明星基金具备明星效应吗?
8023 
3888
财经研究 2013 年 第 39 卷第 06 期, 页码：94 - 106
摘要
参考文献
摘要
文章实证研究发现我国明星基金的明星效应并不明显:一是明星基金虽然可以吸引资金流入,但这种影响仅限于当年,而且其申购不显著高于赎回,因此明星基金与当年资金净流入量不显著正相关;二是明星基金不能带来溢出效应;三是明星基金的业绩不具备持续性,即如果选择了明星基金,投资者也不一定会在未来两年获得超额收益;四是投资者因担心明星基金昙花一现而注重基金的长期业绩,该指标与申购率、资金净流入量无论在当年还是下一年均显著正相关,这说明在一个缺乏信任的证券市场,只有长期业绩优秀的基金才能形成良好声誉,投资者的申购和赎回依然符合国外的PFR理论,这为我国现有的"赎回异象"之争提供了新解释。
[1]冯金余.开放式基金赎回与业绩的内生性:基于中国动态面板数据的分析[J].证券市场导报,2009,(3):28-34.
[2]林树,李翔,杨雄胜,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.
[3]陆蓉,陈百助,徐龙炳,谢新厚.基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究[J].经济研究,2007,(6):39-50.
[4]倪苏云,肖辉,吴冲锋.中国证券投资基金业绩持续性研究[J].预测,2002,(6):41-44.
[5]肖峻,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]许宁,刘志新,蔺元.基金现金流、明星基金与溢出效应[J].证券市场导报,2010,(1):64-69.
[7]姚颐,刘志远.我国开放式基金赎回行为的实证研究[J].经济科学,2004,(5):48-57.
[8]刘志远,姚颐.开放式基金的“赎回困惑”现象研究[J].证券市场导报,2005,(2):37-41.
[9]游智贤,曾婉祯.共同基金之外溢与排挤效果[J].财务金融学刊(台湾),2003,(2).
[10]张婷.投资者的选择与基金溢出效应研究[J].证券市场导报,2010,(1):70-77.
[11]Barber B,Odean T,Zheng L.Out of sight,out of mind:The effects of expenses on mutual fund flows[R].SSRN Working Paper,2003.
[12]Carhart M.On persistence in mutual fund performance[J].Journal of Finance,1997,52(1):57-82.
[13]Chakrabarti A,Rungta H.Mutual funds industry in India:An indepth look into the prob-lems of credibility,risk and brand[J].Journal of Applied Finance,2000,16(2):27-45.
[14]Froot K,O’Connell P,Seasholes M.The portfolio flows of international Investors[J].Journal of Financial Economics,2001,59(2):151-193.
[15]Goetzmann W N,Ibbotson R G.Games mutual fund companies play:Strategic re-sponse to investor beliefs in the mutual fund industry[R].Yale School of Management,Working Paper,1993.
[16]Grinblatt M,Sheridan T.The persistence of mutual fund performance[J].Journal of Finance,1992,47(5):1977-1984.
[17]Hendricks D,Patel J,Zeckhauser R.Hot hand in mutual funds:Short-run persistence of relative performance[J].Journal of Finance,1993,48(1):93-130.
[18]Hu P,Kale J R,Subramanian A.Relative risk choices by mutual fund managers[R].Working Paper,2002.
[19]Ippolito R A.Consumer reaction to measures of poor quality:Evidence from the mutual fund industry[J].Journal of Law and Economics,1992,35(1):45-70.
[20]Ivkovic Z.Is blood thicker than water:Spillovers in mutual fund families[R].Univer-sity of Illinois at Rbana Champaign,Working Paper,2001.
[21]Kempf A,Ruenzi S.Family matters:The performance flow relationship in the mutual fund industry[R].SSRN Working Paper,2004.
[22]Khorana A,Henri S,Lei W.Portfolio manager ownership and fund performance[R].EGCI-Finance Working Paper No.148,2007.
[23]Malkiel B.Returns from investing in equity mutual funds1971to1991[J].Journal of Finance,1995,50(2):549-572.
[24]Massa M.How do family strategies affect fund performance?When performance-max-imization is not the only game in town[J].Journal of Financial Economics,2003,67(2):249-304.
[25]Nanda V,Wang Z J,Zheng L.Family values and the star phenomenon:Strategies of mutual fund families[J].The Review of Financial Studies,2004,17(3):667-698.
[26]Roston M N.Mutual fund managers and lifecycle risk:An empirical investigation[R].Ph.D.Thesis,University of Chicago,1996.
[27]Sirri E R,Tufano P.Costly search and mutual fund flows[J].Journal of Finance,1998,53(5):1589-1622.
[28]Sunder S.Growth prospects of mutual funds and investor perception with special refer-ence to Kothari Pioneer Mutual Fund[R].Project Report,Andhral University,1998.
[2]林树,李翔,杨雄胜,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.
[3]陆蓉,陈百助,徐龙炳,谢新厚.基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究[J].经济研究,2007,(6):39-50.
[4]倪苏云,肖辉,吴冲锋.中国证券投资基金业绩持续性研究[J].预测,2002,(6):41-44.
[5]肖峻,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]许宁,刘志新,蔺元.基金现金流、明星基金与溢出效应[J].证券市场导报,2010,(1):64-69.
[7]姚颐,刘志远.我国开放式基金赎回行为的实证研究[J].经济科学,2004,(5):48-57.
[8]刘志远,姚颐.开放式基金的“赎回困惑”现象研究[J].证券市场导报,2005,(2):37-41.
[9]游智贤,曾婉祯.共同基金之外溢与排挤效果[J].财务金融学刊(台湾),2003,(2).
[10]张婷.投资者的选择与基金溢出效应研究[J].证券市场导报,2010,(1):70-77.
[11]Barber B,Odean T,Zheng L.Out of sight,out of mind:The effects of expenses on mutual fund flows[R].SSRN Working Paper,2003.
[12]Carhart M.On persistence in mutual fund performance[J].Journal of Finance,1997,52(1):57-82.
[13]Chakrabarti A,Rungta H.Mutual funds industry in India:An indepth look into the prob-lems of credibility,risk and brand[J].Journal of Applied Finance,2000,16(2):27-45.
[14]Froot K,O’Connell P,Seasholes M.The portfolio flows of international Investors[J].Journal of Financial Economics,2001,59(2):151-193.
[15]Goetzmann W N,Ibbotson R G.Games mutual fund companies play:Strategic re-sponse to investor beliefs in the mutual fund industry[R].Yale School of Management,Working Paper,1993.
[16]Grinblatt M,Sheridan T.The persistence of mutual fund performance[J].Journal of Finance,1992,47(5):1977-1984.
[17]Hendricks D,Patel J,Zeckhauser R.Hot hand in mutual funds:Short-run persistence of relative performance[J].Journal of Finance,1993,48(1):93-130.
[18]Hu P,Kale J R,Subramanian A.Relative risk choices by mutual fund managers[R].Working Paper,2002.
[19]Ippolito R A.Consumer reaction to measures of poor quality:Evidence from the mutual fund industry[J].Journal of Law and Economics,1992,35(1):45-70.
[20]Ivkovic Z.Is blood thicker than water:Spillovers in mutual fund families[R].Univer-sity of Illinois at Rbana Champaign,Working Paper,2001.
[21]Kempf A,Ruenzi S.Family matters:The performance flow relationship in the mutual fund industry[R].SSRN Working Paper,2004.
[22]Khorana A,Henri S,Lei W.Portfolio manager ownership and fund performance[R].EGCI-Finance Working Paper No.148,2007.
[23]Malkiel B.Returns from investing in equity mutual funds1971to1991[J].Journal of Finance,1995,50(2):549-572.
[24]Massa M.How do family strategies affect fund performance?When performance-max-imization is not the only game in town[J].Journal of Financial Economics,2003,67(2):249-304.
[25]Nanda V,Wang Z J,Zheng L.Family values and the star phenomenon:Strategies of mutual fund families[J].The Review of Financial Studies,2004,17(3):667-698.
[26]Roston M N.Mutual fund managers and lifecycle risk:An empirical investigation[R].Ph.D.Thesis,University of Chicago,1996.
[27]Sirri E R,Tufano P.Costly search and mutual fund flows[J].Journal of Finance,1998,53(5):1589-1622.
[28]Sunder S.Growth prospects of mutual funds and investor perception with special refer-ence to Kothari Pioneer Mutual Fund[R].Project Report,Andhral University,1998.
引用本文
姚颐, 高兴. 明星基金具备明星效应吗?[J]. 财经研究, 2013, 39(6): 94–106.
导出参考文献，格式为：
