他们真的是明星吗？--来自中国证券基金市场的经验证据  

Are They the Real Stars?——Evidence from China Mutual Fund Industry

作　　者：林树[1] 李翔[1] 杨雄胜[1] Onkit Tam 

机构地区：[1]南京大学商学院会计学系,南京大学会计与财务研究院,江苏南京210093 [2]澳大利亚Monash大学商学院

出　　处：《金融研究》2009年第5期107-120,共14页Journal of Financial Research

基　　金：国家自然科学基金“基金管理公司治理结构、内部控制与经营绩效”(70772034);“基金家族的繁衍及其溢出”(70802027);教育部人文社会科学一般项目(07JC630035);南京大学文科校级规划项目(2008);商学院青年教师科研基金(2007)的资助;南京大学中国机构投资者研究中心(CCII)资助

摘　　要：本文实证研究了中国证券基金市场中的明星现象。运用2005年至2007年的数据,发现明星基金家族中的明星基金会产生"溢出效应",即他们不仅会自身吸引更多的投资者资金,而且还可以让同家族中非明星基金也享受到资金净流入的增加。然而,对于排名靠后的基金,却没有发现显著的资金净流出。因为这种资金净流入与净流出的不对称性,那些投资管理能力弱的基金家族就可能采取明星策略,通过人为制造明星基金而成为明星家族。明星基金的"溢出效应使整个家族可以获得更多的资金净流入,自然管理费也可以增加。本文又发现,旗下基金业绩差距越大,规模越大,前期没有明星基金的家族制造明星的动机越强,而他们并不是真正的明星,在未来不能给投资者带来更高的回报。投资者应该选择真正的明星。The paper firstly examines whether there exits star phenomenon in Chinese mutual fund market. Using the fund data from 2005 to 2007, the authors find that in the star fund family, the star fund has the spillover effect to the other funds. In other words, star fund not only bring significant new money growth to itself, but also attract more new money to other funds in star fund family. However, little money goes out from dog fund symmetrically. So that family with low investment management ability inclines to adopt the star strategies to bring more money to all funds in the family. Meanwhile, the authors also find that those families with high cross - funds standard deviation, higher number of funds, and no star fund previously have more possibility to create star fund. The results tell us that star families with high cross - fund variation are not real stars, and they underperformance those with low cross - fund variation which we call the real star. Finally, the paper suggests that investor should choose the real star families with real high investments ability.

关 键 词：明星基金 基金家族 溢出效应 中国基金市场 

分 类 号：F832.5[经济管理—金融学] G229.24[文化科学]