Translated Abstract
As an institute strategic investor, securities investment fund has scale effect of funds and takes its high efficiency through professional financial management. It is playing an increasingly important role in the cultivation of rational development of stock market. At present, the total asset value of Chinese security investment funds is more than 300 billion Yuan, which is nearly reached to 30 percent of total market value of Chinese stock. Whether these funds work normally is the key point that investors and supervisor always keep an eye on. So, studying the performance of Chinese security investment funds through the construction of funds performance evaluation model closely connected with Chinese funds reality, is not only meaningful in reality but also of important academic value to the enrichment and development of the evaluation theory and method of funds performance. Based on the analysis of funds development history in china and other foreign countries, this paper firstly defines the funds performance as the measurement of stock picking and timing. The paper finds that there exist limitations in the traditional funds performance evaluative models which are all built on the assumption of normal distribution after we systematically studied the classic and forward research models and further applied them in Chinese empirically analysis. The paper breaks through the limitation that the excess return of stock index is the only benchmark of performance, and builds respectively a conditional two factors model and a conditional asymmetric response model based on the funds managers’ selecting ability among stock, bond and cash because there is a skewness in time series of China funds for their short history and small samples. Furthermore, by analyzing those two models into a framework, the paper constructs a conditional two factors asymmetric response model.The paper proves that the conditional two factors model and the conditional asymmetric response model are more effective and reasonable using the samples of Chinese funds, and it comes to the conclusion that these models two models have higher fitness and more reasonable AIC value.The paper measures dynamic performance of Chinese funds using those two models on panel data regressing skill. It is concluded that the funds have significant stock picking ability and timing ability after 2003, and they performs better after 2003 than the years before which is the result of strong competition coming from large issued open-end funds in 2003 and 2004. That means that Chinese funds managers have the capacities of professional management and so the funds tend to develop rationally. The paper further puts forward that these funds managers prefer to more risk taking. There are five main innovations in the paper. Firstly, the paper builds systemically explanative frame using synthetically the leading achievement of portfolio management and finance. Secondly, the paper constructs two reasonable models of funds performance evaluation, that is the conditional two factors model and the conditional asymmetric response model on the specialty of Chinese funds. Thirdly, the paper provides a dynamic game model in which fund managers facing implicit incentives and having boundary liability control portfolio risk, and expanses the behavior of the fund managers’ riskier taking. Fourthly, the paper builds a new nonlinear incentive contract to adjust the shortcomings of incentive system now. At last, the paper evaluates Chinese securities investment funds performance using an advanced econometric method and skewness-adjusted skill in order to make the conclusion trustworthy.
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