基金被动调仓引发了风格漂移吗？——兼论基金季报披露质量的调节效应 -- 上海财经大学期刊社

1 蔡显军,赵娜,王芳. “言行一致”的资本市场反应−基于战略合作信息披露视角[J]. 北京工商大学学报(社会科学版),2022,(1):101−114. DOI:10.12085/j.issn.1009-6116.2022.01.009

2 丁亚楠,王建新. “浑水摸鱼”还是“自证清白”:经济政策不确定性与信息披露−基于年报可读性的探究[J]. 外国经济与管理,2021,(11):70−85.

3 郭文伟,宋光辉,许林. 基金经理的个人特征对基金风格漂移的影响研究[J]. 软科学,2010,(2):123−128. DOI:10.3969/j.issn.1001-8409.2010.02.027

4 郭文伟,宋光辉,许林. 风格漂移、现金流波动与基金绩效之关系研究[J]. 管理评论,2011,(12):3−9.

5 江艇. 因果推断经验研究中的中介效应与调节效应[J]. 中国工业经济,2022,(5):100−120. DOI:10.3969/j.issn.1006-480X.2022.05.007

6 寇宗来,毕睿罡,陈晓波. 基金业绩如何影响风格漂移和经理离职?−理论与经验分析[J]. 金融研究,2020,(9):172−189.

7 林博,方梦然,杨戈. 投资者行为侵蚀、基金经理努力和基金业绩[J]. 北京工商大学学报(社会科学版),2021,(4):78−89.

8 林乐,谢德仁. 投资者会听话听音吗?−基于管理层语调视角的实证研究[J]. 财经研究,2016,(7):28−39. DOI:10.16538/j.cnki.jfe.2016.07.003

9 林树,葛逸云,朱超. 基金经理语调与投资行为−基于基金年报的文本分析方法[J]. 证券市场导报,2021,(8):58−70.

10 刘会芹,施先旺. 年报文本信息可读性与股价崩盘风险[J]. 投资研究,2022,(7):129−148.

11 刘阳,陈新春,罗荣华. 投资者行为与基金业绩:基于未预期资金流冲击的视角[J]. 投资研究,2015,(10):18−36.

12 孟庆斌,吴卫星,于上尧. 基金经理职业忧虑与其投资风格[J]. 经济研究,2015,(3):115−130.

13 宋科,徐蕾,李振,等. ESG投资能够促进银行创造流动性吗?−兼论经济政策不确定性的调节效应[J]. 金融研究,2022,(2):61−79.

14 孙文章. 董事会秘书声誉与信息披露可读性−基于沪深A股公司年报文本挖掘的证据[J]. 经济管理,2019,(7):136−153. DOI:10.19616/j.cnki.bmj.2019.07.009

15 孙雅妮,王君宜. 经济政策不确定性、信息披露质量与客户关系稳定度[J]. 当代财经,2021,(4):125−136. DOI:10.13676/j.cnki.cn36-1030/f.2021.04.012

16 王克敏,王华杰,李栋栋,等. 年报文本信息复杂性与管理者自利−来自中国上市公司的证据[J]. 管理世界,2018,(12):120−132. DOI:10.3969/j.issn.1002-5502.2018.12.011

17 王宇伟,周耿,吴曈,等. 央行的言辞沟通、实际行动与企业投资行为[J]. 中国工业经济,2019,(5):118−135. DOI:10.19581/j.cnki.ciejournal.2019.05.007

18 谢德仁,林乐. 管理层语调能预示公司未来业绩吗?−基于我国上市公司年度业绩说明会的文本分析[J]. 会计研究,2015,(2):20−27. DOI:10.3969/j.issn.1003-2886.2015.02.003

19 许林,汪亚楠. 基于周内多重分形波动率的基金投资风格漂移风险测度研究[J]. 统计研究,2019,(8):32−45. DOI:10.19343/j.cnki.11-1302/c.2019.08.003

20 徐巍,姚振晔,陈冬华. 中文年报可读性:衡量与检验[J]. 会计研究,2021,(3):28−44.

21 杨丹,黄丹,黄莉. 会计信息形式质量研究−基于通信视角的解构[J]. 会计研究,2018,(9):3−10. DOI:10.3969/j.issn.1003-2886.2018.09.001

22 张秀敏,高云霞,高洁. 企业年报阅读难易程度的衡量与影响因素研究−基于管理者操纵视角[J]. 审计与经济研究,2021,(1):79−89. DOI:10.3969/j.issn.1004-4833.2021.01.009

23 张宗新,缪婧倩. 基金流量与基金投资行为−基于动态面板数据模型的实证研究[J]. 金融研究,2012,(4):110−123.

24 Ainsworth A B, Fong K, Gallagher D R. Style drift and portfolio management for active Australian equity funds[J]. Australian Journal of Management,2008,32(3): 387−418. DOI:10.1177/031289620803200302

25 Ammann M, Fischer S, Weigert F. Factor exposure variation and mutual fund performance[J]. Financial Analysts Journal,2020,76(4): 101−118. DOI:10.1080/0015198X.2020.1809224

26 Annaert J, Van Campenhout G. Time variation in mutual fund style exposures[J]. Review of Finance,2007,11(4): 633−661. DOI:10.1093/rof/rfm029

27 Bar M, Kempf A, Ruenzi S. Team management and mutual funds[R]. CFR Working Paper No.05-10, 2005.

28 Brown K C, Harlow W V. Staying the course: Performance persistence and the role of investment style consistency in professional asset management[R]. Working Paper, University of Texas, 2005.

29 Cao C, Iliev P, Velthuis R. Style drift: Evidence from small-cap mutual funds[J]. Journal of Banking & Finance,2017,78: 42−57.

30 Chua A K P, Tam O K. The shrouded business of style drift in active mutual funds[J]. Journal of Corporate Finance,2020,64: 101667. DOI:10.1016/j.jcorpfin.2020.101667

31 Cooper M J, Gulen H, Rau P R. Changing names with style: Mutual fund name changes and their effects on fund flows[J]. The Journal of Finance,2005,60(6): 2825−2858. DOI:10.1111/j.1540-6261.2005.00818.x

32 Courtis J K. Readability of annual reports: Western versus Asian evidence[J]. Accounting, Auditing & Accountability Journal,1995,8(2): 4−17. DOI:10.1108/09513579510086795

33 Elton E J, Gruber M J, Blake C R. Incentive fees and mutual funds[J]. The Journal of Finance,2003,58(2): 779−804. DOI:10.1111/1540-6261.00545

34 Ferson W E, Schadt R W. Measuring fund strategy and performance in changing economic conditions[J]. The Journal of Finance,1996,51(2): 425−461. DOI:10.1111/j.1540-6261.1996.tb02690.x

35 Guercio D D, Reuter J. Mutual fund performance and the incentive to generate Alpha[J]. The Journal of Finance,2014,69(4): 1673−1704. DOI:10.1111/jofi.12048

36 Holmes K A, Faff R W. Style drift, fund flow and fund performance: New cross-sectional evidence[J]. Financial Services Review,2007,16(1): 55−71.

37 Idzorek T M, Bertsch F. The style drift score[J]. The Journal of Portfolio Management,2004,31(1): 76−83. DOI:10.3905/jpm.2004.443323

38 Li F. Annual report readability, current earnings, and earnings persistence[J]. Journal of Accounting and Economics,2008,45(2-3): 221−247. DOI:10.1016/j.jacceco.2008.02.003

39 Massa M, Phalippou L. Mutual funds and the market for liquidity[R]. Working Paper, 2005.

40 Miller B P. The effects of reporting complexity on small and large investor trading[J]. The Accounting Review,2010,85(6): 2107−2143. DOI:10.2308/accr.00000001

41 Muñoz F, Vargas M, Vicente R. Fund flow bias in market timing skill: Evidence of the clientele effect[J]. International Review of Economics & Finance,2014,33: 257−269.

42 Sharpe W F. Asset allocation: Management style and performance measurement[J]. The Journal of Portfolio Management,1992,18(2): 7−19. DOI:10.3905/jpm.1992.409394

43 Wermers R. A matter of style: The causes and consequences of style drift in institutional portfolios[R]. CFR Working Papers No.12-04, 2012.

44 Yan X S. The determinants and implications of mutual fund cash holdings: Theory and evidence[J]. Financial Management,2006,35(2): 67−91. DOI:10.1111/j.1755-053X.2006.tb00142.x