期末溢价与基金家族策略--来自中国公募基金市场的证据  

Holdings Markup and Mutual Fund Family Strategy:Evidence from China

作　　者：余音[1,2] 姚彤 张峥 江嘉骏[1,2] YU Yin;YAO Tong;ZHANG Zheng;JIANG Jiajun(Guanghua School of Management, Peking University;Tippie College of Business, University of Iowa)

机构地区：[1]北京大学光华管理学院,北京100871 [2]Tippie College of Business,University of Iowa,U.S.

出　　处：《金融研究》2018年第5期154-171,共18页Journal of Financial Research

基　　金：国家自然科学基金(项目号：71673007)资助.

摘　　要：本文发现中国公募股票基金存在报告期末溢价,且这一现象与基金家族策略有关,是基金家族内部协调基金业绩的新手段。研究发现,基金在季度末比平时有更高的超额收益,且在下一季度初反转。基金重仓股在季度末也有类似的超额收益与反转,表明基金在报告期末拉抬股价从而产生期末溢价现象。进一步研究发现,家族内部规模大、成立时间长和往期业绩好的基金在季度末的溢价现象更严重。这类"高价值基金"与同家族"低价值基金"在季度末的净值收益率之差显著为正,而与不同家族的"低价值基金"在季度末的净值收益率没有显著差别。此外,我们发现在家族内共同持股现象更严重的基金中,期末溢价更为显著。这些证据表明,基金的期末溢价是基金家族策略的一种新手段,会进一步扭曲基金收益排名,损害投资者利益。We propose that actively managed equity mutual funds tend to mark up their portfolio values at quarter ends. This approach is used by mutual fund family as a family strategy to coordinate fund performance within the family. We provide evidence that both the individual fund and its top holding stocks have abnormal return during the last few trading days at quarter ends, and experience a return reversal at the beginning of the next quarter. Further tests indicate that ＂high family value＂ funds （i. e. , funds with larger size, older funds and funds with higher past performance） show higher abnormal return at quarter ends. We also find that funds with high cross -holdings exhibit higher abnormal return at quarter ends. These results indicate that holdings markup in mutual funds can be explained by fund family strategy.

关 键 词：基金家族策略 期末溢价 拉抬尾市 

分 类 号：G23[文化科学] G10