last, somesuggestions are put forward.The conclusions of this paper: If we use the method of the cross-section regressionfor each scheduling period and evaluation period, we will find that no matter the studyperiod is three months, six months or twelve months, China’s open-end stock fundinvestment performance did not show remarkable continuity. Then using the contingencytable method have each scheduling period and evaluation period of the excess rate ofreturn compared with the average rate of return, we got the same conclusion with thecross-section regression. We find that no matter open-fund stock fund in the short,medium or long term,the investment performance is not persistent.