, 1
5370 
9252市场环境差时，基金投资组合面临更高的风险，此时基金的避险需求更高。盈余质量高的公司其应计利润和现金流偏差更小，其股价受市场环境的影响更低，业绩也更好。而市场环境差时，盈余质量高的股票所具有的特征可以满足基金的避险需求，基金出于降低组合系统性风险的需要，会更多地配置高盈余质量的股票，进行安全投资转移。文章使用2005−2015年开放式基金样本，实证检验了市场环境与基金的安全投资转移行为的关系。结果表明，市场环境不好时，基金将投资组合更多地转向高盈余质量的股票；同时基金也更多地持有盈余质量更高的非周期行业股票，组合资产在周期和非周期行业间的转移背后仍然是盈余质量的转移；且基金仅在持有的周期性行业股票中采取向高盈余质量股票转移的安全投资转移。研究还发现，基金的安全投资转移行为对业绩产生了积极影响，这说明基金具有良好的选股能力，能充分利用盈余信息及时调整投资组合以避险。
市场环境与基金安全投资转移——基于盈余质量的研究
摘要
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彭文平, 肖继辉, 周玉娟. 市场环境与基金安全投资转移——基于盈余质量的研究[J]. 财经研究, 2018, 44(11): 4-17.
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