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本文以基金本期现金持有量与未来市场回报率的关系作为基金对未来股市走势预测能力的代理变量。这一关系显著为负的基金具有预测未来股市走势的能力。实证证据表明,这一基金预测能力的代理变量的确预示着更好的基金业绩。此外,具有预测能力的基金承担的市场风险更大,更偏好小盘股和题材股。
In this paper, the current cash holdings of funds and future market returns as the fund’s ability to predict future stock market proxy variables. The negatively correlated fund has the ability to predict the future of a stock market. Empirical evidence suggests that proxy variables for the ability of the fund to predict do indicate a better fund performance. In addition, the ability to predict the funds bear the greater market risk, the preference for small cap stocks and subject shares.