The Performance Of Attribution Analysis Of Huaxia Overall Market’s Selected Funds

In the past nearly 20 years, China’s securities market was fluctuated with the alternative of bull and bear market, with the constant change and development of securities market that producedthe "star fund" and outstanding "star managers", "Huaxia overall market’s selected funds"and "ya-weiwang "is one of the most well-known representatives. This article aims to explore the reason ofexcess returns duringya-weiwang’s run and find a new angle to understand the investment method ofthe star funds as well as the investment fund manager.This article mainly inspected three important aspects:ya-weiwang’s personal investment capacity (stock selection ability and timing ability), the behavior of Huaxia fund family "creating star" and insider trading. After that, it is important to find out the influence of these three aspects to the performance of Huaxia overall market.After collecting and organizing some relevant information and data, for the first two factors, this article established a multivariate regression modelon the basis of TM-FF3 model. In this new model, on the one hand, using excess returns of Huaxia overall market as explained variable, on the other hand, take market factor, scale factor, value factors and building the "star" behavior factors as explanatory variables, at the same time, using variance decomposition method to investigate the factors contribution to the excess returns. Finally, for the last aspect:insider trading behavior, this article investigated the widely questioned restructuring stock thatya-weiwang bought and makes an empirical analysis using event study.The result of multiple regression model and variance decomposition of the empirical analysis show that the stock selection ability, market timing ability and family "creatingstar" behavior index is positive. Meanwhile, all these factors complete economic significance test and statistical significance test. In addition, the timing ability degree of contribution to the excess return of 44%, "creating star" degree of contribution to the excess return is about 9%. This result suggested that star managerya-weiwang has certain ability of stock selection and market timing. In the meantime, Huaxia fund family does exist in the "creatingstar" behavior, and these factors have positive influence on the excess return of Huaxie overall market. Event study results show that in terms of the average abnormal return, the cumulative average abnormal return and insider trading effect point of view, before the reorganization of the news, there is no leaked information in advance. Therefore, this paper argues that ya-weiwang on the restructuring shares investment does not constitute insider trading. Based on the above empirical analysis, the conclusion of this paper might be shown as follows:the excess earnings of huaxia plate mainly come from the individual investment capacity of ya-weiwangand Huaxiafamily’s "creating star" behavior. There has nothing to do with insider trading behavior.