Control Variable

Definitions

LnTNA

Taking a natural equivalent of the fund’s net assets at the end of the period

Turnover

The ratio of the fund’s stock trading volume in year t (the average cost of buying stocks and the income of selling stocks) to the average amount of net assets at the beginning and end of the period

Fund_VOL

The weighted average of the standard deviation of daily returns on the stocks held by the fund

Fund_BM

The weighted average of the book-to-market ratio of the stocks held by the fund gets the book-to-market ratio at the fund level

Fund_ROA

The weighted average of the return on assets of the stocks held by the fund represents the company performance at the fund level

Difbeta

First, all the stocks held by the fund in each year are sorted according to the β value of the stock CAPM and divided into three groups: low, medium, and high; then the weights of the stocks held by fund i belong to the low, medium, and high groups. Finally, subtract the weight of the group with the high β value from the weight of the group with the low β value

Difsize

First, all the stocks held by the fund in each year are sorted according to the market value of the stock and divided into three groups: low, medium, and high; then the weights of the shares held by fund i belong to the low, medium, and high groups; Finally, subtract the weight of the group with the low stock market value from the weight of the group with the high stock market value

Difturnover

First, all the stocks held by the fund in each year are sorted according to the stock turnover rate and divided into three groups: low, medium, and high; then the stocks held by fund i belong to the low, medium, and high weights; Finally, subtract the weight of the group with the low turnover rate from the weight of the group with the high turnover rate

Difbm

First, all the stocks held by the fund in each year are sorted according to the book value ratio of the stock, divided into three groups of low, medium and high; then the weight of the shares held by fund i belong to the low, medium and high groups; Finally, subtracting the lower book value from the weight of the group with the higher book value than the group weight means the weight