社会信息网络、基金绩效与主动管理能力
首发时间:2019-09-30
摘要:在金融市场中,投资者降低信息获取成本的一种方式是通过各种联系形成的社会网络。针对开放式股票型基金的交叉持股,检验了基金关联持股网络对基金绩效和主动管理能力的影响。实证结果表明,随着基金网络度数中心度和接近中心度的提高,复权单位净值增长率、夏普比率、索丁诺比率和超额收益等基金绩效显著增加。并且,随着基金度数中心度和接近中心度的提高,基金在投资股票时的主动管理能力也显著提高。这些发现有助于从社会信息网络的角度防范风险,为投资者提供借鉴。
关键词: 社会信息网络; 基金绩效;联系;主动管理
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Social Information Network, Fund Performance and Active Management Capabilities
Abstract:In financial markets, one way investors reduce the cost of acquiring information is through social networks formed by various connections. For the cross-shareholding of open-end equity funds, the impact of the fund\'s associated shareholding network on fund performance and active management capabilities was examined. The results show that fund performance such as net worth growth rate, Sharpe, Sortino and excess return also increases significantly as degree centrality and closeness centrality increase. Moreover, with the increase in degree centrality and closeness centrality of networks, fund active management ability of investing stocks has also increased significantly. Based on the above research, it helps to prevent risks from the perspective of social information networks and provide investors with reference.
Keywords: social information networks fund performance connection active management
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