An Empirical Study On Chinese Mutual Fund Value Investing

“Worshipping value investing in the bear market and everyone is ‘Buffett' in the bull market” is a general impression of China's stock market.The market impression that different market conditions have different effects on fund investment decisions has a long history,but it has not been verified.This article uses the open-end fund holdings data from 2006 to 2015,used the unexpected earnings as the stock value of the proxy variable,through the whole sample,considered the bear and bull markets,considered fund investment behavior,to test whether the investment behavior of fund consistent with value investing both in the bear market and the bull market.This paper finds that funds as informed traders do have the ability to dig for future value information,which represents the pursuit of future accounting earnings;Funds show this ability in bear markets,follows the value investment,while the bull market ignores the value investment;The fund ignores the value investment in the bull market because the fund selectively displays the information superiority under the different market situation.As an important investment means,value investment is crucial to maintain and healthy development of capital market and form an effective market.The conclusions of this study help to correctly understand the professional ability and market behavior of the fund,and put forward specific policies and regulations in the bull market and bear market.