基金家族共同持股:意见分歧与股票收益  

Fund Family Co-holding:Differences of Opinion and Stock Return

作　　者：李科[1] 陆蓉[2] 夏翊[2] 

机构地区：[1]上海财经大学金融学院,上海市金融信息技术研究重点实验室,邮政编码200433 [2]上海财经大学金融学院,邮政编码200433

出　　处：《经济研究》2015年第10期64-75,共12页Economic Research Journal

基　　金：国家自然科学基金项目(71273164;71272009;71473157;71302074);上海社会科学基金项目(2013BJB005);上海财经大学创新团队支持计划资助

摘　　要：基金家族共同持股会减少意见分歧,进而提高股票回报率。这种想法在股票市场中流传已久,但是并没有证据支持这种假说。本文利用基金家族共同持股的数据直接检验基金家族共同持股对股票收益的影响,并分析意见分歧在这种影响中的作用。依据基金家族共同持股构建对冲投资组合,本文发现对冲投资策略的平均季度收益率达到3.9%,同时使用个股的超额收益率进行回归分析,实证证据表明基金家族共同持股提高了股票回报率。进一步,直接比较基金家族共同持股股票与基金共持重仓股股票之间意见分歧指标的差异,发现基金家族共同持股降低了股票的意见分歧,并且没有发现基金家族共同持股具有更多的信息优势。本文的证据表明,即使没有通过卖空机制,没有通过信息共享机制,只要通过某些机制提高投资者的相关性,导致投资者的意见分歧降低,也会最终影响股价。Fund family co-holding will reduce disagreement of stocks and thus raise stock return. Even though the idea has been existing in the stock market for a long time, there is no direct evidence supporting this hypothesis. In this paper, we use fund family co-holding data to test its impact on stock return, and analyze the role of disagreement. We construct a new hedge portfolio based on the co-holding stocks, and the average return of the hedge strategy reaches 3.9% per quarter, which means the fund family co-holding increases the portfolio return. To control endogeneity, we compare the difference between the fund family co-holdings and the stocks co-held by different funds. We find that family fund co-holding reduces the opinion divergence of the stocks without information superiority. This evidence suggests that not through short-sale or information sharing, mechanisms that link in vestors＇ behavior can reduce disagreement, and ultimately affect the stock price.

关 键 词：基金家族 共同持股 股票收益 意见分歧 

分 类 号：F832.51[经济管理—金融学]