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1 (95) * ** t (1) Pollet Wilson (2) (3) (4) Ippolito Sirri and Tufano * **

2 (96) Droms, 2006 Smart Money Effect Jegadeesh and Titman 1993 Smart Money EffectGrinblatt and Titman % Gruber 1996 Zheng 1999 Smart Money Effect Behavioral Finance Morden Finance Fama 1970Efficient Market Hypothesis, EMH Behavioral Finance

3 (97) Traditional Finance Welch 2000 Size Effect Overconfidence Barber and Odean 2000 Berk and Green 2004 Roston 1996 Chevalier and Ellison Spitz 1970 Smith 1978 Fant and O Neal 2000 Markowitz 1952 Portfolio Analysis Risk Aversion Campbell, Lettau, Malkiel and Xu 2001 Pollet and Wilson 2008 Chen, Hong, Huang and Kubik 2004 Chen et al Chen et al Pollet and Wilson 2008Liquidity Constraints

4 (98) log

5 (99) Gruber Sirri and Tufano Matthew 2000Morningstar Heaney 2007 Zheng 1998 Grinblatt and Titman 1989 Louis, Chan and Chen 1999 Ciccotell and Grant 2001

6 (100) Sawicki and Finn Chen et al. 2004Center for Research in Security CRSP Heaney 2007Chan et al Roston 1996 Chevalier and Ellison 1997 Sirri and Tufano Lynch and Muato 2002 Berk and Green 2004 Chen et al TNA Johnson

7 (101) Campbell et al Chen et al Hany and David 2005 Trade-Off Pollet and Wilson 2008 CRSP CDA

8 (102) 1. TEJ Pollet and Wilson 2008Style TEJ 170 TNA TEJ H1 H2 H3 H4 H5 H6 Pollet and Wilson 2008 Style (2)

9 (103) cap 1=1 cap 1=0 1 S it 1 Pollet and Wilson S it 1 1 S it 1 Style VIF Variance Inflation Factor 1 VIF= 2 >10 j j=1~p 1 R j 1. TNAit log flit = log log(1 + Rit ) (1) TNAit 1 flit i t TNA i t it Rit i t - i t / i t R it i t TEJ t+1 t t t 2. Pollet and Wilson 2008 TNA Style Style Style Style Style it ijt jt j = w mcap (2)

10 (104) wijt TEJ i t j mcap jt t j 3. Sawicki and Finn 2002 R R R = β + γ age + ε (3) it 0 1 it it = β + γ TNA + ε (4) it 0 1 it it = β + γ cap + ε (5) it 0 1 it it R = β + γ age + γ TNA + γ cap + ε (6) R it 0 1 it 2 it 3 it it = β (1 ) 0 + γ1 S + ε (7) it it it R (1 ) it = β0 + γ1 Sit TNAit + εit (8) R = β + γ (1 S ) + γ (1 S ) TNA+ γ (1 S ) cap + ε (9) it 0 1 it 2 it 3 it 1 it it R = β + γ age + γ TNA + γ cap + γ (1 S ) + γ (1 S ) TNA it 0 1 it 2 it 3 it 4 it 5 it it + γ (1 S ) cap + ε 6 it it it (10) Rit i t ageit TNAit i t 1 S it i t capk Style cap k = 1

11 (105) Pollet and Wilson ~ ~ ~ , ~ , ~ ~ ~ ~ ~2000 1, ~2008 1, Pollet and Wilson ~ , , , , ,579, ~ , , , , ,970, ~ , , , , ,561, ~ , , , , ,523, ~ , , , , ,326,

12 (106) ~ , , , , ~ , , , , ~ , , , , ~ , , , , ~ , , , , ~ ~ ~ % ~ ~ ~ ~ ~2008 1% 4-4 % ~ ~ , ( ) 77 70, ( ) 46 34,469,262 ( ) TNA 1, ( ) 1, ( ) 1, ( ) (0.086) (3.729) (2.642) (8.785) (8.076) (9.736) t

13 (107) TNA 88 39, ( ) 1, ( ) (8.757) (11.117) 2003~ , ( ) 1, ( ) (6.744) (9.734) , ( ) 1, ( ) (5.549) (9.475) 2005~ , ( ) 1, ( ) (6.516) (14.723) ** , ( ) 1, ( ) (1.803) (10.187) 2007~ , ( ) 1, ( ) (0.360) (10.884) ** , ( ) 1, ( ) (2.778) (29.466) t * 5%** 1% t 4-4 TNA % 1999~ 44 2, , ** ( ) ( ) (5.921) (8.124) ( ) 131, ( ) (6.879) (8.131) 2001~ 60 2, , ** ( ) ( ) (5.279) (11.129) ( ) 21,376, ( ) (5.434) (8.873) 2003~ 63 2, , ** ( ) ( ) (2.380) (15.697) ( ) 175, ( ) (3.080) (7.445) 2005~ 69 2, , ** ( ) ( ) (2.033) (8.250) ( ) 183, ( ) (0.579) (9.319) 2007~ , ( ) 170, ( ) (0.134) (35.026) ** ( ) 200, ( ) (2.273) (9.339) t * 5%** 1% t

14 (108) Pearson () Pearson () Pearson () Pearson () Pearson () Pearson () ** 0.01 * t %-7.946% 1% Sirri and Tufano 1998 Gruber 1996Zheng 1998 Heaney N % t (1.168) ** (7.256) t * 5%** 1%

15 (109) t % 0.959% % 0.545% 1% Grinblatt and Titman 1989Louis et al. 1999Sawicki and Finn 2002Chen et al Heaney N % t ** (1.142) (1.302) (1.029) (1.513) t * 5%** 1% , , ,

16 (110) 90 39,555, , , , % % % N , , (0.073) , (0.042) Style ,555, , (0.047) Style , , (0.063) t ** t * 5%** 1% 4-9 N % (3.464) (6.069) t ** t * 5%** 1%

17 (111) t VIF Variance Inflation Factor VIF =1.032 VIF =1.028 VIF =1.001 VIF =1.028 VIF =1.004 VIF 10 (1) (2) (3) 1% (4) 1% (1) (2) (3) (4) (5) (6) (7) (5) (6) (7) (8)

18 (112) 4-10 i t (1) (2) (3) (4) (5) (6) (7) (8) age it 9.505** (0.643) 9.113** (0.646) 9.910** (0.638) TNA it 2.471** (0.723) 1.256** (0.491) (2.369) cap it 1.530** (0.735) (0.486) (0.482) 1/ S it ** (4.910) ** (4.898) ** (4.259) (1/ S ) TNA it it 0.019** (0.009) 7.071** (2.295) (7.121) (1/ S ) cap1 it it 1.128E E-07 (0.000) (0.000) 2 R R age TNAit 1 capit 1 1/ Sit 1 (1/ S ) TNA it 1 it 1 (1/ S ) cap1 it 1 it 1 t * 5%** 1% 2 VIF Variance Inflation Factorage=1.032 TNA=1.028 Cap= /S=1.028 Flow= t t

19 (113) (1) 5 5 (2) Pollet and Wilson 2008 Style (3) Pollet and Wilson 2008 (4) (5) (6)

20 (114) 1. Barber, B. M., and Odean, T. (2000). Trading is Hazardous to Your Wealth: The Common Stock Investment Performance of Individual Investors. Journal of Finance, 55, Berk, J. B., and Green, R. C. (2004). Mutual Fund Flows and Performance in Rational Markets. The Journal of Political Economy, 112, Campbell, J. Y., Lettau, M., Malkiel, B. G., and Xu, Y. (2001). Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk. Journal of Finance, 56, Chen, J., Hong, H., Huang, M., and Kubik, J. D. (2004). Does Fund Size Erode Mutual Fund Performance? The Role of Liquidity and Organization. American Economic Review, 94, Chen, H., Faff, R. W., Gallagher, D. R., and Looi, A. (2008). Fund Size, Fund Flow, Transaction Costs and Performance: Size Matters. Working Paper Series. 6. Chevalier, J., and Ellison, G. (1997). Risk Taking by Mutual Funds as a Response to Incentives. Journal of Political Economy, 6, Ciccotello, C. R., and Grant, C. T. (2001). Equity Fund Size and Growth: Implications for Performance and Selection. Financial Services Review, 5, Dorms, W. G. (2006). Hot Hands, Cold Hands: Does Past Performance Predict Future Returns? Journal of Financial Planning, 19, Edwards, F. R., and Zhang, X. (1998). Mutual Funds and Stock and Bond Market Stability. Journal of Financial Services Research, 13, Fama, E. F. (1970). Efficient Capital Markets: A Review of Theory and Empirical Work. Journal of Finance, 25, Fant, L. F., and O Neal, E. S. (2000). The Changes in the Determinants of Mutual Fund Flows. Journal of Financial Research, 23, Grinblatt, M., Titman, S., and Wermers, R. (2008). Momentum Investment Strategies, Portfolio Performance, and Herding: A Study of Mutual Fund Behavior. The American Economic Review, 85, Grinblatt, M., and Titman, S. (1989). Mutual Fund Performance: An Analysis of Quarterly Portfolio Holdings. Journal of Business, 62, Gruber, M. J. (1996). Another puzzle: The Growth in Actively Managed Mutual Funds. Journal of Finance, 51, Hany, A. S., and David, M. S. (2005). Optimal Number of Stock Holdings in Mutual Fund Portfolios Based on Market Performance. The Financial Review, 40, Heaney, R. A. (2007). Australian Equity Mutual Fund Size Effects. Working paper. 17. Ippolito, R. (1992), Consumer Reaction to Measures of Poor Quality: Evidence from the Mutual Fund Industry. The Journal of Law and Economics, 35, Jegadeesh, N., and Titman, S. (1993). Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency. Journal of Finance, 48, Johnson, W. T. (2005). Predictable Investment Horizons and Wealth Transfers among Mutual Fund Shareholders. Journal of Finance, 59,

21 (115) 20. Louis, K. C., Chan, H. L., and Chen, J. L. (2002). On Mutual Fund Investment Styles. Review of Financial Studies, 15, Lynch, A., & Muato, D. (2003). How Investors Interpret Past Fund Returns. Journal of Finance, 58, Markowitz, H. M. (1952). Portfolio Selection. Journal of Finance, 7, Matthew, R. M. (2000). Mutual Fund Age and Morningstar Ratings. Lubin School of Business Working Paper. 24. Pollet, J. M. and Wilson, M. (2008). How Does Size Affect Mutual Fund Behavior? Journal of Finance, 6, Roston, M. N. (1996). Mutual Fund Managers and Lifecycle Risk: An Empirical Investigation. Ph.D. Thesis University of Chicago. 26. Sirri, E., and Tufano, P. (1998). Costly Search and Mutual Fund Flows. Journal of Finance, 53, Smith, K. V. (1978). Is Fund Growth Related to Fund Performance? Journal of Portfolio Management, spring, Spitz, A. E. (1970). Mutual Fund Performance and Cash Inflows. Applied Economics, 2, Stein, J. C. (2002). Information Production and Capital Allocation: Decentralized vs. Hierarchical Firms. Journal of Finance, 57, Welch, I. (2000). Views of Financial Economists on the Equity Premium and on Professional Controversies. Journal of Business, 73,

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untitled A Market Test of the Fund s Investment Behavior: Empirical Study Based on the Biggest Institutional Investor of China Stock Market Yi Yao& Zhiyuan Liu (Business School, Nankai University, Tianjin, 300071