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《Journal of Zhongnan University of Finance and Economics》 2004-02
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The Empirical Study on Stock Characteristics of Investment Funds Holdings

YANG De-qun~1 CAI Ming-chao~1 SHI Dong-hui~2 (1.School of Management, Shanghai Jiao Tong University, Shanghai 200052, China; 2.Shanghai Stock Exchange, Shanghai 200120, China)  
This paper uses Investment funds' portfolio in 2002 Annual Reports to empirical study characteristics of investment funds holding. We find that the level of investment funds ownership is significantly related to earnings per share, standard deviation, stock price, market value, turnover and listing ages. These results show that stock characteristics have important effect on investment funds' investment decisions. Further analyses show that investment funds pay attention to listed companies' performance, stock volatility and liquidity risk, and implement value strategies at end of 2002. The other results also show that investment funds have good ability to identity and find stock value, and to adjust portfolio.
【Fund】: 国家自然科学基金资助项目"中国证券投资基金绩效评估与风险控制"(70073017)
【CateGory Index】: F830.91
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