【作者】 彭晴；

【导师】 孔东民；

【作者基本信息】 华中科技大学 ， 金融学， 2010， 硕士

【摘要】 证券投资基金是指通过发行基金份额的形式,将大众投资者资金集中起来由基金托管人托管,基金管理人管理,以投资组合的方式进行专业理财、利益共享、风险共担的集合投资方式。知情交易是指由于市场上具有信息不对称的特点,知情者利用自己所拥有的私有信息(private information)来进行股票交易,利用价格差来获取利润。私有信息的范围可以包括上市公司基本面信息、股票持有分布信息、突发事件信息以及通过证券分析得出的股价变化信息等等。本文正是从知情交易的角度来进行研究中国市场基金的投资行为和基金收益的关系。通过采用Easley et al(.1996)提出的知情交易概率(probability of informed trading, PIN)测度,研究中国股市与基金投资业绩之间的关系,并进一步利用基金投资组合的PIN均值作为基金的信息测度。研究发现,知情交易概率与基金业绩之间存在显著的负相关关系。这说明对于基金而言,参与那些具有更高内幕/知情交易的股票,并没有取得更高的收益,或者即使本身作为知情交易者,基金根据所了解的私有信息所进行的交易并未让他们获得更好的收益,甚至反而给他们带来了损失。更多还原

【Abstract】 Securities investment fund refers to funds through the issuance of shares in the form of pooled funds, which is managed by the fund trustees and the fund managers, with a portfolio approach to professional financial management, benefit sharing and risk-sharing. Informed trading means the market has the characteristics of asymmetric information. Insiders use their private information that they owned to trade stock and the difference of price to profit. The scope of private information can include fundamental information of listed companies, stock holders of distributed information, emergency information and analytical information obtained by the change of securities price.From the angle of informed trading, this paper studies the relationship between investment behavior of funds and the performance of funds in the Chinese market. Using the measure of the probability of informed trading in Easley et al. (1996), I study the relationship between the probability of informed trading and the performance of mutual fund in Chinese stock markets. I use the mean of PIN of the individual stocks of mutual fund portfolios as the PIN of the mutual fund. The empirical test shows that there is a significant negative relation between the mutual funds’PIN and the performance. This result means that the participation in informed trading of mutual funds (or as the informed traders themselves) can’t increase their performance.更多还原