The Impact Of Macroeconomic Policy On The Stock Holding Preference Of Securities Investment Fund

Accompanied with continuous development of Chinese capital market, security investment fund had played an increasing role in the capital market. As one type of collective financial products, how to maximize the portfolio value under constantly varied market environment can reflect the stock selection, market timing and asset allocation capability of fund managers, which is also helpful for realizing the trustee’s intention of fund holders. However, while most of previous literature retained on the research of static and dynamic fund stock holding preference, there are few research that focus on the impact of macroeconomic policy on fund stock holding behavior. As the industry that is most sensitive to policy variation, the variation of real estate policy will directly affect the future anticipated stock returns of real estate listed corporations, and thus affect the fund stock holding preference. Hence, based on contemporary portfolio theory, asset pricing theory and behavioral finance theory, this dissertation tries to explore into the impact of real estate policy on fund holding preference within real estate stocks.This dissertation selects data of611open-ended stock-type fund coupled with their holding146Chinese listed real estate corporations from the first quarter in2005to the third quarter in2013. Based on the hypothesis that Chinese open-ended stock-type fund can be prudent when the real estate policy is relatively tighter and be radical when it is relatively looser, this dissertation establishes the multivariate fund stock holding preference model from five dimensions including fundamental financial features, fundamental valuation features, volatility, liquidity and market performance.This dissertation finally reaches following conclusions:Firstly, Chinese security funds possess the ability of dynamically adjusting the portfolio accompanied with the variation of real estate policy. They prefer to hold real estate stocks with stronger profitability, higher dividend yield and lower risk when the real estate policy is relatively tighter, while prefer to hold real estate stocks with stronger growth ability and higher valuation level. Secondly, this stock preference variation is more significantly when the real estate policy is transferring from tight to loose or from loose to tight. Thirdly, Security funds with different investment style had shown different degree of prudence and radicalness under the tight and loose real estate policy respectively. While the growth funds are most radical when the real estate policy is loose, value funds are most prudent when the real estate policy is tight. Fourthly, funds which prefer to hold stocks with higher profitability, dividend yield and liquidity coupled with lower valuation level can achieve better industrious portfolio performance. On the contrary, funds which prefer to hold stocks with higher volatility and growth ability can achieve better industrious portfolio performance, while other prudent and radical indicators are not significant.