Style Classification Analysis of Chinese Mutual Funds

YANG Chao-jun,CAI Ming-chao,XU Hui-quan (Aetna School of Management, Shanghai Jiaotong Univ., Shanghai 200052, China)

Focus strategy and excessive return of specified stocks promote the style formation of mutual funds, but managers often disobey the styles specified in their prospects. The paper used Morningstar-style-box and clustering method in the style analysis of Chinese mutual funds. The conclusion shows that most managers disobeyed the styles in prospects.

【Key Words】： mutual fund investment style clustering analysis promissory style
【Fund】： 国家自然科学基金资助项目(70073017)
【CateGory Index】： F830.9
【DOI】： cnki:ISSN:1006-2467.0.2004-03-010

Can Method Selection Affect Result? Initial Point of Performance Evaluation on Mutual Fund

Zhang Wenzhang Chen Xiangmini

four models, three benchmark portfolios, nine market indexes and five risk-free rate of returns had been tested by 4×3×9×5=540 specific performance evaluation methods. The performance of actual mutual funds is simulated by random selection of portfolios from Chinese security market. The authors find that the evaluation results are rather method sensitive. Different substitute for fundamental models, benchmark portfolios and market indexes can lead to diverse conclusion of mutual fund performance. While test on varies risk-free rate of return display similar result. Further practical suggestions also presented on empirical research from Chinese mutual fund performance.

【Key Words】： Mutual Fund performance evaluation simulative research
【CateGory Index】： F830.91
【DOI】： cnki:ISSN:1002-7246.0.2002-12-002

An Empirical Analysis of Mutual Fund Investment and Stock Volatility

Hu Dachun

This paper applies dynamic panel data models to the stocks listed on Shanghai Stock Exchange and Shenzhen Stock Exchange from 1999 to 2004. We find that institutional investor prefer to the stocks with higher volatility, and on the other side, the increase in institutional holdings results in a decrease in subsequent volatility. Therefore, these institutional investments play a stable role in stock market.

【Key Words】： institutional investor mutual fund volatility dynamic panel data model
【Fund】： 本文得到国家自然科学基金(70601001)的资助
【CateGory Index】： F832.5;F224
【DOI】： CNKI:ISSN:1002-7246.0.2007-04-012