基金经理具有超常选股能力吗?——基于主动型基金新进重仓股的研究  

Can Fund Managers Pick Stocks Better?——Evidence from New Heavy Purchases by Active Mutual Funds

作　　者：吕大永[1] 陈欣[1] 

机构地区：[1]上海交通大学安泰经济与管理学院

出　　处：《投资研究》2016年第5期105-117,共13页Review of Investment Studies

摘　　要：本文通过新进重仓股的市场表现来研究主动型股票基金经理的选股能力。研究表明,主动型基金的新进重仓股组合具有显著更高的超额收益率,说明基金经理在买入新进重仓股决策中的超常选股能力。同时,基金经理选股能力在前期市场表现弱势的小盘股中更容易体现,且无法被"大小盘效应"或"反转效应"完全解释。此外,新进重仓股的表现与基金经理上一年度收益率并无较强正向关系,说明具有较佳历史表现的基金经理并不具备选股优势。This paper studies stock-picking ability of fund managers from the performance of new heavy holdings by active mutual funds. We find that stocks newly and heavily held by active funds on average have higher abnormal returns for up to four quarters and the equally weighted portfolio of these stocks also significantly outperform such portfolio of other heavy holdings by active funds and the market portfolio in terms of actual return and sharp ratio. Such results indicate that active fund managers have abnormal stock-picking ability in their decisions of picking new heavy stock holdings. Our regression analysis further shows that the number of funds with heavy holdings is positively associated with, whereas firm size and the abnormal return in the previous quarter are negatively associated with the abnormal returns of new heavy holdings of stocks by active funds, suggesting that the stock-picking ability of fund managers is more pronounced among small firms with lagging return in the previous quarter. Such findings can not be fully captured by the small firm effect or the reversal effect. Moreover, we find no significantly positive effects from the abnormal return of fund managers in the previous year on the abnormal returns of new heavy holdings by active funds, but negative effects from the number of funds under management. These results imply that star fund managers with superior historical performance may not display better stock-picking ability than normal fund managers.

关 键 词：主动型基金 选股能力 新进重仓股 明星基金经理 

分 类 号：F832.51[经济管理—金融学]