Research On The Influence Of Stock Selection And Timing Ability Of Fund Managers On The Performance Of Open-end Funds In China

2018 is the 20th anniversary of the establishment of China's open-end funds.The Chinese fund industry has achieved remarkable development in the past 20 years and provided profitable return for fund investors.The average annualized rate of return of open-end funds far exceeded that of the Shanghai Composite Index.On the one hand,this benefits from the macro-environment of China's rapid economic growth-On the other hand,the fund performance is also closely connected with fund managers' professional ability.Therefore,it is of great research significance to objectively and prudently evaluate the performance of China's open-end funds from the perspective of fund managers.The research emphasis of this paper is the impact of fund managers' stock selection and timing ability on the performance of China's open-end funds.From the perspective of perfonnance attribution,the fund's excess return is summarized as the fund manager's ability to select individual stocks and the timing ability of investment decision-making according to the market yield,volatility and liquidity changes.Through the decomposition of funds' excess return,this paper intends to explore which factors above contribute most to the outperformance of China's open-end funds.Based on this,this paper takes the equity funds and equity hybrid funds as the research sample,using the combined T-M-Carhart four-factor model and introducing the volatility factor and liquidity factor to conduct an empirical study on the stock selection and timing ability of 285 funds in China from January 2010 to April 2018.The main conclusions of this paper are as follows:China's open-end funds as a whole do not have significant stock picking ability and market-oriented timing ability,but there are significant volatility timing and liquidity timing ability,namely the excess returns of China's open-end funds mainly come from the fund managers' increase in the number of shares held by the fund when the market volatility is reduced and the liquidity is improved.Besides,the fund's volatility timing and liquidity timing ability have obvious asymmetry effects.When market volatility is reduced or liquidity is getting better,there are significant volatility and liquidity timing ability.From the perspective of different fund types,the equity hybrid funds,small and medium-sized funds and value funds have stronger liquidity timing ability,while the large-cap funds have the best volatility timing ability.Combined with the actual situation and theoretical basis,this paper believes that the above conclusion on the one hand is because of the "flock phenomenon" in the investment process caused by the public fund industry environment.On the other hand,it also indicates that the fund manager's own professional ability and ethics need to be improved.On this basis,the end of the paper puts forward corresponding recommendations for fund regulators,fund managers and investors.