Analysis of Factors Affecting the Performance of Stock Funds and Timing and Selection Ability of Fund Managers ---The case of China.

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HE, TIANTIAN (2019) Analysis of Factors Affecting the Performance of Stock Funds and Timing and Selection Ability of Fund Managers ---The case of China. [Dissertation (University of Nottingham only)]

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Abstract

As an important investment tool of modern finance, the fund provides investment opportunities and investment channels for individual investors, it also plays a role in prospering and stabilizing financial markets.



The first part of this paper selects stock funds as the research object from March 2014 to March 2019. we regard the risk level and fund size as control variables. The education background, the replacement of fund managers, shareholding ratio, concentration ratio, the growth rate of the fund unit is chosen as independent variables. The growth rate of net value is the measurement of fund performance in this paper. In the second part, we employ two models (T-M model and H-M model) to discover the ability of timing and selection.

The results of the first part show that there is a correlation between the risk level, the size square of the fund, the doctoral degree, concentration ratio, shareholding ratio and fund performance in the overall regression. The risk level and the doctoral degree present a negative correlation while other factors are positive with the dependent variable. Subsequently, it is found that the factors affecting the performance of the fund have changed under different market by running three separate regressions. The results of the second stage show that the timing and selection ability of the sample fund managers is weak, and the relationship between these two abilities is strongly negative. Finally, we have made corresponding suggestions to investors, fund managers， and regulatory authorities respectively through the analysis of all the conclusions.

Keywords: mutual fund; performance; determinants; panel data; selection and timing ability.

Item Type: Dissertation (University of Nottingham only)
Depositing User: He, Tiantian
Date Deposited: 09 Dec 2022 10:25
Last Modified: 09 Dec 2022 10:25
URI: https://eprints.nottingham.ac.uk/id/eprint/58769

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