基金家族的造星策略——基于共同持股股票收益率差异视角  

On Star-making Strategy of Mutual Fund Families:From the Perspective of Differentiated Performance of Co-holding Stocks

作　　者：屈源育 吴卫星[1] 

机构地区：[1]对外经济贸易大学金融学院,北京100029

出　　处：《财经研究》2014年第4期103-116,共14页Journal of Finance and Economics

基　　金：国家自然科学基金项目(71373043;71331006);国家社会科学基金项目(11AZD010;12BJY153);教育部新世纪优秀人才支持计划(NCET-10-0337);对外经济贸易大学中央高校基本科研业务费专项资金项目(CXTD5-03)

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。This paper mainly investigates the differentiated performance of the co-holding stocks within the star fund family in China and related reasons.It designs a scoring method concerning the performance of co-holding stocks,and finds that the performance of the co-holding stocks within the star fund family varies widely,which is not totally due to the difference in fund manager ability and may result from'carrying a sedan'strategy of the fund family.Further analysis shows that the'carrying a sedan'strategy of fund management companies varies with market quotation and'carrying a sedan'behavior is more significant in bear market;in addition,fund families with poor performance and management ability are more inclined to employ'carrying a sedan'strategy.

关 键 词：明星基金 共同持股 基金家族 “抬轿”策略 

分 类 号：F832.51[经济管理—金融学] F224