明星基金暂停申购是否加剧了溢出效应?——对我国开放式基金家族的实证研究  

Whether the Closure of Star Fund Enhance the Spillover Effect?——The Empirical Research on Open-end Fund Family

作　　者：饶育蕾[1] 张媛[1] 胡小玲[1] 

机构地区：[1]中南大学商学院,湖南长沙410083

出　　处：《预测》2010年第3期38-43,共6页Forecasting

基　　金：教育部"国际金融危机应对研究"应急项目(2009JYJR055)

摘　　要：本文深入研究我国基金家族打造明星基金及暂停申购明星基金的行为与动机。将2005年一季度至2009年二季度共18期所有开放式股票型及偏股型基金的前期业绩进行相对及绝对排序,分别构建所有基金与大家族基金组合并持有,对比研究发现,大家族内部相对排序前期业绩好的基金具有业绩持续性,且内部业绩差距要大于外部。这说明大基金家族通过基金业绩持续性打造明星基金。采用固定效应的面板数据进一步实证发现暂停申购明星基金会给基金家族以及家族旗下其他基金带来更多的净现金流入,从而加剧了溢出效应。This paper studies fund families construct and close some star funds behavior. Using the sample of stock funds in all open-end fund family from first quarter of 2005 to the second quarter of 2009, according to preliminary returns, we sort the sample, then construct and hold those portfolios. We find performance of the fund persists in the large fund fam- ily, and internal performance gap of fund family is greater. It means that large fund family creates star fund by maintai- ning its fund performance. Then we use fixed effects in panel data to exam what can closed star fund bring to the fund families. The closed star fund has more significant spillover effect, which brings fund family and other funds more net cash inflow, resulting in the increase of management fee income. We conclude the fund families can benefit more from the closed star fund.

关 键 词：明星基金 暂停申购 基金家族 溢出效应 

分 类 号：F830.9[经济管理—金融学]