The Empirical Research On Stock Picking And Timing Ability Of Open-end Funds, Based On The Holding And Trading Behavior

Securities investment fund has attracted many investors, because of its characteristics of collection investment, dispersing risk, professional financial The development of securities investment fund in our country is very rapid, it has now become one of the most important institutional investors in the financial market. Behind the thriving scene of Securities investment fund in our country, there are some problems cannot be ignored. First of all, in2001-2001,13years, China’s securities investment fund industry as a whole net loss is5years.Second, China’s securities investment fund asset management skills need to be test, many fund unit net asset value fell below1RMB. Last, at the end of2007to2008in the stock market crisis, China’s securities investment fund assets nearly halved in size. These problems caused the investors, academics and regulators on fears of China’s securities investment fund performance, also promoted the research of securities investment fund performance.As a foundation for modern fund performance evaluation theory of capital asset pricing model (CAPM), its applicable need some demanding assumptions. For example, completely effective market, rational investors, lending interest rate is the same, and the securities return rate assumes the normal distribution. But these assumptions is not the existence in the real market So the fund performance evaluation model based on CAPM model with congenital defects. In a number of studies on the basis of related literature at home and abroad, this paper focused on by direct analysis of fund holdings and trading behavior to evaluate stock selection, timing ability. The method of market conditions without any special requirements, it is based on a simple and reasonable logic:If the fund is generally have stock selection, timing ability, so the stock of the fund is widely held should have higher earnings, in the same way, holdings are weighted increase by fund should have higher earnings than these are weighted decrease. Through the empirical study, this paper mainly found:(1) In terms of the characteristics of the stock. Good stock funds generally increase liquidity; Increase in the last quarter blue chips, underweight in the last quarter height blue chips, it shows that the fund in a trade-off between the benefits and risks.(2)Funds holding of stocks with a high concentration of income is higher than the low concentration of stock returns, to increase the share price higher than that of underweight stock returns, this reflects the fund has certain ability of stock selection and timing.(3)Funds showed better stock selection ability in small capitalization stocks selecting. Funds seem to have better choice ability in picking value stocks, but can’t rule out the impact of the "B/M" effect.(4) Fund stock selection, timing ability has certain continuity, but cannot be ruled out "momentum effect" of the stock.Combined with these findings, the paper gives the following Suggestions: First of all, in the rise the market phase funds can improve the level of portfolio risk. Secondly, the securities investment fund should enhance the ability of active trading stocks, rather than being held history blue stock. Last, to improve the "effectiveness" of the market in our country, should be more standardization, institutionalization of the market, improve the degree of fairness and transparency market transactions. In the securities market, should establish a strict information disclosure system, and the punishment system of insider trading violations.