基金橱窗粉饰行为及其影响因素研究-来自中国开放式股票基金的证据

旨在检验我国开放式股票基金市场是否存在季度橱窗粉饰现象,以及揭示基金经理特征和基金自身特征对于橱窗粉饰程度的影响。通过OLS回归,证实在季末存在着显著的窗饰现象。工作年限短、上任超过12个月的经理窗饰行为显著。规模小、多人掌管、历史业绩差的基金窗饰动机更大。而经理性别、学历、基金成立时间、风格、赎回压力等因素对于窗饰程度的影响微弱或没有影响。

Research on window-dressing of fund and its influencing factors-Evidence from Chinese open-end stock fund market

This paper aims to study whether there is quarterly window-dressing behavior in Chinese open-end stock fund market and to disclose the influence of characteristic of fund managers and fund itself on window-dressing extent. Using the methodology of OLS regression, we confirm the existence of window-dressing phenomenon in the quarter-ends. Fund managers with short work experience and who were appointed exceed 12 months window-dressed significantly; funds which are smaller, have several managers and performed poorly in the past have greater motivation; factors such as gender, education, time of establishment, investment style and redemption pressure have no effect on window-dressing.