基金业绩及其影响的实证研究
|
摘要
自从2001年9月第一支开放式基金——华安创新成立以来,我国的基金业经历了快速的发展。目前,证券投资基金已经发展成为我国资本市场上最重要的机构投资者之一。基金作为一种投资理财工具,其业绩到底如何?基金的业绩对基金本身有什么影响等问题一直是理论界和实务界关心的重要话题。本文从基金业绩评价出发,分别从基金投资者、基金管理公司以及基金经理的角度研究基金业绩对证券投资基金的影响。
本文在第二章首先回顾了与本文相关的文献,包括基金业绩及其持续性相关文献、资金流量相关文献、基金经理更换相关文献、基金投资风格相关文献以及基金经理风险选择行为相关文献。然后,在第三章分析了我国基金业的发展现状,包括我国基金业的发展历程、基金的数量和规模、基金产品的种类和结构、基金的市场影响力、基金行业的市场集中度以及基金投资者的结构等情况。分析发现：我国证券投资基金的数量在不断增加,但是基金对股票市场的影响力从2008年开始却在逐年下降；基金行业的竞争程度在不断加强,但是市场分化明显,市场集中度依然处于较高水平；开放式基金的投资者以个人投资者为主,并且以10万以下的小额投资为主,开放式基金投资者的年龄占比最多的是40-50岁。
第四章对我国开放式股票方向基金在2005-2010年的业绩进行了评价,主要考察基金能否战胜市场、基金的业绩是来源于技术还是运气以及基金业绩是否具有持续性这三个问题。研究发现,如果与基金自身规定的业绩比较基准进行比较,除2009年之外,在其它年份大部分基金都能够战胜自身规定的业绩比较基准。通过构建基金投资组合,研究发现无论是等权平均基金组合还是价值加权基金组合都能够获得显著为正的风险调整收益。对单只基金进行回归发现,绝大部分基金的Fama-French三因子Alpha都为正,有超过36%的基金的三因子Alpha在5%的水平上显著为正,说明基金总体上能够战胜市场。接下来,我们运用自助模拟法来区分基金的业绩是来源于技术还是运气,结果表明不论是业绩表现好的基金还是业绩表现不好的基金,其业绩都是来源于技术而非运气。最后,对基金业绩的持续性进行研究发现,基金业绩在短期(3个月)内具有持续性,但是在长期(1年)不具有持续性。
第五章研究了基金业绩对资金流量的影响。本章主要检验我国基金业是否存在“赎回异象”,基金的历史业绩与资金流量之间是否存在非线性关系,明星基金是否能够带来超额的资金流入。研究发现,基金滞后年度的回报率对基金业绩有显著为正的影响,投资者总体而言是“追逐业绩”,而非“反向选择”,所谓的“赎回异象”并不存在。投资者在选择基金时既看重绝对业绩也重视相对业绩,然而投资者对基金的风险并不敏感。进一步,我们利用分段回归和虚拟变量回归模型,研究发现资金流量与基金滞后年度回报率之间存在一种非线性关系,业绩排名靠前的基金(明星基金)能够带来超额的资金流入,而业绩排名靠后的基金的业绩对资金流量的影响不显著。我们用不同的业绩衡量指标和不同的明星基金定义方法进行稳健性检验,主要结论依然成立。此外,我们还发现基金经理更换对资金流量有显著的负面影响。
第六章利用开放式股票方向基金的季度数据,研究了基金的历史业绩对基金经理更换的影响以及基金经理更换前后基金业绩的变化。研究发现,基金过去的绝对业绩对基金经理更换没有显著影响,但是相对业绩对基金经理更换有显著影响。具体而言,基金过去的相对业绩越差,基金经理被更换的概率越大。对基金经理更换前后的业绩变化进行研究发现,过去相对业绩表现较好的基金在基金经理更换之后,业绩明显变差了,而过去相对业绩表现较差的基金在基金经理更换之后,业绩明显提高了。
第七章研究了基金业绩与基金投资风格的持续性。我们使用Fama-French三因子模型来识别基金的投资风格,研究发现,开放式股票方向基金的投资风格主要表现为大盘成长型。基金在各年度之间的大盘/盘风格持续性较好,而价值/长风格持续性较差。基金总体上并不具备风格择时能力,过去的业绩对基金的大盘/小盘风格的持续性没有显著影响,但是对基金的价值/长风格的持续性有一定影响。适当的改变大盘/小盘风格,适当的保持价值/长风格有利于提高基金未来的业绩。
第八章利用2005-2010年间的开放式股票型和混合型基金的数据,研究了年度业绩排名对基金经理冒险行为的影响。研究发现,年中业绩排名靠后的基金经理(输家)在下半年提高组合风险的程度大于年中业绩排名靠前的基金经理(赢家)。对基金经理的冒险行为是否会导致更好的业绩进行研究发现,总样本的结果表明基金在下半年提高组合的风险并不能导致下半年更好的业绩。分样本回归结果显示,在牛市中,基金提高组合的风险对下半年的业绩没有显著影响,但在熊市中,基金提高组合的风险对下半年的业绩有显著的负面影响。即基金经理的冒险行为不但不能提高基金下半年的业绩,而且在熊市中,反而会降低基金下半年的业绩。
第九章系统总结了本文的主要研究结论和研究启示,归纳了本文的局限性与不足,并指出了进一步研究的方向。
本文的主要创新点有以下几个方面：
第一,本文对我国开放式股票方向基金在2005-2010年的业绩进行了系统评价,并利用自助模拟法来区分基金业绩是来源于技术还是运气。研究发现,我国所有开放式股票方向基金整体上能够战胜市场,所有基金的业绩都来源于技术而非运气。
第二,本文使用规范的研究方法,丰富了资金流量与基金业绩关系这方面的研究文献,推翻了一直以来认为我国基金业存在“赎回异象”的结论,支持了肖峻和石劲(2011)的研究结论,即总体上我国的基金投资者依然“追逐业绩”,而非“反向选择”。与肖峻和石劲(2011)不同之处在于本文还发现我国基金市场的资金流量与基金业绩之间存在的是一种非线性关系,即业绩排名靠前的明星基金能够吸引超额的资金流入。
第三,与以往文献主要研究封闭式基金经理更换问题不同的是,本文详细研究了开放式基金的基金经理更换问题,考察了基金的历史业绩对基金经理更换的影响,以及基金经理更换前后基金业绩的变化。
第四,本文利用Fama-French三因子模型来识别基金的投资风格并对基金的投资风格持续性进行了研究。国内还没有文献使用该方法来研究基金的投资风格持续性问题。此外,与国内大部分文献研究基金的市场择时能力不同的是,本文研究了基金的风格择时能力。
第五,现有文献对基金经理冒险行为研究的文献相对较少。已有的研究要么研究的是封闭式基金,即使研究开放式基金也存在样本偏小,方法单一的问题。本文详细研究了基金业绩排名对基金经理冒险行为的影响,并进行了各种稳健性检验。此外,更重要的是本文还研究了基金经理冒险行为对基金未来业绩的影响。
Since the first open-end mutual fund, Hua An Chuang Xin, established in September2001, the Chinese mutual fund industry have experienced rapid development. At present, Mutual funds have become one of the most important institutional investors in Chinese capital market. In this thesis, I firstly study the mutual fund performance and then investigate the impact of mutual fund performance on mutual funds from different angles.
The thesis is divided into nine chapters.
Chapter one is the introduction. In this chapter, I introduce the research background, importance, framework, question, research methods and the contributions of this thesis.
Chapter two is literature review. I summarize five aspects of literature including mutual fund performance and persistence, mutual fund flow, fund manager turnover, investment style and risk-taking of fund managers.
Chapter three shows the current situation of mutual fund industry. I firstly introduce the development stages of Chinese mutual fund industry, then summarize the number and size of mutual funds, the investment style of mutual funds, the market influence, market concentration,and lastly report the basic characteristics of open-end mutual fund investors.
In Chapter four, I evaluate the performance of equity mutual funds from2005to2010. Three questions are analyzed in this part. Can mutual funds beat the market? Does mutual fund performance come from luck or skill? Is mutual fund performance persistent? I find that most mutual funds can beat their self-designed benchmarks in every year except2009. Both the equal-weighted mutual fund portfolio and value-weighted portfolio can get significantly positive risk-adjusted return. From the analysis of single mutual fund, I find that most mutual funds' Fama-French three-factor Alpha are positive and about36%of mutual funds have significantly positive three factor Alpha in5%significance level. This means that mutual funds as a whole can beat the market. Then I use bootstap method to distinguish luck and skill, the result shows that the mutual fund performance is totally from skill, not from luck. The performance of mutual fund is persistent only in3-month short period, but does not last in one year period.
Chapter five is empirical research on the relationship between mutual fund past performance and fund flow. I examine whether there is "redemption puzzle" in Chinese mutual fund industry, and whether the flow-performance relationship is linear or convex. I find that last year return, both the cardinal return and ordinal return, has positive effect on the net flow of mutual funds. This means that investors as a whole chase good performance, and the redemption puzzle doesn't exist. The risk of mutual fund has no significant effect on mutual fund flow. Then I use piecewise regression and dummy variable regression to find that the flow-performance relationship is not linear, but convex. The past star funds can get excess inflows, but the dog funds' flow is not sensitive to past performance. The robustness test supports the above conclusions.
Chapter six examines the relationship between mutual fund performance and manager's turnover. I find that the relative performance of mutual fund has negative effect on the probability of manager turnover. But the past absolute performance of mutual fund has no effect on the probability of magager turnover. The worse the relative performance of mutual fund, the larger the probability of manager's turnover is. I then compare the change of mutual fund performance before and after magager turnover. For the underperformers, I document significant improvements in post-replacement performance relative to the past performance of the fund. On the other hand, the replacement of overperforming managers results in deterioration in post-replacement performance.
In Chapter seven, investment style consistency and its relationship with mutual fund performance are studied. I use Fama-French three-factor model to identify mutual fund's investment style and find that the investment style of mutual funds dominates in large and growth stocks. There is some consistency in size style, but little consistency in value style. Besides, I find no evidence that the fund portfolio is able to time size or value style. Moreover, past performance has no effect on the size style of mutual funds, but has some effect on the value style of mutual funds. Style shift affects the future performance of mutual funds.
Chapter eight studies how annual performance ranking affects fund managers' risk-taking behavior. Using a large sample of open-end mutual funds in China between2005and2010, I find that mid-year losers increase portfolio risk in the late year to a greater extent than mid-year winners. Moreover, I find that the future performance of mutual funds is not related to increase in portfolio risk. In particular, during bear markets, increasing portfolio risk can decrease future performance of mutual funds.
Chapter nine is the conclusion of this thesis. It consists of the main findings of this thesis and the implication.
This thesis contributes to the literature in following several aspects. Firstly, I evaluate the equity mutual fund performance in the period of2005-2010. And I use the bootstrap method to distinguish luck and skill. Secondly, I contribute the flow-performance literature. I overthrow the so called "redemption puzzle" and support the result of Xiao Jun and Shi Jing (2011) that mutual fund investors as a whole chase past relative performance. Besides, I document that the flow-performance relationship is convex, which are not found in Xiao Jun and Shi Jing (2011). The past overperformers can get excess net inflows. Thirdly, different from the previous literature which studies close-end fund manager turnover, this thesis explores open-end mutual fund manager turnover in detail. Fourthly, I use Fama-French three-factor model to identify mutual fund investment style and investigate the style consistency of mutual fund. Lastly, this thesis contributes to the literature in risk-taking behavior of fund managers. Using a large sample of open-end mutual funds in China between2005and2010, I study how annual performance ranking affects fund managers'risk-taking behavior, and the effect of risk-taking on future performance of mutual funds.
本文在第二章首先回顾了与本文相关的文献,包括基金业绩及其持续性相关文献、资金流量相关文献、基金经理更换相关文献、基金投资风格相关文献以及基金经理风险选择行为相关文献。然后,在第三章分析了我国基金业的发展现状,包括我国基金业的发展历程、基金的数量和规模、基金产品的种类和结构、基金的市场影响力、基金行业的市场集中度以及基金投资者的结构等情况。分析发现：我国证券投资基金的数量在不断增加,但是基金对股票市场的影响力从2008年开始却在逐年下降；基金行业的竞争程度在不断加强,但是市场分化明显,市场集中度依然处于较高水平；开放式基金的投资者以个人投资者为主,并且以10万以下的小额投资为主,开放式基金投资者的年龄占比最多的是40-50岁。
第四章对我国开放式股票方向基金在2005-2010年的业绩进行了评价,主要考察基金能否战胜市场、基金的业绩是来源于技术还是运气以及基金业绩是否具有持续性这三个问题。研究发现,如果与基金自身规定的业绩比较基准进行比较,除2009年之外,在其它年份大部分基金都能够战胜自身规定的业绩比较基准。通过构建基金投资组合,研究发现无论是等权平均基金组合还是价值加权基金组合都能够获得显著为正的风险调整收益。对单只基金进行回归发现,绝大部分基金的Fama-French三因子Alpha都为正,有超过36%的基金的三因子Alpha在5%的水平上显著为正,说明基金总体上能够战胜市场。接下来,我们运用自助模拟法来区分基金的业绩是来源于技术还是运气,结果表明不论是业绩表现好的基金还是业绩表现不好的基金,其业绩都是来源于技术而非运气。最后,对基金业绩的持续性进行研究发现,基金业绩在短期(3个月)内具有持续性,但是在长期(1年)不具有持续性。
第五章研究了基金业绩对资金流量的影响。本章主要检验我国基金业是否存在“赎回异象”,基金的历史业绩与资金流量之间是否存在非线性关系,明星基金是否能够带来超额的资金流入。研究发现,基金滞后年度的回报率对基金业绩有显著为正的影响,投资者总体而言是“追逐业绩”,而非“反向选择”,所谓的“赎回异象”并不存在。投资者在选择基金时既看重绝对业绩也重视相对业绩,然而投资者对基金的风险并不敏感。进一步,我们利用分段回归和虚拟变量回归模型,研究发现资金流量与基金滞后年度回报率之间存在一种非线性关系,业绩排名靠前的基金(明星基金)能够带来超额的资金流入,而业绩排名靠后的基金的业绩对资金流量的影响不显著。我们用不同的业绩衡量指标和不同的明星基金定义方法进行稳健性检验,主要结论依然成立。此外,我们还发现基金经理更换对资金流量有显著的负面影响。
第六章利用开放式股票方向基金的季度数据,研究了基金的历史业绩对基金经理更换的影响以及基金经理更换前后基金业绩的变化。研究发现,基金过去的绝对业绩对基金经理更换没有显著影响,但是相对业绩对基金经理更换有显著影响。具体而言,基金过去的相对业绩越差,基金经理被更换的概率越大。对基金经理更换前后的业绩变化进行研究发现,过去相对业绩表现较好的基金在基金经理更换之后,业绩明显变差了,而过去相对业绩表现较差的基金在基金经理更换之后,业绩明显提高了。
第七章研究了基金业绩与基金投资风格的持续性。我们使用Fama-French三因子模型来识别基金的投资风格,研究发现,开放式股票方向基金的投资风格主要表现为大盘成长型。基金在各年度之间的大盘/盘风格持续性较好,而价值/长风格持续性较差。基金总体上并不具备风格择时能力,过去的业绩对基金的大盘/小盘风格的持续性没有显著影响,但是对基金的价值/长风格的持续性有一定影响。适当的改变大盘/小盘风格,适当的保持价值/长风格有利于提高基金未来的业绩。
第八章利用2005-2010年间的开放式股票型和混合型基金的数据,研究了年度业绩排名对基金经理冒险行为的影响。研究发现,年中业绩排名靠后的基金经理(输家)在下半年提高组合风险的程度大于年中业绩排名靠前的基金经理(赢家)。对基金经理的冒险行为是否会导致更好的业绩进行研究发现,总样本的结果表明基金在下半年提高组合的风险并不能导致下半年更好的业绩。分样本回归结果显示,在牛市中,基金提高组合的风险对下半年的业绩没有显著影响,但在熊市中,基金提高组合的风险对下半年的业绩有显著的负面影响。即基金经理的冒险行为不但不能提高基金下半年的业绩,而且在熊市中,反而会降低基金下半年的业绩。
第九章系统总结了本文的主要研究结论和研究启示,归纳了本文的局限性与不足,并指出了进一步研究的方向。
本文的主要创新点有以下几个方面：
第一,本文对我国开放式股票方向基金在2005-2010年的业绩进行了系统评价,并利用自助模拟法来区分基金业绩是来源于技术还是运气。研究发现,我国所有开放式股票方向基金整体上能够战胜市场,所有基金的业绩都来源于技术而非运气。
第二,本文使用规范的研究方法,丰富了资金流量与基金业绩关系这方面的研究文献,推翻了一直以来认为我国基金业存在“赎回异象”的结论,支持了肖峻和石劲(2011)的研究结论,即总体上我国的基金投资者依然“追逐业绩”,而非“反向选择”。与肖峻和石劲(2011)不同之处在于本文还发现我国基金市场的资金流量与基金业绩之间存在的是一种非线性关系,即业绩排名靠前的明星基金能够吸引超额的资金流入。
第三,与以往文献主要研究封闭式基金经理更换问题不同的是,本文详细研究了开放式基金的基金经理更换问题,考察了基金的历史业绩对基金经理更换的影响,以及基金经理更换前后基金业绩的变化。
第四,本文利用Fama-French三因子模型来识别基金的投资风格并对基金的投资风格持续性进行了研究。国内还没有文献使用该方法来研究基金的投资风格持续性问题。此外,与国内大部分文献研究基金的市场择时能力不同的是,本文研究了基金的风格择时能力。
第五,现有文献对基金经理冒险行为研究的文献相对较少。已有的研究要么研究的是封闭式基金,即使研究开放式基金也存在样本偏小,方法单一的问题。本文详细研究了基金业绩排名对基金经理冒险行为的影响,并进行了各种稳健性检验。此外,更重要的是本文还研究了基金经理冒险行为对基金未来业绩的影响。
Since the first open-end mutual fund, Hua An Chuang Xin, established in September2001, the Chinese mutual fund industry have experienced rapid development. At present, Mutual funds have become one of the most important institutional investors in Chinese capital market. In this thesis, I firstly study the mutual fund performance and then investigate the impact of mutual fund performance on mutual funds from different angles.
The thesis is divided into nine chapters.
Chapter one is the introduction. In this chapter, I introduce the research background, importance, framework, question, research methods and the contributions of this thesis.
Chapter two is literature review. I summarize five aspects of literature including mutual fund performance and persistence, mutual fund flow, fund manager turnover, investment style and risk-taking of fund managers.
Chapter three shows the current situation of mutual fund industry. I firstly introduce the development stages of Chinese mutual fund industry, then summarize the number and size of mutual funds, the investment style of mutual funds, the market influence, market concentration,and lastly report the basic characteristics of open-end mutual fund investors.
In Chapter four, I evaluate the performance of equity mutual funds from2005to2010. Three questions are analyzed in this part. Can mutual funds beat the market? Does mutual fund performance come from luck or skill? Is mutual fund performance persistent? I find that most mutual funds can beat their self-designed benchmarks in every year except2009. Both the equal-weighted mutual fund portfolio and value-weighted portfolio can get significantly positive risk-adjusted return. From the analysis of single mutual fund, I find that most mutual funds' Fama-French three-factor Alpha are positive and about36%of mutual funds have significantly positive three factor Alpha in5%significance level. This means that mutual funds as a whole can beat the market. Then I use bootstap method to distinguish luck and skill, the result shows that the mutual fund performance is totally from skill, not from luck. The performance of mutual fund is persistent only in3-month short period, but does not last in one year period.
Chapter five is empirical research on the relationship between mutual fund past performance and fund flow. I examine whether there is "redemption puzzle" in Chinese mutual fund industry, and whether the flow-performance relationship is linear or convex. I find that last year return, both the cardinal return and ordinal return, has positive effect on the net flow of mutual funds. This means that investors as a whole chase good performance, and the redemption puzzle doesn't exist. The risk of mutual fund has no significant effect on mutual fund flow. Then I use piecewise regression and dummy variable regression to find that the flow-performance relationship is not linear, but convex. The past star funds can get excess inflows, but the dog funds' flow is not sensitive to past performance. The robustness test supports the above conclusions.
Chapter six examines the relationship between mutual fund performance and manager's turnover. I find that the relative performance of mutual fund has negative effect on the probability of manager turnover. But the past absolute performance of mutual fund has no effect on the probability of magager turnover. The worse the relative performance of mutual fund, the larger the probability of manager's turnover is. I then compare the change of mutual fund performance before and after magager turnover. For the underperformers, I document significant improvements in post-replacement performance relative to the past performance of the fund. On the other hand, the replacement of overperforming managers results in deterioration in post-replacement performance.
In Chapter seven, investment style consistency and its relationship with mutual fund performance are studied. I use Fama-French three-factor model to identify mutual fund's investment style and find that the investment style of mutual funds dominates in large and growth stocks. There is some consistency in size style, but little consistency in value style. Besides, I find no evidence that the fund portfolio is able to time size or value style. Moreover, past performance has no effect on the size style of mutual funds, but has some effect on the value style of mutual funds. Style shift affects the future performance of mutual funds.
Chapter eight studies how annual performance ranking affects fund managers' risk-taking behavior. Using a large sample of open-end mutual funds in China between2005and2010, I find that mid-year losers increase portfolio risk in the late year to a greater extent than mid-year winners. Moreover, I find that the future performance of mutual funds is not related to increase in portfolio risk. In particular, during bear markets, increasing portfolio risk can decrease future performance of mutual funds.
Chapter nine is the conclusion of this thesis. It consists of the main findings of this thesis and the implication.
This thesis contributes to the literature in following several aspects. Firstly, I evaluate the equity mutual fund performance in the period of2005-2010. And I use the bootstrap method to distinguish luck and skill. Secondly, I contribute the flow-performance literature. I overthrow the so called "redemption puzzle" and support the result of Xiao Jun and Shi Jing (2011) that mutual fund investors as a whole chase past relative performance. Besides, I document that the flow-performance relationship is convex, which are not found in Xiao Jun and Shi Jing (2011). The past overperformers can get excess net inflows. Thirdly, different from the previous literature which studies close-end fund manager turnover, this thesis explores open-end mutual fund manager turnover in detail. Fourthly, I use Fama-French three-factor model to identify mutual fund investment style and investigate the style consistency of mutual fund. Lastly, this thesis contributes to the literature in risk-taking behavior of fund managers. Using a large sample of open-end mutual funds in China between2005and2010, I study how annual performance ranking affects fund managers'risk-taking behavior, and the effect of risk-taking on future performance of mutual funds.
引文
①见王明好等(2004)、盛积良和马永开(2008)、丁振华(2006)、龚红等(2010)。
①见徐琼和赵旭(2008)、蒋晓全和丁秀英(2007)、王守法(2005)、姚正春等(2006)、陆蓉等(2007)、林树等(2009)、王擎等(2010)、肖峻和石劲(2011)。
[1]丁振华,2006, 《基金过去的业绩会影响未来的风险选择吗》, 《证券市场导报》第4期39-45页。
[2]董铁牛、杨乃定和邵予工,2008,《中国开放式基金投资风格分析》,《管理评论》第7期3-9页。
[3]龚红、李燕萍和吴绍棠,2010,《业绩排序对基金经理投资组合风险选择的影响：基于封闭式基金1998—2008年表现的经验分析》,《世界经济》第4期146-160页。
[4]蒋晓全和丁秀英,2007,《我国证券投资基金资产配置效率研究》,《金融研究》第2期89-97页。
[5]李敏,2008, 《封闭式基金业绩持续性的统计分析》, 《财经问题研究》第12期123-127页。
[6]李学峰、陈曦和茅勇峰,2008,《我国开放式基金业绩持续性及其影响因素研究》, 《当代经济管理》第6期97-102页。
[7]李学峰、苏伟、李荣霞和王兆宇,2010,《业绩排序对基金投资风险水平变化的影响》, 《广东金融学院学报》第1期78-85页。
[8]李学峰和徐华,2007,《基金投资风格漂移及其对基金绩效的影响研究》,《证券市场导报》第8期70-77页。
[9]李曜和于进杰,2004,《开放式基金赎回机制的外部效应》,《财经研究》第12期111-120页。
[10]李颖、陈方正和李源海,2002,《投资风格类别及持续性对基金业绩的影响》, 《证券市场导报》第10期39-42页。
[11]林兢和陈树华,2011, 《我国开放式基金业绩持续性,经理选股和择时能力——基于2005-2009数据》, 《经济管理》第2期132-138页。
[12]林树、李翔、杨雄胜和O.Tam,2009, 《他们真的是明星吗?——来自中 国证券基金市场的经验证据》, 《金融研究》第5期107-120页。
[13]刘志远和姚颐,2005,《开放式基金的“赎回困惑”现象研究》,《证券市场导报》第2期37-41页。
[14]卢学法和严谷军,2004, 《证券投资基金绩效评价实证研究》, 《南开经济研究》第5期79-84页。
[15]陆家骝和王茂斌,2007,《什么决定了基金经理的更换》,《证券市场导报》第3期22-28页。
[16]陆蓉、陈百助、徐龙炳和谢新厚,2007,《基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究》, 《经济研究》第6期39-50页。
[17]罗真和张宗成,2004, 《职业忧虑影响基金经理投资行为的经验分析》,《世界经济》第4期63-71页。
[18]牛鸿和詹俊义,2004,《中国证券投资基金市场择时能力的非参数检验》,《管理世界》第10期29-35页。
[19]彭寿康,2010, 《风险-收益悖论与绩差基金的业绩持续性》, 《商业经济与管理》第11期77-83页。
[20]盛积良和马永开,2008,《两类不对称对基金风险承担行为的影响研究》,《系统工程学报》第4期398-404页。
[21]束景虹,2005,《开放式基金赎回现象的实证研究》,《数量经济技术经济研究》第4期117-126页。
[22]汪光成,2002, 《基金的市场时机把握能力研究》, 《经济研究》第1期48-55页。
[23]汪慧建、张兵和周安宁,2007,《中国开放式基金赎回异象的实证研究》,《南方经济》第8期65-73页。
[24]王敬和刘阳,2007, 《证券投资基金投资风格：保持还是改变?》, 《金融研究》第8期120-130页。
[25]王茂斌和毕秋侠,2006,《业绩排名,投资者选择和投资基金行为》,《证券市场导报》第4期52-55页。
[26]王明好、陈忠和蔡晓钰,2004a, 《相对业绩对投资基金风险承担行为的影响研究》, 《中国管理科学》第5期1-5页。
[27]王明好、陈忠和蔡晓钰,2004b, 《费率结构对证券投资基金风险承担行 为的影响研究》, 《系统工程理论与实践》第10期117-121页。
[28]王鹏,2011,《基金投资风格的持续性研究：原因与结果》,《投资研究》第8期89-100页。
[29]王擎、吴玮和蔡栋梁,2010, 《基金评级与资金流动：基于中国开放式基金的经验研究》, 《金融研究》第9期113-128页。
[30]王守法,2005, 《我国证券投资基金绩效的研究与评价》, 《经济研究》第3期119-127页。
[31]肖峻和石劲,2011, 《基金业绩与资金流量：我国基金市场存在“赎回异象”吗?》, 《经济研究》第1期112-125页。
[32]肖奎喜和杨义群,2005,《我国开放式基金业绩持续性的实证检验》,《财贸研究》第2期55-59页。
[33]徐琼和赵旭,2006, 《封闭式基金业绩持续性实证研究》, 《金融研究》第5期92-96页。
[34]杨宏恩,2009,《合资基金公司的业绩持续性研究——以开放式基金为对象》, 《管理评论》第7期26-32页。
[35]杨宁和陈永生,2011,《我国基金规模对业绩及其投资行为的影响分析》,《投资研究》第7期98-105页。
[36]姚正春、邓淑芳和李志文,2006, 《封闭式基金经理的竞争压力》,《金融研究》第9期81-92页。
[37]曾晓洁、黄嵩和储国强,2004,《基金投资风格与基金分类的实证研究》,《金融研究》第3期66-78页。
[38]张美霞,2007,《证券投资基金经理变更的实证研究——来自中国资本市场的经验证据》, 《财经研究》第12期77-89页。
[39]张新和杜书明,2002, 《中国证券投资基金能否战胜市场?》, 《金融研究》第1期1-22页。
[40]赵宏宇,2005,《证券投资基金的投资风格分析与比较》,《证券市场导报》第10期58-62页。
[41]赵坚毅、于泽和李颖俊,2005,《投资者参与和证券投资基金风格业绩的评估》, 《经济研究》第7期45-54页。
[42]周铨、朱洪亮和李心丹,2007,《基于因子聚类方法的基金风格分类研究》, 《南方经济》第12期61-69页。
[43]庄云志和唐旭,2004, 《基金业绩持续性的实证研究》, 《金融研究》第5期20-27页。
[44]Ainsworth A.B., K. Fong and D.R. Gallagher,2008, "Style Drift and Portfolio Management for Active Australian Equity Funds", Australian Journal of Management,32(3), pp.387-418.
[45]Baks K.P.,2003, "On the Performance of Mutual Fund Managers", Working Paper, Emory University.
[46]Barber B.M., T. Odean and L. Zheng,2005, "Out of Sight, Out of Mind:The Effects of Expenses on Mutual Fund Flows", Journal of Business,78(6), pp.2095-2120.
[47]Barras L., O. Scaillet and R. Wermers,2010, "False Discoveries in Mutual Fund Performance:Measuring Luck in Estimated Alphas", The Journal of Finance,65(1), pp.179-216.
[48]Basak S., A. Pavlova and A. Shapiro,2007, "Optimal Asset Allocation and Risk Shifting in Money Management", Review of Financial Studies,20(5), pp.1583-1621.
[49]Bollen N.P.B. and J.A. Busse,2005, "Short-Term Persistence in Mutual Fund Performance", Review of Financial Studies,18(2), pp.569-597.
[50]Brown K.C., W. Harlow and L.T. Starks,1996, "Of Tournaments and Temptations:An Analysis of Managerial Incentives in the Mutual Fund Industry", Journal of Finance,51(1), pp.85-110.
[51]Brown K.C., W.V. Harlow and H. Zhang,2009, "Staying the Course:The Role of Investment Style Consistency in the Performance of Mutual Funds", Working Paper, SSRN eLibrary.
[52]Brown S.J., W. Goetzmann, R.G. Ibbotson and S.A. Ross,1992, "Survivorship Bias in Performance Studies", Review of Financial Studies, 5(4), pp.553-580.
[53]Brown S.J. and W.N. Goetzmann,1995, "Performance Persistence", Journal of Finance,50(2), pp.679-98.
[54]Brown S.J. and W.N. Goetzmann,1997, "Mutual Fund Styles", Journal of Financial Economics,43(3), pp.373-399.
[55]Busse J.A.,2001, "Another Look at Mutual Fund Tournaments", Journal of Financial and Quantitative Analysis,36(1), pp.53-73.
[56]Cao C, E.C. Chang and Y. Wang,2008, "An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility", Journal of Banking & Finance,32(10), pp.2111-2123.
[57]Capon N., G.J. Fitzsimons and R. Alan Prince,1996, "An Individual Level Analysis of the Mutual Fund Investment Decision", Journal of Financial Services Research,10(1), pp.59-82.
[58]Carhart M.M.,1997, "On Persistence in Mutual Fund Performance", The Journal of Finance,52(1), pp.57-82.
[59]Carpenter J.N.,2000, "Does Option Compensation Increase Managerial Risk Appetite?", The Journal of Finance,55(5), pp.2311-2331.
[60]Chan L.K.C., H.-L. Chen and J. Lakonishok,2002, "On Mutual Fund Investment Styles", The Review of Financial Studies,15(5), pp.1407-1437.
[61]Chen H.I. and G.G. Pennacchi,2009, "Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence", Journal of Financial and Quantitative Analysis,44(4), pp.745-775.
[62]Chevalier J. and G. Ellison,1997, "Risk Taking by Mutual Funds as a Response to Incentives", Journal of Political Economy,105(6), pp.1167-1200.
[63]Chevalier J. and G. Ellison,1999, "Career Concerns of Mutual Fund Managers", The Quarterly Journal of Economics,114(2), pp.389-432.
[64]Clark D.J. and C. Riis,1998, "Competition over More Than One Prize", The American Economic Review,88(1), pp.276-289.
[65]Cooper M.J., H. Gulen and P.R. Rau,2005, "Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows", The Journal of Finance,60(6), pp.2825-2858.
[66]Cuthbertson K., D. Nitzsche and N. O'Sullivan,2008, "Uk Mutual Fund Performance:Skill or Luck?", Journal of Empirical Finance,15(4), pp.613-634.
[67]Daniel K., M. Grinblatt, S. Titman and R. Wermers,1997, "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks", The Journal of Finance,52(3), pp.1035-1058.
[68]Davis J.L.,2001, "Mutual Fund Performance and Manager Style", Financial Analysts Journal,57(1), pp.19-27.
[69]Del Guercio D. and P.A. Tkac,2002, "The Determinants of the Flow of Funds of Managed Portfolios:Mutual Funds vs. Pension Funds", Journal of Financial and Quantitative Analysis,37(4), pp.523-558.
[70]Evans R.B.,2006, "Does Alpha Really Matter? Evidence from Mutual Fund Incubation, Termination and Manager Change", Working Paper, Boston College.
[71]Fama E.F. and K.R. French,1993, "Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics,33(1), pp.3-56.
[72]Fama E.F. and K.R. French,2010, "Luck Versus Skill in the Cross-Section of Mutual Fund Returns", The Journal of Finance,65(5), pp.1915-1947.
[73]Frazzini A. and O.A. Lamont,2008, "Dumb Money:Mutual Fund Flows and the Cross-Section of Stock Returns", Journal of Financial Economics,88(2), pp.299-322.
[74]Gallagher D.R., P. Nadarajah and M. Pinnuck,2006, "Top Management Turnover:An Examination of Portfolio Holdings and Fund Performance", Australian Journal of Management,31(2), pp.265-292.
[75]Goriaev A., T.E. Nijman and B.J.M. Werker,2005, "Yet Another Look at Mutual Fund Tournaments", Journal of Empirical Finance,12(1), pp.127-137.
[76]Grinblatt M. and S. Titman,1989a, "Mutual Fund Performance:An Analysis of Quarterly Portfolio Holdings", Journal of Business,62(3), pp.393-416.
[77]Grinblatt M. and S. Titman,1989b, "Adverse Risk Incentives and the Design of Performance-Based Contracts", Management Science,35(7), pp.807-822.
[78]Grinblatt M. and S. Titman,1992, "The Persistence of Mutual Fund Performance", Journal of Finance,47(5), pp.1977-84.
[79]Grinblatt M. and S. Titman,1993, "Performance Measurement without Benchmarks:An Examination of Mutual Fund Returns", Journal of Business, pp.47-68.
[80]Gruber M.J.,1996, "Another Puzzle:The Growth in Activity Managed Mutual Funds", Journal of Finance,51(3), pp.783-810.
[81]Hendricks D., J. Patel and R. Zeckhauser,1993, "Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance,1974-1988", Journal of Finance,48(1), pp.93-130.
[82]Henriksson R.D.,1984, "Market Timing and Mutual Fund Performance:An Empirical Investigation", Journal of Business,57(1), pp.73-96.
[83]Henriksson R.D. and R.C. Merton,1981, "On Market Timing and Investment Performance.Ⅱ. Statistical Procedures for Evaluating Forecasting Skills", Journal of Business,54(4), pp.513-33.
[84]Holmes K. and R. Faff,2008, "Style Drift and Fund Performance in up and Down Markets:Australian Evidence", Applied Financial Economics Letters, 4(6), pp.395-398.
[85]Hu F., A.R. Hall and C.R. Harvey,2000, "Promotion or Demotion? An Empirical Investigation of the Determinants of Top Mutual Fund Manager Change", Working Paper, Duke University.
[86]Huang J., C. Sialm and H. Zhang,2011, "Risk Shifting and Mutual Fund Performance", Review of Financial Studies,24(8), pp.2575-2616.
[87]Huang J., K.D. Wei and H. Yan,2007, "Participation Costs and the Sensitivity of Fund Flows to Past Performance", The Journal of Finance,62(3), pp.1273-1311.
[88]Huij J. and M. Verbeek,2007, "Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance", Journal of Banking & Finance, 31(3),pp.973-997.
[89]Hvide H.K.,2002, "Tournament Rewards and Risk Taking", Journal of Labor Economics,20(4), pp.877-898.
[90]Idzorek T.M. and F. Bertsch,2004, "The Style Drift Score", The Journal of Portfolio Management,31(1), pp.76-83.
[91]Ippolito R.A.,1992, "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry", Journal of law and Economics, 35(1),pp.45-70.
[92]Ivkovic Z. and S. Weisbenner,2009, "Individual Investor Mutual Fund Flows", Journal of Financial Economics,92(2), pp.223-237.
[93]Jans R. and R. Otten,2008, "Tournaments in the Uk Mutual Fund Industry", Managerial finance,34(11), pp.786-798.
[94]Jensen M.C.,1968, "The Performance of Mutual Funds in the Period 1945-1964", The Journal of Finance,23(2), pp.389-416.
[95]Jiang G.J., T. Yao and T. Yu,2007, "Do Mutual Funds Time the Market? Evidence from Portfolio Holdings", Journal of Financial Economics,86(3), pp.724-758.
[96]Jin L. and A. Scherbina,2004, "Disposition Effect among Mutual Fund Managers", Working Paper, Harvard Business School.
[97]Kahn R.N. and A. Rudd,1995, "Does Historical Performance Predict Future Performance?", Financial Analysts Journal,51(6), pp.43-52.
[98]Kempf A. and S. Ruenzi,2008, "Tournaments in Mutual-Fund Families", Review of Financial Studies,21(2), pp.1013-1036.
[99]Kempf A., S. Ruenzi and T. Thiele,2009, "Employment Risk, Compensation Incentives, and Managerial Risk Taking:Evidence from the Mutual Fund Industry", Journal of Financial Economics,92(1), pp.92-108.
[100]Keswani A. and D. Stolin,2008, "Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors", The Journal of Finance, 63(1), pp.85-118.
[101]Khorana A.,1996, "Top Management Turnover an Empirical Investigation of Mutual Fund Managers", Journal of Financial Economics,40(3), pp.403-427.
[102]Khorana A.,2001, "Performance Changes Following Top Management Turnover:Evidence from Open-End Mutual Funds", Journal of Financial and Quantitative Analysis,36(3), pp.371-394.
[103]Koski J.L. and J. Pontiff,1999, "How Are Derivatives Used? Evidence from the Mutual Fund Industry", The Journal of Finance,54(2), pp.791-816.
[104]Kosowski R., A. Timmermann, R. Wermers and H. White,2006, "Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis", The Journal of Finance,61(6), pp.2551-2595.
[105]Lakonishok J., A. Shleifer, R. Thaler and R. Vishny,1991, "Window Dressing by Pension Fund Managers", The American Economic Review,81(2), pp.227-231.
[106]Lakonishok J., A. Shleifer and R.W. Vishny,1992, "The Structure and Performance of the Money Management Industry", Brookings Papers on Economic Activity. Microeconomics,1992(1992), pp.339-391.
[107]Lazear E. and S. Rosen,1981, "Rank-Order Tournaments as Optimum Labor Contracts", Journal of Political Economy,89(5), pp.841-864.
[108]Lynch A.W. and D.K. Musto,2003, "How Investors Interpret Past Fund Returns", The Journal of Finance,58(5), pp.2033-2058.
[109]Malkiel B.G.,1995, "Returns from Investing in Equity Mutual Funds 1971 to 1991", Journal of Finance, pp.549-572.
[110]Moldovanu B. and A. Sela,2001, "The Optimal Allocation of Prizes in Contests", The American Economic Review, pp.542-558.
[111]Nanda V., Z.J. Wang and L. Zheng,2004, "Family Values and the Star Phenomenon:Strategies of Mutual Fund Families", Review of Financial Studies,17(3), pp.667-698.
[112]Patel J., R. Zeckhauser and D. Hendricks,1991, "The Rationality Struggle: Illustrations from Financial Markets", The American Economic Review, 81(2),pp.232-236.
[113]Pollet J.M. and M. Wilson,2008, "How Does Size Affect Mutual Fund Behavior?", The Journal of Finance,63(6), pp.2941-2969.
[114]Qiu J.,2003, "Termination Risk, Multiple Managers and Mutual Fund Tournaments", European Finance Review,7(2), pp.161-190.
[115]Rakowski D.,2010, "Fund Flow Volatility and Performance", Journal of Financial and Quantitative Analysis,45(01), pp.223-237.
[116]Rekenthaler J., M. Gambera and J. Charlson,2006, "Estimating Portfolio Style in Us Equity Funds", The Journal of Investing,15(3), pp.25-33.
[117]Rosen S.,1986, "Prizes and Incentives in Elimination Tournaments", American Economic Review,76(4), pp.701-715.
[118]Sapp T. and A. Tiwari,2004, "Does Stock Return Momentum Explain the "Smart Money" Effect?", The Journal of Finance,59(6), pp.2605-2622.
[119]Sensoy B.A.,2009, "Performance Evaluation and Self-Designated Benchmark Indexes in the Mutual Fund Industry", Journal of Financial Economics,92(1), pp.25-39.
[120]Sharpe W.F.,1992, "Asset Allocation:Management Style and Performance Measurement", The Journal of Portfolio Management,18(2), pp.7-19.
[121]Sirri E.R. and P. Tufano,1998, "Costly Search and Mutual Fund Flows", The Journal of Finance,53(5), pp.1589-1622.
[122]Smith K.V.,1978, "Is Fund Growth Related to Fund Performance?", The Journal of Portfolio Management,4(3), pp.49-54.
[123]Spitz A.E.,1970, "Mutual Fund Performance and Cash Inflows", Applied Economics,2(2), pp.141-145.
[124]Swinkels L. and L. Tjong-A-Tjoe,2007, "Can Mutual Funds Time Investment Styles?", Journal of Asset Management,8(2), pp.123-132.
[125]Taylor J.,2003, "Risk-Taking Behavior in Mutual Fund Tournaments", Journal of Economic Behavior & Organization,50(3), pp.373-383.
[126]Treynor J. and K. Mazuy,1966, "Can Mutual Funds Outguess the Market", Harvard Business Review,44(4), pp.131-136.
[127]Wermers R.,2000, "Mutual Fund Performance:An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses", The Journal of Finance,55(4), pp.1655-1703.
[128]Zhang Z., L. Ding and S. Zhou,2010, "Funds Performance and Top Management Turnover:Evidence from the UK Unit Trust Industry", Working Paper, Durham Business School.
[129]Zheng L.,1999, "Is Money Smart? A Study of Mutual Fund Investors'Fund Selection Ability", The Journal of Finance,54(3), pp.901-933.
①见徐琼和赵旭(2008)、蒋晓全和丁秀英(2007)、王守法(2005)、姚正春等(2006)、陆蓉等(2007)、林树等(2009)、王擎等(2010)、肖峻和石劲(2011)。
[1]丁振华,2006, 《基金过去的业绩会影响未来的风险选择吗》, 《证券市场导报》第4期39-45页。
[2]董铁牛、杨乃定和邵予工,2008,《中国开放式基金投资风格分析》,《管理评论》第7期3-9页。
[3]龚红、李燕萍和吴绍棠,2010,《业绩排序对基金经理投资组合风险选择的影响：基于封闭式基金1998—2008年表现的经验分析》,《世界经济》第4期146-160页。
[4]蒋晓全和丁秀英,2007,《我国证券投资基金资产配置效率研究》,《金融研究》第2期89-97页。
[5]李敏,2008, 《封闭式基金业绩持续性的统计分析》, 《财经问题研究》第12期123-127页。
[6]李学峰、陈曦和茅勇峰,2008,《我国开放式基金业绩持续性及其影响因素研究》, 《当代经济管理》第6期97-102页。
[7]李学峰、苏伟、李荣霞和王兆宇,2010,《业绩排序对基金投资风险水平变化的影响》, 《广东金融学院学报》第1期78-85页。
[8]李学峰和徐华,2007,《基金投资风格漂移及其对基金绩效的影响研究》,《证券市场导报》第8期70-77页。
[9]李曜和于进杰,2004,《开放式基金赎回机制的外部效应》,《财经研究》第12期111-120页。
[10]李颖、陈方正和李源海,2002,《投资风格类别及持续性对基金业绩的影响》, 《证券市场导报》第10期39-42页。
[11]林兢和陈树华,2011, 《我国开放式基金业绩持续性,经理选股和择时能力——基于2005-2009数据》, 《经济管理》第2期132-138页。
[12]林树、李翔、杨雄胜和O.Tam,2009, 《他们真的是明星吗?——来自中 国证券基金市场的经验证据》, 《金融研究》第5期107-120页。
[13]刘志远和姚颐,2005,《开放式基金的“赎回困惑”现象研究》,《证券市场导报》第2期37-41页。
[14]卢学法和严谷军,2004, 《证券投资基金绩效评价实证研究》, 《南开经济研究》第5期79-84页。
[15]陆家骝和王茂斌,2007,《什么决定了基金经理的更换》,《证券市场导报》第3期22-28页。
[16]陆蓉、陈百助、徐龙炳和谢新厚,2007,《基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究》, 《经济研究》第6期39-50页。
[17]罗真和张宗成,2004, 《职业忧虑影响基金经理投资行为的经验分析》,《世界经济》第4期63-71页。
[18]牛鸿和詹俊义,2004,《中国证券投资基金市场择时能力的非参数检验》,《管理世界》第10期29-35页。
[19]彭寿康,2010, 《风险-收益悖论与绩差基金的业绩持续性》, 《商业经济与管理》第11期77-83页。
[20]盛积良和马永开,2008,《两类不对称对基金风险承担行为的影响研究》,《系统工程学报》第4期398-404页。
[21]束景虹,2005,《开放式基金赎回现象的实证研究》,《数量经济技术经济研究》第4期117-126页。
[22]汪光成,2002, 《基金的市场时机把握能力研究》, 《经济研究》第1期48-55页。
[23]汪慧建、张兵和周安宁,2007,《中国开放式基金赎回异象的实证研究》,《南方经济》第8期65-73页。
[24]王敬和刘阳,2007, 《证券投资基金投资风格：保持还是改变?》, 《金融研究》第8期120-130页。
[25]王茂斌和毕秋侠,2006,《业绩排名,投资者选择和投资基金行为》,《证券市场导报》第4期52-55页。
[26]王明好、陈忠和蔡晓钰,2004a, 《相对业绩对投资基金风险承担行为的影响研究》, 《中国管理科学》第5期1-5页。
[27]王明好、陈忠和蔡晓钰,2004b, 《费率结构对证券投资基金风险承担行 为的影响研究》, 《系统工程理论与实践》第10期117-121页。
[28]王鹏,2011,《基金投资风格的持续性研究：原因与结果》,《投资研究》第8期89-100页。
[29]王擎、吴玮和蔡栋梁,2010, 《基金评级与资金流动：基于中国开放式基金的经验研究》, 《金融研究》第9期113-128页。
[30]王守法,2005, 《我国证券投资基金绩效的研究与评价》, 《经济研究》第3期119-127页。
[31]肖峻和石劲,2011, 《基金业绩与资金流量：我国基金市场存在“赎回异象”吗?》, 《经济研究》第1期112-125页。
[32]肖奎喜和杨义群,2005,《我国开放式基金业绩持续性的实证检验》,《财贸研究》第2期55-59页。
[33]徐琼和赵旭,2006, 《封闭式基金业绩持续性实证研究》, 《金融研究》第5期92-96页。
[34]杨宏恩,2009,《合资基金公司的业绩持续性研究——以开放式基金为对象》, 《管理评论》第7期26-32页。
[35]杨宁和陈永生,2011,《我国基金规模对业绩及其投资行为的影响分析》,《投资研究》第7期98-105页。
[36]姚正春、邓淑芳和李志文,2006, 《封闭式基金经理的竞争压力》,《金融研究》第9期81-92页。
[37]曾晓洁、黄嵩和储国强,2004,《基金投资风格与基金分类的实证研究》,《金融研究》第3期66-78页。
[38]张美霞,2007,《证券投资基金经理变更的实证研究——来自中国资本市场的经验证据》, 《财经研究》第12期77-89页。
[39]张新和杜书明,2002, 《中国证券投资基金能否战胜市场?》, 《金融研究》第1期1-22页。
[40]赵宏宇,2005,《证券投资基金的投资风格分析与比较》,《证券市场导报》第10期58-62页。
[41]赵坚毅、于泽和李颖俊,2005,《投资者参与和证券投资基金风格业绩的评估》, 《经济研究》第7期45-54页。
[42]周铨、朱洪亮和李心丹,2007,《基于因子聚类方法的基金风格分类研究》, 《南方经济》第12期61-69页。
[43]庄云志和唐旭,2004, 《基金业绩持续性的实证研究》, 《金融研究》第5期20-27页。
[44]Ainsworth A.B., K. Fong and D.R. Gallagher,2008, "Style Drift and Portfolio Management for Active Australian Equity Funds", Australian Journal of Management,32(3), pp.387-418.
[45]Baks K.P.,2003, "On the Performance of Mutual Fund Managers", Working Paper, Emory University.
[46]Barber B.M., T. Odean and L. Zheng,2005, "Out of Sight, Out of Mind:The Effects of Expenses on Mutual Fund Flows", Journal of Business,78(6), pp.2095-2120.
[47]Barras L., O. Scaillet and R. Wermers,2010, "False Discoveries in Mutual Fund Performance:Measuring Luck in Estimated Alphas", The Journal of Finance,65(1), pp.179-216.
[48]Basak S., A. Pavlova and A. Shapiro,2007, "Optimal Asset Allocation and Risk Shifting in Money Management", Review of Financial Studies,20(5), pp.1583-1621.
[49]Bollen N.P.B. and J.A. Busse,2005, "Short-Term Persistence in Mutual Fund Performance", Review of Financial Studies,18(2), pp.569-597.
[50]Brown K.C., W. Harlow and L.T. Starks,1996, "Of Tournaments and Temptations:An Analysis of Managerial Incentives in the Mutual Fund Industry", Journal of Finance,51(1), pp.85-110.
[51]Brown K.C., W.V. Harlow and H. Zhang,2009, "Staying the Course:The Role of Investment Style Consistency in the Performance of Mutual Funds", Working Paper, SSRN eLibrary.
[52]Brown S.J., W. Goetzmann, R.G. Ibbotson and S.A. Ross,1992, "Survivorship Bias in Performance Studies", Review of Financial Studies, 5(4), pp.553-580.
[53]Brown S.J. and W.N. Goetzmann,1995, "Performance Persistence", Journal of Finance,50(2), pp.679-98.
[54]Brown S.J. and W.N. Goetzmann,1997, "Mutual Fund Styles", Journal of Financial Economics,43(3), pp.373-399.
[55]Busse J.A.,2001, "Another Look at Mutual Fund Tournaments", Journal of Financial and Quantitative Analysis,36(1), pp.53-73.
[56]Cao C, E.C. Chang and Y. Wang,2008, "An Empirical Analysis of the Dynamic Relationship between Mutual Fund Flow and Market Return Volatility", Journal of Banking & Finance,32(10), pp.2111-2123.
[57]Capon N., G.J. Fitzsimons and R. Alan Prince,1996, "An Individual Level Analysis of the Mutual Fund Investment Decision", Journal of Financial Services Research,10(1), pp.59-82.
[58]Carhart M.M.,1997, "On Persistence in Mutual Fund Performance", The Journal of Finance,52(1), pp.57-82.
[59]Carpenter J.N.,2000, "Does Option Compensation Increase Managerial Risk Appetite?", The Journal of Finance,55(5), pp.2311-2331.
[60]Chan L.K.C., H.-L. Chen and J. Lakonishok,2002, "On Mutual Fund Investment Styles", The Review of Financial Studies,15(5), pp.1407-1437.
[61]Chen H.I. and G.G. Pennacchi,2009, "Does Prior Performance Affect a Mutual Fund's Choice of Risk? Theory and Further Empirical Evidence", Journal of Financial and Quantitative Analysis,44(4), pp.745-775.
[62]Chevalier J. and G. Ellison,1997, "Risk Taking by Mutual Funds as a Response to Incentives", Journal of Political Economy,105(6), pp.1167-1200.
[63]Chevalier J. and G. Ellison,1999, "Career Concerns of Mutual Fund Managers", The Quarterly Journal of Economics,114(2), pp.389-432.
[64]Clark D.J. and C. Riis,1998, "Competition over More Than One Prize", The American Economic Review,88(1), pp.276-289.
[65]Cooper M.J., H. Gulen and P.R. Rau,2005, "Changing Names with Style: Mutual Fund Name Changes and Their Effects on Fund Flows", The Journal of Finance,60(6), pp.2825-2858.
[66]Cuthbertson K., D. Nitzsche and N. O'Sullivan,2008, "Uk Mutual Fund Performance:Skill or Luck?", Journal of Empirical Finance,15(4), pp.613-634.
[67]Daniel K., M. Grinblatt, S. Titman and R. Wermers,1997, "Measuring Mutual Fund Performance with Characteristic-Based Benchmarks", The Journal of Finance,52(3), pp.1035-1058.
[68]Davis J.L.,2001, "Mutual Fund Performance and Manager Style", Financial Analysts Journal,57(1), pp.19-27.
[69]Del Guercio D. and P.A. Tkac,2002, "The Determinants of the Flow of Funds of Managed Portfolios:Mutual Funds vs. Pension Funds", Journal of Financial and Quantitative Analysis,37(4), pp.523-558.
[70]Evans R.B.,2006, "Does Alpha Really Matter? Evidence from Mutual Fund Incubation, Termination and Manager Change", Working Paper, Boston College.
[71]Fama E.F. and K.R. French,1993, "Common Risk Factors in the Returns on Stocks and Bonds", Journal of Financial Economics,33(1), pp.3-56.
[72]Fama E.F. and K.R. French,2010, "Luck Versus Skill in the Cross-Section of Mutual Fund Returns", The Journal of Finance,65(5), pp.1915-1947.
[73]Frazzini A. and O.A. Lamont,2008, "Dumb Money:Mutual Fund Flows and the Cross-Section of Stock Returns", Journal of Financial Economics,88(2), pp.299-322.
[74]Gallagher D.R., P. Nadarajah and M. Pinnuck,2006, "Top Management Turnover:An Examination of Portfolio Holdings and Fund Performance", Australian Journal of Management,31(2), pp.265-292.
[75]Goriaev A., T.E. Nijman and B.J.M. Werker,2005, "Yet Another Look at Mutual Fund Tournaments", Journal of Empirical Finance,12(1), pp.127-137.
[76]Grinblatt M. and S. Titman,1989a, "Mutual Fund Performance:An Analysis of Quarterly Portfolio Holdings", Journal of Business,62(3), pp.393-416.
[77]Grinblatt M. and S. Titman,1989b, "Adverse Risk Incentives and the Design of Performance-Based Contracts", Management Science,35(7), pp.807-822.
[78]Grinblatt M. and S. Titman,1992, "The Persistence of Mutual Fund Performance", Journal of Finance,47(5), pp.1977-84.
[79]Grinblatt M. and S. Titman,1993, "Performance Measurement without Benchmarks:An Examination of Mutual Fund Returns", Journal of Business, pp.47-68.
[80]Gruber M.J.,1996, "Another Puzzle:The Growth in Activity Managed Mutual Funds", Journal of Finance,51(3), pp.783-810.
[81]Hendricks D., J. Patel and R. Zeckhauser,1993, "Hot Hands in Mutual Funds: Short-Run Persistence of Relative Performance,1974-1988", Journal of Finance,48(1), pp.93-130.
[82]Henriksson R.D.,1984, "Market Timing and Mutual Fund Performance:An Empirical Investigation", Journal of Business,57(1), pp.73-96.
[83]Henriksson R.D. and R.C. Merton,1981, "On Market Timing and Investment Performance.Ⅱ. Statistical Procedures for Evaluating Forecasting Skills", Journal of Business,54(4), pp.513-33.
[84]Holmes K. and R. Faff,2008, "Style Drift and Fund Performance in up and Down Markets:Australian Evidence", Applied Financial Economics Letters, 4(6), pp.395-398.
[85]Hu F., A.R. Hall and C.R. Harvey,2000, "Promotion or Demotion? An Empirical Investigation of the Determinants of Top Mutual Fund Manager Change", Working Paper, Duke University.
[86]Huang J., C. Sialm and H. Zhang,2011, "Risk Shifting and Mutual Fund Performance", Review of Financial Studies,24(8), pp.2575-2616.
[87]Huang J., K.D. Wei and H. Yan,2007, "Participation Costs and the Sensitivity of Fund Flows to Past Performance", The Journal of Finance,62(3), pp.1273-1311.
[88]Huij J. and M. Verbeek,2007, "Cross-Sectional Learning and Short-Run Persistence in Mutual Fund Performance", Journal of Banking & Finance, 31(3),pp.973-997.
[89]Hvide H.K.,2002, "Tournament Rewards and Risk Taking", Journal of Labor Economics,20(4), pp.877-898.
[90]Idzorek T.M. and F. Bertsch,2004, "The Style Drift Score", The Journal of Portfolio Management,31(1), pp.76-83.
[91]Ippolito R.A.,1992, "Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry", Journal of law and Economics, 35(1),pp.45-70.
[92]Ivkovic Z. and S. Weisbenner,2009, "Individual Investor Mutual Fund Flows", Journal of Financial Economics,92(2), pp.223-237.
[93]Jans R. and R. Otten,2008, "Tournaments in the Uk Mutual Fund Industry", Managerial finance,34(11), pp.786-798.
[94]Jensen M.C.,1968, "The Performance of Mutual Funds in the Period 1945-1964", The Journal of Finance,23(2), pp.389-416.
[95]Jiang G.J., T. Yao and T. Yu,2007, "Do Mutual Funds Time the Market? Evidence from Portfolio Holdings", Journal of Financial Economics,86(3), pp.724-758.
[96]Jin L. and A. Scherbina,2004, "Disposition Effect among Mutual Fund Managers", Working Paper, Harvard Business School.
[97]Kahn R.N. and A. Rudd,1995, "Does Historical Performance Predict Future Performance?", Financial Analysts Journal,51(6), pp.43-52.
[98]Kempf A. and S. Ruenzi,2008, "Tournaments in Mutual-Fund Families", Review of Financial Studies,21(2), pp.1013-1036.
[99]Kempf A., S. Ruenzi and T. Thiele,2009, "Employment Risk, Compensation Incentives, and Managerial Risk Taking:Evidence from the Mutual Fund Industry", Journal of Financial Economics,92(1), pp.92-108.
[100]Keswani A. and D. Stolin,2008, "Which Money Is Smart? Mutual Fund Buys and Sells of Individual and Institutional Investors", The Journal of Finance, 63(1), pp.85-118.
[101]Khorana A.,1996, "Top Management Turnover an Empirical Investigation of Mutual Fund Managers", Journal of Financial Economics,40(3), pp.403-427.
[102]Khorana A.,2001, "Performance Changes Following Top Management Turnover:Evidence from Open-End Mutual Funds", Journal of Financial and Quantitative Analysis,36(3), pp.371-394.
[103]Koski J.L. and J. Pontiff,1999, "How Are Derivatives Used? Evidence from the Mutual Fund Industry", The Journal of Finance,54(2), pp.791-816.
[104]Kosowski R., A. Timmermann, R. Wermers and H. White,2006, "Can Mutual Fund "Stars" Really Pick Stocks? New Evidence from a Bootstrap Analysis", The Journal of Finance,61(6), pp.2551-2595.
[105]Lakonishok J., A. Shleifer, R. Thaler and R. Vishny,1991, "Window Dressing by Pension Fund Managers", The American Economic Review,81(2), pp.227-231.
[106]Lakonishok J., A. Shleifer and R.W. Vishny,1992, "The Structure and Performance of the Money Management Industry", Brookings Papers on Economic Activity. Microeconomics,1992(1992), pp.339-391.
[107]Lazear E. and S. Rosen,1981, "Rank-Order Tournaments as Optimum Labor Contracts", Journal of Political Economy,89(5), pp.841-864.
[108]Lynch A.W. and D.K. Musto,2003, "How Investors Interpret Past Fund Returns", The Journal of Finance,58(5), pp.2033-2058.
[109]Malkiel B.G.,1995, "Returns from Investing in Equity Mutual Funds 1971 to 1991", Journal of Finance, pp.549-572.
[110]Moldovanu B. and A. Sela,2001, "The Optimal Allocation of Prizes in Contests", The American Economic Review, pp.542-558.
[111]Nanda V., Z.J. Wang and L. Zheng,2004, "Family Values and the Star Phenomenon:Strategies of Mutual Fund Families", Review of Financial Studies,17(3), pp.667-698.
[112]Patel J., R. Zeckhauser and D. Hendricks,1991, "The Rationality Struggle: Illustrations from Financial Markets", The American Economic Review, 81(2),pp.232-236.
[113]Pollet J.M. and M. Wilson,2008, "How Does Size Affect Mutual Fund Behavior?", The Journal of Finance,63(6), pp.2941-2969.
[114]Qiu J.,2003, "Termination Risk, Multiple Managers and Mutual Fund Tournaments", European Finance Review,7(2), pp.161-190.
[115]Rakowski D.,2010, "Fund Flow Volatility and Performance", Journal of Financial and Quantitative Analysis,45(01), pp.223-237.
[116]Rekenthaler J., M. Gambera and J. Charlson,2006, "Estimating Portfolio Style in Us Equity Funds", The Journal of Investing,15(3), pp.25-33.
[117]Rosen S.,1986, "Prizes and Incentives in Elimination Tournaments", American Economic Review,76(4), pp.701-715.
[118]Sapp T. and A. Tiwari,2004, "Does Stock Return Momentum Explain the "Smart Money" Effect?", The Journal of Finance,59(6), pp.2605-2622.
[119]Sensoy B.A.,2009, "Performance Evaluation and Self-Designated Benchmark Indexes in the Mutual Fund Industry", Journal of Financial Economics,92(1), pp.25-39.
[120]Sharpe W.F.,1992, "Asset Allocation:Management Style and Performance Measurement", The Journal of Portfolio Management,18(2), pp.7-19.
[121]Sirri E.R. and P. Tufano,1998, "Costly Search and Mutual Fund Flows", The Journal of Finance,53(5), pp.1589-1622.
[122]Smith K.V.,1978, "Is Fund Growth Related to Fund Performance?", The Journal of Portfolio Management,4(3), pp.49-54.
[123]Spitz A.E.,1970, "Mutual Fund Performance and Cash Inflows", Applied Economics,2(2), pp.141-145.
[124]Swinkels L. and L. Tjong-A-Tjoe,2007, "Can Mutual Funds Time Investment Styles?", Journal of Asset Management,8(2), pp.123-132.
[125]Taylor J.,2003, "Risk-Taking Behavior in Mutual Fund Tournaments", Journal of Economic Behavior & Organization,50(3), pp.373-383.
[126]Treynor J. and K. Mazuy,1966, "Can Mutual Funds Outguess the Market", Harvard Business Review,44(4), pp.131-136.
[127]Wermers R.,2000, "Mutual Fund Performance:An Empirical Decomposition into Stock-Picking Talent, Style, Transactions Costs, and Expenses", The Journal of Finance,55(4), pp.1655-1703.
[128]Zhang Z., L. Ding and S. Zhou,2010, "Funds Performance and Top Management Turnover:Evidence from the UK Unit Trust Industry", Working Paper, Durham Business School.
[129]Zheng L.,1999, "Is Money Smart? A Study of Mutual Fund Investors'Fund Selection Ability", The Journal of Finance,54(3), pp.901-933.