盲目炒作还是慧眼识珠?——基于中国证券投资基金信息挖掘行为的实证分析  

Chasing Noise or Recognizing Value:An Empirical Study on Information Seeking Behavior of Chinese Mutual Funds

作　　者：张宗新[1] 杨通旻[1] 

机构地区：[1]复旦大学金融研究院

出　　处：《经济研究》2014年第7期138-150,164,共14页Economic Research Journal

基　　金：国家自然科学基金(70973023);教育部"新世纪优秀人才支持计划"(NCET-13-0149);上海市社科基金(2013BJB011);上海市曙光项目(12SG11)的研究资助

摘　　要：近年来基金的一些市场炒作行为引致了舆论对其投资行为和专业能力的质疑。本文通过对基金信息挖掘机制的考察来分析上述异质行为背后的本质和逻辑。通过区分不同信息特点的上市公司和不同层面的公司信息,研究结果表明,中国证券投资基金总体上显现出一定的信息挖掘能力,但其信息挖掘行为存在结构性差异。对于信息环境较好和基本面波动较小的大市值公司样本而言,基金挖掘关注了与公司价值相关的基本面信息,并通过较强的信息挖掘能力获取了私有信息,是真正的"知情交易者"。但对小市值公司而言,尽管基金对公司特质信息进行了挖掘,但并没有体现出对基本面信息的关注,说明基金对小市值公司的投资更多是基于信息噪音的市场炒作。本文的研究结果有助于更加清晰地定位以基金为代表的机构投资者的市场性质和专业能力。Speculation behavior of China mutual funds has raised doubts about its investment behavior and professional competence. This paper, by investigating the information seeking mechanism of mutual funds, analyzes the essence and logic behind the heterogeneous behavior above. By distinguishing firms with different informational characteristics and different level of firm information, our results show that investment funds have shown certain level of information mining ability, but there exists structural differences. The funds＇ private information mining ability is only seen in the sample of large firms with better information environment and less fundamental variability. As for the small firms, while the mutual funds have sought for firm specific information, they do not exhibit focus on fundamental information, showing that they are speculating based on noise. Our results help to recognize the nature and ability of institutional investors represented by mutual funds.

关 键 词：证券投资基金 信息挖掘 基本面信息 私有信息 

分 类 号：F832.51[经济管理—金融学]