ܢௐࠎࣁሧӁᇂࠢᇏ؇აሧི࣮ࠛ ࢳޠม ᇛഒڡ čᇏ॓ն࿐ࣜ࠶࿐ჽđК ݱ430074Ď < >ᅋေğЧ໓ྩᆞਔSimone Brands FU BMč Ď࣮ᇏҐႨ֥ܢௐᇂބྛြᇂࠢᇏ؇ᆷѓđѩҐႨਆࢨ؍݂߭ٚمđ൮༵ࠎႿರඔऌ݂֤߭֞ࠎࣁ҂࠱؇൬ၭđಖުႋႨ٤ޙQBOFM EBUBଆؓ ᆺဢЧࠎࣁ࠱؇ӑح൬ၭაሧӁᇂࠢᇏ؇ඔऌࣉྛ࣮đࢲݔཁൕܢௐ࿊ᄴഈ֥ሧӁᇂࠢᇏ؇۳ࠎࣁջটਔӑح൬ၭđطྛြሧӁᇂݖ؇ࠢᇏ۳ࠎࣁջটਔാնႿ൬ၭbࢠն֥ሧӁܿଆѩીႵ۳ࠎࣁջটݖ֥ۚ൬ၭb ܱՍğሧӁᇂࠢᇏ؇ĠሧིࠛĠܢௐࠎࣁĠሧܵ ቔᆀࡥࢺğࢳޠมđᇏ॓ն࿐ࣜ࠶࿐ჽѰൖളđ࣮ٚཟğࣁವ࠹ਈࣜ࠶࿐bᇛഒڡđᇏ॓ն࿐ࣜ࠶࿐ჽڬ࢝൱đ࣮ٚཟğඔࣁವaࣁವ࠹ਈࣜ࠶࿐b ᇏٳোݼğ' ໓ངѓ്ğA Abstract : This paper examines the relationship between investment performance and concentration in Chinese active stock portfolios funds, using the model developed by Simone Brands et ačl2004Ď. A two-step regression is used in this study: the first step is to get excess return of samples in different quarters, using different regression models; an unbalanced panel data model of 30 active mutual funds is used in the second step. The study shows a positive relationship between fund performance and portfolio concentration of stock, but a negative relationship between fund performance and portfolio concentration of industry. I also find funds with better performance tend to be those having smaller aggregate assets. Key words : portfolio concentration; investment performance; stock funds; unbalanced panel data ႄ ࠎࣁሧӁᇂࠢᇏ؇൞ܢௐࠎࣁሧ֥ᇗေหᆘᆭ၂bؓᆃ၂໙ีॖ༥ٳູਆٚ૫ğః၂đหקൈׄഈࠎࣁሧӁᄝหקܢௐބྛြഈ֥ࠢᇏđॖّ႘ԛࠎࣁ֥ࣜ࿊ܢି৯Ġఃؽđࠎࣁᄝ҂ൈׄഈࠢᇏࠇٳሧӁॖ॥ᇅڄགđᆃսіਔࠎࣁ֥ᄴൈି৯bᆃ၂නਫ਼ර[7]ެބFama-Frenchč1993Ďؓܢௐ൧ᆴնཬaၛࠣᅬ૫൧ᆴбؓሧӁቆކ֥൬ၭ܊ངোරđൌ࠽ഈࠧࠎࣁሧڄູ۬ཬܢđಯႵॖିᄝሧӁᇂഈ٤ӈࠢᇏbሧӁᇂ֥ᆷѓቋିّ႘ࠎࣁࣜؓ൧ӆ֥Ϝၛࠣ൞ڎᅧਔ٤܄܋ཨ༏b [11]Ֆݓຓ࣮টुđሱGrossmanބStiglitzč1980Ďؓ൧ӆႵིྟ֥ᇉၐၛࠣཌྷܱ֥҂၂ᇁᆣऌູࠎࣁ֥ࣜࠒࠞܵҦิ܂ਔં၇ऌbԛགྷਔ၂༢ਙ֥໓ངؓࠎࣁིܵࠛ[10][6][1]֥࣮đೂGrinblattބTitmanč1989ĎđDainel et al.(1997), Black et al.č1999ĎđBrinson [2][5][14][15]et al.č1986đ1991Ďđchen et al. (2000)đWermersč2000ĎđWermersč2003Ďđ[8]GallagherބLooič2005Ď࣮֩bႮႿҐ౼֥бࢠࠎሙ҂đޓ؟࣮ؓࠎࣁ൞ڎႵૼཁӑح൬ၭࢲંҵၳࢠնđؓࠎࣁӑح൬ၭটჷ֥ษં္ᇓ၂൞bSimone Brands FU [12]BM
ၛࠣKacpertczykđSialmބZhangč2005Ď֥࣮đิԛਔޙਈࠎࣁሧӁᇂࠢᇏ؇֥ᆷѓbЧ໓ᇶေҐႨਔᆃਆ۱ᆷѓࣉྛ࣮b [19][20]ݓଽՒč2001Ďa౩െč2001Ďࢠᄪࢺകਔݓຓ֥ࠎࣁིࠛࡎંbՎުđ[22][18][17]ᅦྍaૼč2002ĎđລܻӮč2002Ďđୂ්ᄉč2002Ď֩नҐႨࠎႿޘࢩ૫؇ਈٚمॉҳࠎࣁြࠛđఃࢲݔնཁൕࠎࣁ҂ऎСᄴൈބ࿊ܢି৯bྍ֥࣮࣍ೂࢀཫಆ[16]č2007ĎҐႨ૫ϰඔऌଆؓሧӁᇂིੱࣉྛਔ࣮đᆷԛሧࠎࣁ֥ြࠛҵၳᇶေ 1
ჷႿࠎࣁ֥ࣜ࿊ܢି৯ބሧӁᇂڄ۬b ሸކᇏݓᆣಊሧࠎࣁሧྛြหᆘुđႮႿࠎࣁࣜթᄝࢠ֥ۚੀੱđࠎࣁሧڄ۬ᄝൈࡗഈэޓնđᄝ؋௹ଽࠎࣁ൬ၭॖିթᄝ࿃ྟbՎຓđࠎࣁӻႵֆᆺܢௐഈཋथקਔࠎࣁӻܢূགྷའbၹՎđֆՂҐႨࢩ૫݂֤֥߭֞Jensenαࠇڿࣉ֥Sharpeбੱޙਈࠎࣁ֥ᄴൈބ࿊ܢି৯đႮႿఃൈэྟޓ֤֞ॖྐ֥ࢲݔbҐႨpanel dataଆ൞ࢠݺ֥ڿࣉbਸ਼၂ٚ૫đေؓࠎࣁሧӁᇂིࠛࣉྛധೆ࣮đࣼсྶႨࠎࣁӻܢ֥བྷ༥ྐ༏bႮႿݓࠎࣁ֥ྐ༏ࠏᇅथקਔ࠱؇ඔऌ൞ॖࠆ֤֥đЧ໓ҐႨਔބࠎࣁຩ܄֥҃܄ඳ࠱؇ӻܢބྛြᇂಃᇗඔऌ࠹ෘਔၛഈਆ۱ᇗေᆷѓđѩႋႨ٤ޙ૫ϰඔऌ࠹ਈࣜ࠶ଆؓࠎࣁ֥ሧӁᇂࠢᇏ؇აӑح൬ၭᆭࡗ֥ܱ༢ࣉྛ࣮b эਈބඔऌ૭ඍ ၂aଆඪૼ [7][11]ᄝଆ࿊ᄴഈđЧ໓ҕॉਔSimons Brands et al.č2004ĎބKacperczyk et al.č2005Ď֥ଆഡ࠹bఃᇏުᆀҐႨ֥݂߭ଆྙൔೂ༯ğ Performance=β+βDI+βTU+βlgTNA+βlgLNG+βITI+ε č1Ď i,t01i,t−12i,t−13i,t−14i,t−15i,t−1i,tଆဒᆣਔࠎࣁིࠛაሧӁࠢᇏ؇ᆭࡗ֥ܱ༢bఃᇏPerformancečࠎࣁིࠛĎ൞ᆷࠎࣁ֥ӑح൬ၭbӈႨ֥֞ҩ؇ٚمބᆷѓႵࠎࣁ൬ၭაڄག০ੱҵđೂൔč2ĎbJensenᆷඔđॖࠎႿൔč3Ď֥ֆٚӱଆđࠇຉᅚ֥Jensen؟ၹଆđೂFamaބFrenchč1993đ[6][4]1996Ď֥ၹଆၛࠣЇওਔିིႋ֥Carhartč1995Ď֥ඹၹଆđೂൔč4Ďb R=r−r č2Ď ititftR=α+βRMF+ε č3Ď itiititR=α+βRMF+βB+βML+β1YR+ε č4Ď itiitSMBitHMLitPRititJensenᆷඔॖࠎႿCAPMᆣಊ൧ӆཌ݂߭ٚӱ֤֞bൔ(4)ᇏRMRFູ൧ӆቆކ֥ࡆಃtᆷඔđᄝ҂ൈ௹ٳљҐႨധ300ᆷඔࠇഈᆣ180ᆷඔބധᆣ100ᆷඔࡆಃކӮᆷඔսіđ[20]ਆᆷඔ֥ࡆಃҐႨਔ൯مč2005ĎҐႨ֥ࡥֆࡆಃٚمbڄག০ੱҐႨ۲ൈ௹۱ᄅթॻ০ੱĠSMBູࠎࣁӻႵ֥նܢაཬܢ൬ၭᆭҵđ၂Ϯοᅶܢௐ൧ᆴஆٳোđt֩ಃᇗ࠹ෘແ20%ܢௐြࠛᆭҵĠHMLູοᅶP/Bᆴஆުభ20Ċඔऌაު20Ċܢௐඔtऌ൬ၭᆭҵĠPR1YRູіགྷቋݺ30Ċܢௐაު30Ċܢௐ൬ၭᆭҵbЧ໓ٳљᄝૄ၂࠱؇tଌοᅶ൧ᆴaP/Bؓӻܢஆđಖު࠹ෘ൮໊ܢௐაଌ໊ܢௐ൬ၭರඔऌᆭҵսіSMBބtHMLིႋbᄝ࠱؇ଌᅳ֞֒ൈಯӻႵ֥ഈ࠱؇іགྷቋݺ֥ܢௐđႨః൬ၭսіିིtႋbಖުҐႨ(4)ൔ֤֞۲࠱؇֥αb i 2
ູਔဒᆣࠎࣁሧቆކሧӁࠢᇏ؇აሧི֥ܱࠛ༢đႋಀԢࠎࣁܿଆބିིႋ֥႕ཙđၹՎଆč1Ďᇏི֥ࠛޙਈႋٳљؓႋଆč2Ďač3Ďࠇč4Ďᇏ֥Jensenᆷඔαb[9]ՎຓGoodwinč1998ĎᄻҐႨྐ༏бđႨႿࣉ၂҄ႨႿ٤༢ྟڄགીႵປಆٳ֥౦ঃđೂൔč5ĎbЧ໓ٳљҐႨਔၛഈٚمܙ࠹֤֥֞ӑح൬ၭቔູଆč1Ďᇏ֥Фࢳэਈඔऌb αi,tAPR= č5Ď i,tσi,tՖଆč1Ďᇏॖၛु֞đھଆࡌഡࠎࣁಀԢ༢ڄག֥ӑح൬ၭॖၛႮ֩ൔႷш֥۲эਈࢳbఃᇏđDIູࠎࣁሧӁٳᆷඔđఃקၬೂ༯ğ NFFM2DI(W−W) č6Ď ∑ti,ti,ti=1FMWіൕࠎࣁӻႵֻ֥iᆦܢௐᅝࠎࣁ෮Ⴕܢௐ൧ᆴ֥бੱđWіൕ൧ӆࠎሙቆކӻi,ti,tႵֻ֥iᆦܢௐᅝ෮Ⴕ۱ܢቆކ൧ᆴ֥бੱbഈൔ֥ٚҵྙൔіൕܢௐࠎࣁა൧ӆቆކᄝሧӁᇂഈ֥ҵၳbႮႿܢௐࠎࣁބࠒࠞᇂࠎࣁᄝܢௐሧӁᇂഈေ֥ಃᇗ҂֩đFၹՎ࿊ᄴэਈSOFսіࠎࣁᄝܢௐሧӁᇏᇂ֥ሧࣁб২đႨၛྩᆞDIbྩᆞު֥i,ttFDIູğ tNFFM2DI(W−W)gSOF (7) ∑ti,ti,ti,ti=1TUູࠎࣁሧӁ֥ߐ൭ੱđః࠹ෘ၂Ϯ൞Ⴈࠎࣁ၂୍ᇏᆣಊሧሹઙೆਈބሹછԛਈi,tᇏࢠཬᆀđԢၛࠎࣁૄᄅन࣪ሧӁbᆃૌҐႨuഈݚᆣಊࢌၞ෮࠹୍vބuധᆣᆣಊࢌၞ෮൧ӆ࠹୍vᇏ֥ࠎࣁࢌၞਈඔऌb lgTNAູࠎࣁiᄝt−1௹֥࣪ሧӁሱಖؓඔđႮႿݓࠎࣁြթ࿃௹ࢠ؋đࠎࣁࣜi,t−1֥ሧྛູႋھ൳ഈ௹ሧӁ࣪حჿඏđၹՎૌࡼэਈഡ࠹ູlgLNGb i,t−1lgLNGູࠎࣁࣜ௹֥ሱಖؓඔđႮႿݓຓࠎࣁࣜ௹ࢠӉđၹՎӮູޙਈࠎi,t−1ࣁൌ࠽թ࿃௹֥ᆷѓbطݓࠎࣁࣜՖᆯ௹ुđੀੱޓնః҂ିቔູޙਈࠎࣁ໗קթ࿃௹֥ᆷѓbၹՎЧ໓ചఙਔᆃ၂ᆷѓb ITIູࠎࣁiభնྛြܢௐಃᇗაࠎࣁြӻܢྛြनб২֥ٚҵđקၬೂ༯ğ i,tNFFM2ITI(W−W) č8Ď ∑i,ti,ti,ti=1Mսі൧ӆ۲ྛြᇂ֥WඔऌҐႨ֥൞۲࠱؇ଌն۲ྛြ൧ᆴбbॉ੮֞ࠎࣁ֥i,tြࠛ൳֞ഈ၂௹֥ሧӁᇂ౦ঃ႕ཙđၹՎ۲ᆷѓनҐႨਔ࠱؇Ԛ֥ሧӁᇂಃᇗđႨt-1 3
іൕđط൬ၭᄵ൞ҐႨ݂߭ٚم࠹ෘ֤֥֞࠱؇αb๙ݖؓଆൔč1ĎࣉྛྩᆞđЧ໓ቋު࿊קೂ༯֥݂߭ଆğ FPerformance=β+βDI+βTU+βlgTNA+βITI+ε č9Ď i,t01i,t−12i,t3i,t−14i,t−1i,tؽaඔऌ૭ඍ Ч໓࿊ᄴਔބࠎࣁຩ܄֥҃۲ൈ௹ष٢ൔࠎࣁᇏ֥ܢௐࠎࣁbՖဢЧਈഈुđႮႿष٢ൔࠎࣁ൞ሱ2003୍ၛުҌॹؿᅚđطࠎࣁඔႻթᄝᇯ୍ᄹӉ֥൝đၹՎᆺ࿊ᄴਔሱ2003ቋު1࠱؇ԛགྷ֥30ᆺܢௐࠎࣁູဢЧđဢЧൈ௹ॴ؇֞2007୍ֻ2࠱؇b Fᄝടࠣ֞JensenᆷඔaDIބITI࠹ෘൈđ෮Ⴈڄག০ੱູ۲࠱؇3۱ᄅթॻ০t−1i,t−1ੱđ൧ӆቆކࠎሙ࿊ᄴധ300ᆷඔ൬ၭđᄝ2005୍ഈ϶୍ၛభ൧ӆࠎሙ࿊ᄴഈᆣ180ބധᆣ100ᆷඔࡥֆࡆಃb۲ᆷඔ҂ൈ௹֥ဢЧܢܒӮॖҕᅶഈݚᆣಊࢌၞ෮ބധᆣᆣಊࢌၞ෮܄֥҃ᆷඔܒӮđಃᇗܒӮॖҕॉ۲୍uഈݚᆣಊࢌၞ෮࠹୍vބuധᆣᆣಊࢌၞ෮൧ӆ࠹୍vb FDIބITI֥࠹ෘਈཌྷ֒ஔնđૌ࿊ᄴਙԛਔ2007୍ֻ2࠱؇ 30ᆺࠎࣁDI֥t−1i,t−1M࠹ෘࢲݔbఃᇏđ൧ӆࠎሙҐႨധ300ᆷඔ֥۲ဢЧܢಃᇗսіWđႮႿധ300ᆷi,tඔဢЧܢ֥טᆜэ߄ބಃᇗ֥ൈэྟđھ࠱؇֥൧ӆࠎሙಃᇗҐႨ2007୍6ᄅ15ರဢЧܢMFಃᇗቔູW֥ൌ࠽ᆴbWҐႨބຩ܄֥҃ӻܢࠢᇏ؇2007୍ֻ2࠱؇ඔऌbၛ༯൞i,ti,t۴ऌ30ᆺࠎࣁభնಃᇗܢ࠹ෘԛ֥DIᆴ֥࠹หᆘđႮႿږᆺਙԛభ5նಃᇗܢDIFᆴđބ۴ऌభնಃᇗܢ࠹ෘԛ֥DIބđࠧDIđႮႿDI࠹ෘູ֥ܢௐಃᇗٚҵđၹՎtඔᆴࢠཬđૌҐႨਔ100П֥DIቔູБۡᆴğ і1 2007୍2࠱؇30ᆺܢௐࠎࣁDIᆴ ࠹ FFFFFFDIč%Ď DIč%ĎDIč%ĎDIč%ĎDIč%Ď DIč%Ď12345tหᆘ ቋնᆴ ቋཬᆴ -04 नᆴ ѓሙҵ ๙ݖі1֥ቋնᆴބቋཬᆴॖၛुԛđࠎࣁᄝܢௐሧӁᇂഈႵ֥აധ300ҵၳ҂FնđႵ֥ᄵҵၳޓնđᆃିԉٳඪૼࠎࣁࣜ࿊ܢҦ֥ҵၳbDIၛު֥ඔᆴ࠹ෘࢲݔ5ԛགྷਔਬᆴđᆃུࠎࣁభ5նಃᇗܢࠫެᅝऌਔᇶေܢௐሧӁbطႵ֥ࠎࣁభնಃᇗܢಯᅝऌ҂֞ࠎࣁܢௐሧӁ֥50%đॖఃሧӁቆކ֥Ҧҵၳb Mဢđ۴ऌ30ᆺࠎࣁభնྛြܢ࠹ෘԛITIᆴ֥࠹หᆘđؓႋ֥Wູބࠎi,t−1i,tࣁ܄֥҃2007୍2࠱؇֥ࠎࣁӻܢྛြٳ҃б২bႮႿږᆺਙԛభ5նಃྛြᇗܢITIi,tᆴđބ۴ऌభնಃྛြᇗܢ࠹ෘԛ֥ITIބđࠧITIđೂі2b۴ऌၛഈٚمॖၛ࠹ෘi,tt 4
֤ԛ۲࠱؇30ᆺࠎࣁ֥DIބITIቔູࠎࣁሧӁᇂࠢᇏ؇ބྛြ࿊ᄴࠢᇏ؇֥ᆷѓđؓi,tࠎࣁ֥ӑح൬ၭቓԛࢳb і2 2007୍ֻ2࠱؇30ᆺܢௐࠎࣁITIᆴ ࠹ ITI(%) ITIč%ĎITIč%ĎITIč%ĎITIč%Ď ITIč%Ď1,t2,t3,t4,t5,ttหᆘ ቋնᆴ ቋཬᆴनᆴ ѓሙҵ ؓႿӑح൬ၭđ1૭ඍਔ30ᆺࠎࣁҐႨൔč2Ďіൕ֥࠱؇ӑح൬ၭੱनᆴэđڄག০ੱ࿊ᄴ֥൞۲࠱؇ၿྛ3۱ᄅթॻ০ੱb ࠱؇ 1 30ᆺࠎࣁ࠱؇ӑح൬ၭੱनᆴэ і3૭ඍਔ۴ऌč3Ďބč4Ďܙ࠹֤֥֞2007୍ֻ2࠱؇Jensenαđః࠱؇ᆴॖ๙ݖؓႋ࠱؇ଽರඔऌܙ࠹֤֞bႮႿږ෮ཋđໃਙԛߐ൭ੱTUބ۲௹௹ଌࠎࣁሧӁܿଆTNA֥ඔऌđཌྷܱඔऌॖᄝބຩၛࠣཌྷܱᆣಊࢌၞ෮֥࠹୍ᇏࠆ౼b і3 ۴ऌč3Ďބč4Ďܙ࠹֤֥֞α ࠎࣁӫ ࠎࣁս +FOTFOαč Ē ĎĊ +FOTFOαč Ē ĎĊ ༱ӮӉ ࣁႊᇏཬࣚ࿊ νԷྍ νᇏݓ"ܢ ѰൈࡎᆴᄹӉ Ѱൈღڶ ࡁൌӮӉ൬ၭ ࡁൌҍᄹӉ ၞٚղࠒࠞӮӉ ӉഹӮӉࡎᆴ նӮࡎᆴᄹӉ ڶݓ฿ჷޙ ӑح൬ၭੱ
ၞٚղ໗ᄹӉ ၿފ໗ࡲ ௴฿൬ၭ ವ๙ྍডԔ ղހၿӮӉ ղހၿᇛ௹ ղހၿ໗ק ၿႪ൝ఒြ ଲٚ໗ࡲӮӉ வྛြӮӉ ࣁႊႪ࿊ Џ႔ޟ০൬ၭ ᅱഅνܢௐ ᅱഅνޙ Џूཨٮ Џूਲࠃᇂ ֣ഹ໗ࡲ ଲٚۚᄹӉ-0' ᇿğֻ ਙᇏඔऌ۴ऌൔč Ďܙ࠹֤֞đֻඹਙඔऌ۴ऌൔč Ď֤֞ ଆܙ࠹ࢲݔ ؓႿൔč1Ďࠇൔč9Ď֥ܙ࠹đࢠᄪ֥ٚم൞ؓൈࡗਙ߃ٳ҂ࢩ૫ࣉྛ݂߭đՖ[7]طࠆ֤݂߭༢ඔᄝ҂ൈࡗࢩ૫ഈ֥ᆴbೂభ૫ิ֥֞FamaބFrenchč1993đ1996Ď֥[16]ၹଆbྍ֥࣍໓ངᄵࢠ؟֥ҐႨਔޙPanel dataଆđೂࢀཫಅč2007Ďؓࠎࣁࠛ[13]ི֥࣮bSimons Brands et al.č2004Ď֥࣮ᄵҐႨਔ1995୍1ᄅĒ2001٤ޙ૫ϰඔऌčUnbalance Panel dataĎ֥ٚمbᆃဢ֥ܙ࠹ٚمીႵॉ੮֞ܙ࠹ਈ֥ႵཋဢЧหྟđ[3]ൈ္ીႵॉ੮ࠎࣁြ֥ࠛൈཌྷܱbЧ໓ҐႨਔBrunoč2005Ď֥Ⴕொ࣯ᆞ֥LSDVٚمؓႵཋࢩ૫۱ุ֥٤ޙ૫ϰඔऌࣉྛܙ࠹bႮႿဢЧਈնđીႵ۳ԛ۲ဢЧࠎࣁ֥ࢩएҵၳđࣇ۳ԛэਈ֥݂߭༢ඔބᇶࢩएཛđ෮Ⴕࢲݔनᄝstata10ᇏປӮđѩᆰࢤҐႨਔBruto[3]č2005Ďषؿ֥stataႋႨӱLSDVđ݂߭ࢲݔೂі4ğ і4 ଆč8Ď֥૫ϰඔऌ݂߭ࢲݔ 2эਈ ༢ඔ t࠹ਈ Wald࠹ਈ טᆜ֥R ҐႨč2Ďൔ֤֥֞αіൕӑح൬ၭ ࢩए % *** ***TU LogčTNAĎ ITI 6
ҐႨč3Ďൔ֤֥֞αіൕӑح൬ၭ ࢩए % *** ***TU LogčTNAĎ ** ITI *** ҐႨč4Ďൔ֤֥֞αіൕӑح൬ၭ ࢩए % *** ***TU LogčTNAĎ *** ITI ҐႨč5Ďൔ֤֥֞αӑح൬ၭ ࢩए % *** ***TU LogčTNAĎ *** ITI *** ࢲ ં ๙ݖі4ཁൕ֥݂߭ࢲݔॖၛ֤ԛၛ༯ࢲંğ 1.ն؟ඔ݂߭༢ඔनбࢠཁᇷđ࣐ܵҐႨ҂֥ӑح൬ၭޙਈѓሙđࢩएཛ၇ಖૼཁၳႿ0đཁൕԢಀ༢ڄགၛࠣܿଆིႋa൧ᆴིႋބିིႋުđ۲ࠎࣁಯіགྷԛཌྷؓ൧ӆࠎሙ֥ӑح൬ၭbᆃඪૼݓ֥ܢௐሧࠎࣁऎႵ၂ק֥ӑᄀնࠆ০ି৯b ཛ݂߭༢ඔૼཁູᆞᆴđඪૼཌྷؓႿധ300ᆷඔ֥ࢠູन֥ሧӁᇂбᇗđ۲ဢЧࠎࣁӻႵ֥նডԔܢбᇗࢠնđၹՎᆃ۳ဢЧࠎࣁջটਔӑح൬ၭb݂߭༢ඔ௴ђࢠཬđඪૼധ300֩ᆷඔဢЧܢЧദၘऎႵਅݺ֥ြࠛބࢠཬ֥ڄགđޓ؟ࠎࣁ֥ࠎࣁᇂҕᅶਔᆷඔӻܢ֥ሧӁᇂb ཛ༢ඔૼཁູᆞđඪૼՖݓܢௐࠎࣁᄝሧӁᇂഈթᄝࢠ֥ۚߐ൭ੱሑঃđطߐ൭ੱݖۚಒൌ۳ࠎࣁջটӑح൬ၭbಖطđ֥ۚߐ൭ੱ္߶ᄹࡆࠎࣁҠቔڄགđᄝܢ൧ԩႿ༯ࢆ๙֡ൈॖି֝ᇁြࠛᄝധ300ᆷඔᆭ༯b ཛ༢ඔૼཁູڵđරެაDI֥݂߭༢ඔ؛bॖିّ႘ԛݓܢௐࠎࣁթᄝ؋௹ݖ؇әቔีҋྛြྛູbაၛഈ֥ߐ൭ੱࢲކఏটुđᆃᇕྛູ၂ٚ૫۳۱љࠎࣁջটਔӑح൬ၭđਸ਼၂ٚ૫ಏᄝӉ௹ଽࡆखਔ൧ӆሹุڄགbᄝӉ௹ࣜ࠶ᇛ௹༯ॉҳᆃᇕྛູđӁള֥ڄགാေնႿః൬ၭb 7
5.ࠎࣁܿଆཛ༢ඔູڵđࢠູཁᇷbॖି֥ჰၹ൞ࠎࣁᄝଢঔնܿଆ֥ൈđᄝሧӁᇂഈིੱѩ҂ۚbၹՎđ֝ᇁਔܿଆა൬ၭᆭࡗ֥ཟܱ༢b ሸކၛഈđЧ໓ቋܱᇿ֥ࢲݔູDIᆷѓބITIᆷѓؓࠎࣁӑح൬ၭ֥႕ཙđ๙ݖٳ༅ؿགྷܢௐࠎࣁሹุᄝ࿊ᄴܢௐഈऎႵӑᄀն֥Ⴊ൝bᄝྛြ࿊ᄴഈթᄝݖ؇ࠢᇏәቔีҋྛြ໙ีbࠎࣁᄝሧӁᇂഈሇߐෙॖܿхڄགࠆ౼ӑح൬ၭđᄝ࠱؇ൈࡗॴ؇ଽݖ؟ֹߐ൭ಏѩໃջটሹุഈ֥ӑح൬ၭbၹՎđႄ֝ࡎᆴሧ֥ࠎࣁႋЌӻᄝሧӁᇂഈ֥໗קބࠢᇏđх૧ݖ؟֥؋ཌәቔb ҕॉ໓ངğ [1] Blake, D., Lehmann, B., Timmermann, A., 1999,Asset Allocation Dynamics and Pension Fund Performance,Journal of Business, Vol. 72(4), pp429-461. [2] Brinson, G., Singer, B., Beebower, G,1991,Determinants of Portfolio Performance II: An Update, Financial Analysts Journal, Vol. 47(2), pp40-48. [3] Bruno, . 2005. Approximating the bias of the LSDV estimator for dynamic unbalanced panel data models. Economics Letters, 87, 361-366. [4] Carhart, M., 1997, On Persistence in Mutual Fund Performance, Journal of Finance, Vol. 52(1), pp57-82 [5] Chen, H., Jegadeesh, N., Wermers, R, 2000, The Value of Active Mutual Fund Management: An Examination of the Stockholdings and Trades of Fund Managers, Journal of Financial and Quantitative Analysis, Vol. 35(3), pp343-368. [6] Daniel, K., Grinblatt, M., Titman, S., Wermers, R., 1997, Measuring Mutual Fund Performance with Characteristic-Based Benchmarks, Journal of Finance, Vol. 52(3), pp1035-1058. [7] Fama, E., French, K, 1993,Common Risk Factors in the Returns on Stocks and Bonds, Journal of Financial Economics, Vol. 33(1), pp3-56. [8] Gallagher, D., Looi, 2005, Behavior and the Performance of Daily Institutional Trades, Accounting and Finance, Forthcoming. [9] Thomas H Goodwin,1998. The information ratio, Financial Analysts Journal,Vol. 54(4), pp34-44. [10] Grinblatt, M., Titman, S, 1989,Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings, Journal of Business, Vol. 62(3), pp393-416. [11] Grossman, S., Stiglitz, J,1980, On the Impossibility of Informationally Efficient Markets, American Economic Review, Vol. 70(3), pp393-407. [12] Kacperczyk, M., Sialm, C., Zheng, L,2005, On the Industry Concentration of Actively Managed Equity Mutual Funds, Journal of Finance, Vol. 60(4), pp1983-2011. [13] Simone Brands,Stephen J. Brown,David R. Gallagher,2004,Portfolio Concentration and Investment Manager Performance,Working Study, The University of New South Wales. [14] Wermers, R, 2000, Mutual Fund Performance: An Empirical Decomposition into Stock-Picking Talent, Style,Transactions Costs and Expenses, Journal of Finance, Vol. 55(4), pp1655-1695. [15] Wermers, R, 2003, Are Mutual Fund Shareholders Compensated for Active Management “Bets”?, Working Study,University of Maryland. [16] ࢀཫಆđנྮႇēݓᆣಊሧࠎࣁሧӁᇂི࣮ࠛŀįłēࣁವ࣮đ2007đ8
č2Ďē [17] ୂ්ᄉđߩđԊڃēᇏݓᆣಊሧࠎࣁြࠛӻ࿃ྟٳ༅ŀįłēყҩđ2002đčěĎē [18] ລܻӮēࠎࣁ֥൧ӆൈࠏϜି৯࣮ŀįłēࣜ࠶࣮đ2002đč1Ďē [19] Ւēᆣಊሧࠎࣁིࠛܙଆٳ༅ŀįłēࣜ࠶࣮đ2001đč9Ďē [20] ౩െaम༟ēڄགטᆜ֥ሧቆކིࠛҩקᆷѓሸކࡎŀįłēൗࢸࣜ࠶đ2001đč10Ďē [21] ൯مē ݓᆣಊሧࠎࣁི֥࣮ࠛაࡎŀįłēࣜ࠶࣮đ2005đč3Ďē [22] ᅦྍ,ૼēᇏݓᆣಊሧࠎࣁିڎᅞ഻൧ӆĤŀįłēࣁವ࣮đ2002đč1Ďē 9
