基金组合披露、投资者关注与业绩持续性  

Research on Mutual Fund Portfolio Disclosure,Investor Attention and Performance Persistence

作　　者：于瑾[1] 刘翔[2,1] 丁春霞[3,1] 

机构地区：[1]对外经济贸易大学国际经济贸易学院 [2]中国农业银行信用管理部 [3]全国社会保障基金理事会规划研究部

出　　处：《国际金融研究》2016年第4期74-83,共10页Studies of International Finance

摘　　要：本文以2006年至2014年间开放式股票型基金为样本,从投资者关注角度,研究分析了基金投资组合披露对其业绩持续性的影响。结果表明,超短期内投资者具有明显的反应不足,未能对组合披露足够关注。短期内组合披露会引发一定的市场关注,投资者模仿绩优基金投资组合并摒弃绩劣基金投资组合,投资者关注度会强化基金业绩持续性,且强化效应具有不对称性,投资者关注对绩优基金业绩持续性的影响更明显。此外,绩优基金可以将基金投资组合披露作为一种重要策略。This paper conducts an analysis on the effect of investment portfolio disclosure on open-ended equity mutual fund performance persistence from the perspective of investor attention, with a sample from 2006 to 2014 in China. The re- sults show that investors usually underreact to investment portfolio disclosure in very short time. However, in a longer period （1-3 months）, portfolio disclosure attracts investor＇s attention. Investors will buy the same stocks held by star funds and sell the stocks held by loser funds. And this will result in a higher positive return and a higher turnover ratio of stocks held by star funds, thus further enhancing their performance persistence. Finally, our analysis shows that the impact of investor atten- tion on performance persistence is more significant for star funds than loser funds. We suggest that investment portfolio dis- closure could be a strategy for star funds.

关 键 词：基金组合披露 业绩持续性 投资者关注 

分 类 号：F830.91[经济管理—金融学]