关联交易还是信息优势?——基于国内证券投资基金重仓股的分析  

Is It Affiliate Transaction or Information Superiority?——An Analysis of China's Securities Investment on the Bulk-holding Stock

作　　者：林树[1] 田澍[2] 史有萍 

机构地区：[1]南京大学商学院,江苏南京210093 [2]复旦大学管理学院,上海200433 [3]南京财经学校,江苏南京210001

出　　处：《上海金融》2012年第5期65-68,118,共4页Shanghai Finance

基　　金：国家社科基金重大招标项目(08&ZD050);国家自然科学基金重点项目(70932003);国家自然科学基金青年项目(71002025);南京大学高层次跨学科科研团队项目资助(中央高校科研业务专项资金)

摘　　要：由于国内证券投资基金制度上的特殊性,与许多上市公司拥有同一大股东,这一"金字塔"结构造成证券基金可能同时存在利益输送式的关联性投资或信息优势导致的获利性投资。本文通过对2005年至2010年所有基金公司季度重仓股持股数据的研究发现基金公司对其重仓股的交易的确存在着关联交易或信息优势的可能性。基金公司倾向于超买非关联性股票,这些股票在下一季度的收益与超买行为显著正相关,这表明基金公司可能拥有信息优势。对于关联性股票,基金公司则倾向于超卖,但下季股票收益与超卖行为并不显著相关,这可能是关联交易与信息优势两种可能性共同作用的结果。总体上看,国内基金的投资行为更多地由于信息优势所致。Given to the special system of the securities investment fund of China,the pyramid structure allows that many securities investment funds share the same major shareholders with the listed companies.It could possibly generate both affiliated transaction with interest transport and profit-driven investment out of information superiority.Based on the analysis of all the quarterly bulk-holding stocks by the fund corporations from 2005 to 2010,the paper finds the possibility that affiliate transaction and information superiority do exist in the bulk-holding stock dealings.The fact that the fund corporations tend to overbuy the non-affiliates stocks,the returns of which are positively correlated with overbuying,indicates that the fund corporations could possess information superiority.The fund companies tend to oversell the affiliated stocks,the returns of which in the next quarter have no significant correlation with overselling.It can be a combined result of both affiliate transaction and information superiority.In general,the investment of the domestic funds is mainly introduced by their information advantages.

关 键 词：证券投资基金 关联交易 信息优势 重仓股 

分 类 号：F830[经济管理—金融学]