经理人持基、投资风格与基金窗饰交易行为:基于干预—控制反事实框架的检验  

Managers'Fund Holding,Investment Style and Fund Window Trading Behavior:A Test Based on Intervention-Control Framework

作　　者：王志强[1] 吴思璠 WANG Zhiqiang;WU Sifan(School of Finance of Dongbei University of Finance and Economics,DaLian 116025,China)

机构地区：[1]东北财经大学金融学院,辽宁大连116025

出　　处：《产业组织评论》2022年第1期132-147,共16页Industrial Organization Review

基　　金：国家自然科学基金面上项目“股市极端波动中流动性螺旋的微观机制与治理研究”(71873023)

摘　　要：本文在PSM的干预—控制框架中,在有效控制基金选择能力引致的选择性偏差基础上,实证检验了经理人持基与基金长短期投资倾向对基金公司窗饰交易行为的影响,结论表明:我国偏股型基金在季末确实存在显著的业绩粉饰性交易,并引致基金公司季末、季初收益率“先升后降”的系统性波动,同时当基金存在长期价值投资偏好时,这种窗饰行为能够被一定程度抑制,但经理人持基对窗饰的影响,则依赖于基金公司选股能力与业绩获取能力。In the intervention-control framework of PSM,based on the effective control of the selection bias caused by the fund's selection ability,this paper empirically tests the influence of the manager's base and the fund's long-and shortterm investment propensity on the window decoration trading behavior of fund companies.The conclusion shows:China's partial-equity funds do have significant performance whitewashing transactions at the end of the quarter,and this has caused systemic fluctuations in the fund company's end-of-quarter and early-quarter yields“rising first and then falling”.At the same time,when funds have long-term value investment preferences,this This kind of window decoration behavior can be suppressed to a certain extent,but the influence of managers'base on window decorations depends on the fund company's stock selection ability and performance acquisition ability.

关 键 词：业绩粉饰 长短期投资偏好 经理人持基 

分 类 号：F832.51[经济管理—金融学]