基金家族的造星策略——基于共同持股股票收益率差异视角
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财经研究 2014 年 第 40 卷第 04 期, 页码：103 - 116
摘要
参考文献
摘要
文章主要研究了我国明星家族基金在共同持股股票上的收益率差异及原因。文章设计了一种对基金在共同持股股票上表现的打分方法,发现明星家族基金在共同持股股票上的绩效差异很大,这种差异并不能完全被基金经理的"能力"差异所解释,而可能源于基金家族的"抬轿"策略。进一步研究发现,基金管理公司的"抬轿"策略随市场行情的不同而不同,熊市中"抬轿"行为更加显著;此外,绩效和管理能力较低的基金家族更倾向于采用"抬轿"策略。
[1]林树,李翔,杨胜雄,等.他们真的是明星吗?——来自中国证券基金市场的经验证据[J].金融研究,2009,(5):107-120.
[2]陆蓉,李良松.家族共同持股对基金管理公司业绩与风险的影响研究[J].金融研究,2008,(2):140-151.
[3]彭志胜,宋福铁.不同市场形态对分红减少价格反映的影响分析——牛熊市处后期和长短期视角[J].上海经济研究,2013,(6):121-128.
[4]何兴强,周开国.牛熊市周期和股市间的周期协同性[J].管理世界,2006,(4):35-40.
[5]肖俊,石劲.基金业绩与资金流量:我国基金市场存在“赎回异象”吗?[J].经济研究,2011,(1):112-125.
[6]Agarwal V,Ma L.Managerial multitasking in the mutual fund industry[R].Working Paper,2011.
[7]Angrist J D,Pischke J-S.Most harmless econometrics:An empiricist’s companion[M].Princeton:Princeton University Press,2009.
[8]Bhattacharya U,Lee J H,Pool V K.Conflicting family values in mutual fund families[J].Journal of Finance,2013,68(1):173-200.
[9]Chen J,Hong H,Huang M,et al.Does fund size erode mutual fund performance?The role of liquidity and organization[J].American Economic Review,2007,94(5):1276-1302.
[10]Chen H-C,Lai C W.Reputation stretching in mutual fund starts[J].Journal of Banking and Finance,2010,34(1):193-207.
[11]Chen H-C,Lai C W.Effort substitution and performance shift of multi-tasking mutual fund managers[R].Working Paper,2012.
[12]Chevalier J,Ellison G.Risk taking by mutual funds as a response to incentives[J].Journal of Political Economy,1997,105(6):1167-1200.
[13]Cici G,Gibson S,Moussawi R.Mutual fund performance when parent firms simultaneously manage hedge funds[J].Journal of Financial Intermediation,2010,19(2):169-187.
[14]Elton E J,Gruber M J,Green T C.The impact of mutual fund family membership on investor risk[J].Journal of Financial and Quantitative Analysis,2007,42(2):257-278.
[15]Fama E F,French K R.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[16]Fama E F,French K R.Luck versus skill in the cross-section of mutual fund returns[J].Journal of Finance,2010,65(5):1915-1947.
[17]Gaspar J M,Massa M,Matos P.Favoritism in mutual fund families:Evidence on strategic cross-fund subsidization[J].Journal of Finance,2006,61(1):73-104.
[18]Guedj I,Papastakaikoudi J.Can mutual funds families affect the performance of their funds?[R].EFMA2004Basel Meetings Paper,2004.
[19]Kacperczyk M,Sialm C,Zheng L.Unobserved actions of mutual funds[J].Review of Financial Studies,2008,21(6):2379-2416.
[20]Kempf A,Ruenzi S.Tournaments in mutual fund families[J].Review of Financial Studies,2008,21(2):1013-1036.
[21]Kempf A,Ruenzi S.Family matters:Rankings within fund families and fund inflows[J].Journal of Business Finance and Accounting,2008,35(1-2):177-199.
[22]Khorana A,Servaes H.What drives market share in the mutual fund industry?[J].Review of Finance,2012,16(1):81-113.
[23]Lakonishok J,Shleifer A,Vishny R W.The impact of institutional trading on stock prices[J].Journal of Financial Economics,1992,32(1):23-44.
[24]Massa M.How do family strategies affect fund performance?When performance maximization is not the only game in town[J].Journal of Financial Economics,2003,67(2):249-304.
[25]Nanda V,Wang J,Zheng L.Family values and the star phenomenon:Strategies of mutual fund families[J].Review of Financial Studies,2004,17(3):667-698.
[26]Nohel T,Wang J,Zheng L.Side-by-side management of hedge funds and mutual funds[J].Review of Financial Studies,2010,23(6):2342-2373.
[27]Pagan A R,Sossounov K A.A simple framework for analyzing bull and bear markets[J].Journal of Applied Econometrics,2003,18(1):23-46.
[28]Petersen M A.Estimating standard errors in finance panel data sets:Comparing approaches[J].Review of financial studies,2009,22(1):435-480.
[29]Pollet J M,Wilson M.How does size affect mutual fund behavior?[J].Journal of Finance,2008,63(6):2941-2969.
[30]Pomorski L.Acting on the most valuable information:“Best Idea”trades of mutual fund managers[R].Working Paper,2009.
[31]Sirri E,Tufano P.Costly search and mutual fund flows[J].Journal of Finance,1998,53(5):1589-1622.
[32]Sotes-Paladino J M,Luis Goncalves-Pinto L.The value of cross-trading to mutual fund families in illiquid markets:A portfolio choice approach[R].Working Paper,2011.
[33]Treynor J,Mazuy K.Can mutual funds outguess the market?[J].Harvard Business Review,1966,44:131-136.
[34]Verbeek M,Huij J.Spillover effects of marketing in mutual fund families[R].ERA 2007Ljubljiana Meetings Paper,2007.
[35]Wei A-P,Chen M-L,Peng C-L.The advertising spillover effect:Implications for mutual fund families[R].Working Paper,2011.
[36]Zitzewitz E.How widespread was late trading in mutual funds?[J].American Economics Review,2006,96(2):284-289.
①如果以基金在各个共同持股股票上的收益率之和作为代理变量,则可能在以下情况下发生误判:一只基金是为其他基金抬轿的,它在每只共同持股股票上的收益率都低于家族内该股票的平均收益率,但是如果这些收益率都为正,则其共同持股股票加总收益率可能因持有股票数目较多而大于其他基金。
①从严格意义上讲,本文所指的家族共同持股股票应该称为“家族共同买卖股票”。为了表述方便,这里不做区分,如无特殊说明,本文中的家族共同持股股票均以此定义。
①彭志胜和宋福铁(2013)依据何兴强和周开国(2006)及Pagan和Sossounov(2003)关于牛、熊市的判别标准,采用非参数办法,通过寻找股市价格变化的波峰和波谷来诊断我国股市的牛、熊周期。
①基金经理的研究能力、努力程度、经验等因素都会影响他最终是如何选择及买卖股票的,从而体现出基金的选股和择时能力。换言之,基金经理的选股和择时能力是所有影响资产组合收益率因素的集合。
②对个股买卖时机的“择时”并不等同于我们通常意义上讨论的择时。通常意义上的择时能力是指基金对大盘而非个股走向的择时,但就能力而言,两者具有高度的相关性,因此本文使用前者作为后者的代理变量。
①内生性问题主要是由Mean_caring_scores和Star_fund可能互为因果所导致的,即家族可能为明星基金抬轿以提高其共同持股收益率,反过来共同持股收益率得分高的基金也更可能成为明星基金。限于篇幅,这里未报告内生性检验结果,如有需要可向作者索取。
②根据Angrist和Pischke(2009),对于内生变量(Star_fund)与外生变量的交叉项,我们采用工具变量(Select_ability)与相应外生变量的交叉项作为工具变量。
③限于篇幅,这里未报告工具变量的检验结果,如有需要可向作者索取。
①限于篇幅,这里未报告稳健性检验结果,如有需要可向作者索取。
[2]陆蓉,李良松.家族共同持股对基金管理公司业绩与风险的影响研究[J].金融研究,2008,(2):140-151.
[3]彭志胜,宋福铁.不同市场形态对分红减少价格反映的影响分析——牛熊市处后期和长短期视角[J].上海经济研究,2013,(6):121-128.
[4]何兴强,周开国.牛熊市周期和股市间的周期协同性[J].管理世界,2006,(4):35-40.
[5]肖俊,石劲.基金业绩与资金流量:我国基金市场存在“赎回异象”吗?[J].经济研究,2011,(1):112-125.
[6]Agarwal V,Ma L.Managerial multitasking in the mutual fund industry[R].Working Paper,2011.
[7]Angrist J D,Pischke J-S.Most harmless econometrics:An empiricist’s companion[M].Princeton:Princeton University Press,2009.
[8]Bhattacharya U,Lee J H,Pool V K.Conflicting family values in mutual fund families[J].Journal of Finance,2013,68(1):173-200.
[9]Chen J,Hong H,Huang M,et al.Does fund size erode mutual fund performance?The role of liquidity and organization[J].American Economic Review,2007,94(5):1276-1302.
[10]Chen H-C,Lai C W.Reputation stretching in mutual fund starts[J].Journal of Banking and Finance,2010,34(1):193-207.
[11]Chen H-C,Lai C W.Effort substitution and performance shift of multi-tasking mutual fund managers[R].Working Paper,2012.
[12]Chevalier J,Ellison G.Risk taking by mutual funds as a response to incentives[J].Journal of Political Economy,1997,105(6):1167-1200.
[13]Cici G,Gibson S,Moussawi R.Mutual fund performance when parent firms simultaneously manage hedge funds[J].Journal of Financial Intermediation,2010,19(2):169-187.
[14]Elton E J,Gruber M J,Green T C.The impact of mutual fund family membership on investor risk[J].Journal of Financial and Quantitative Analysis,2007,42(2):257-278.
[15]Fama E F,French K R.Common risk factors in the returns on stocks and bonds[J].Journal of Financial Economics,1993,33(1):3-56.
[16]Fama E F,French K R.Luck versus skill in the cross-section of mutual fund returns[J].Journal of Finance,2010,65(5):1915-1947.
[17]Gaspar J M,Massa M,Matos P.Favoritism in mutual fund families:Evidence on strategic cross-fund subsidization[J].Journal of Finance,2006,61(1):73-104.
[18]Guedj I,Papastakaikoudi J.Can mutual funds families affect the performance of their funds?[R].EFMA2004Basel Meetings Paper,2004.
[19]Kacperczyk M,Sialm C,Zheng L.Unobserved actions of mutual funds[J].Review of Financial Studies,2008,21(6):2379-2416.
[20]Kempf A,Ruenzi S.Tournaments in mutual fund families[J].Review of Financial Studies,2008,21(2):1013-1036.
[21]Kempf A,Ruenzi S.Family matters:Rankings within fund families and fund inflows[J].Journal of Business Finance and Accounting,2008,35(1-2):177-199.
[22]Khorana A,Servaes H.What drives market share in the mutual fund industry?[J].Review of Finance,2012,16(1):81-113.
[23]Lakonishok J,Shleifer A,Vishny R W.The impact of institutional trading on stock prices[J].Journal of Financial Economics,1992,32(1):23-44.
[24]Massa M.How do family strategies affect fund performance?When performance maximization is not the only game in town[J].Journal of Financial Economics,2003,67(2):249-304.
[25]Nanda V,Wang J,Zheng L.Family values and the star phenomenon:Strategies of mutual fund families[J].Review of Financial Studies,2004,17(3):667-698.
[26]Nohel T,Wang J,Zheng L.Side-by-side management of hedge funds and mutual funds[J].Review of Financial Studies,2010,23(6):2342-2373.
[27]Pagan A R,Sossounov K A.A simple framework for analyzing bull and bear markets[J].Journal of Applied Econometrics,2003,18(1):23-46.
[28]Petersen M A.Estimating standard errors in finance panel data sets:Comparing approaches[J].Review of financial studies,2009,22(1):435-480.
[29]Pollet J M,Wilson M.How does size affect mutual fund behavior?[J].Journal of Finance,2008,63(6):2941-2969.
[30]Pomorski L.Acting on the most valuable information:“Best Idea”trades of mutual fund managers[R].Working Paper,2009.
[31]Sirri E,Tufano P.Costly search and mutual fund flows[J].Journal of Finance,1998,53(5):1589-1622.
[32]Sotes-Paladino J M,Luis Goncalves-Pinto L.The value of cross-trading to mutual fund families in illiquid markets:A portfolio choice approach[R].Working Paper,2011.
[33]Treynor J,Mazuy K.Can mutual funds outguess the market?[J].Harvard Business Review,1966,44:131-136.
[34]Verbeek M,Huij J.Spillover effects of marketing in mutual fund families[R].ERA 2007Ljubljiana Meetings Paper,2007.
[35]Wei A-P,Chen M-L,Peng C-L.The advertising spillover effect:Implications for mutual fund families[R].Working Paper,2011.
[36]Zitzewitz E.How widespread was late trading in mutual funds?[J].American Economics Review,2006,96(2):284-289.
①如果以基金在各个共同持股股票上的收益率之和作为代理变量,则可能在以下情况下发生误判:一只基金是为其他基金抬轿的,它在每只共同持股股票上的收益率都低于家族内该股票的平均收益率,但是如果这些收益率都为正,则其共同持股股票加总收益率可能因持有股票数目较多而大于其他基金。
①从严格意义上讲,本文所指的家族共同持股股票应该称为“家族共同买卖股票”。为了表述方便,这里不做区分,如无特殊说明,本文中的家族共同持股股票均以此定义。
①彭志胜和宋福铁(2013)依据何兴强和周开国(2006)及Pagan和Sossounov(2003)关于牛、熊市的判别标准,采用非参数办法,通过寻找股市价格变化的波峰和波谷来诊断我国股市的牛、熊周期。
①基金经理的研究能力、努力程度、经验等因素都会影响他最终是如何选择及买卖股票的,从而体现出基金的选股和择时能力。换言之,基金经理的选股和择时能力是所有影响资产组合收益率因素的集合。
②对个股买卖时机的“择时”并不等同于我们通常意义上讨论的择时。通常意义上的择时能力是指基金对大盘而非个股走向的择时,但就能力而言,两者具有高度的相关性,因此本文使用前者作为后者的代理变量。
①内生性问题主要是由Mean_caring_scores和Star_fund可能互为因果所导致的,即家族可能为明星基金抬轿以提高其共同持股收益率,反过来共同持股收益率得分高的基金也更可能成为明星基金。限于篇幅,这里未报告内生性检验结果,如有需要可向作者索取。
②根据Angrist和Pischke(2009),对于内生变量(Star_fund)与外生变量的交叉项,我们采用工具变量(Select_ability)与相应外生变量的交叉项作为工具变量。
③限于篇幅,这里未报告工具变量的检验结果,如有需要可向作者索取。
①限于篇幅,这里未报告稳健性检验结果,如有需要可向作者索取。
引用本文
屈源育, 吴卫星. 基金家族的造星策略——基于共同持股股票收益率差异视角[J]. 财经研究, 2014, 40(4): 103–116.
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