投资者申赎与公募基金业绩粉饰——基于中国基金信息披露差异的经验证据  

Purchase and Withdrawal of Mutual Fund and Window Dressing:Empirical Evidence from Mutual Fund Information Disclosure in China

作　　者：孟庆斌[1] 杨俊华[1] 许伟[2] 吴蕾[3] Meng Qingbin;Yang Junhua;Xu Wei;Wu Lei(Renmin Business School,Renmin University of China,Beijing 100872;School of Information,Renmin University of China,Beijing 100872;School of Economics and Management,Beihang University,Beijing 100191)

机构地区：[1]中国人民大学商学院,北京100872 [2]中国人民大学信息学院,北京100872 [3]北京航空航天大学经济管理学院,北京100191

出　　处：《管理评论》2019年第11期20-32,共13页Management Review

基　　金：国家自然科学基金项目(71772174);中央高校基本科研业务费专项资金资助项目(18XNH084)

摘　　要：在中国基金行业特有的制度背景下,本文利用我国公募基金2003-2014年披露的持仓数据,对其业绩粉饰行为进行研究。结果发现:首先,基金持仓特征与投资者的申赎决策显著相关,当基金持有更多"好股票"时,投资者倾向于增加申购或减少赎回;当基金持有较多"差股票"时,投资者则越倾向于减少申购或增加赎回。其次,基金业绩粉饰程度与其本期业绩显著负相关。同时,由于我国公募基金在二、四季度持仓信息披露详细程度高于一、三季度,因此基金二、四季度的业绩粉饰程度显著高于一、三季度。最后,本文发现基金未来业绩与其业绩粉饰程度显著负相关,并且这主要是因为业绩粉饰提高了交易成本而导致的。Under the unique regulation background,this paper studies the window dressing of Chinese mutual funds using the stock holding information from 2003 to 2014 and finds the following results. First,stock holdings of mutual fund have a significant impact on investors’ decisions. When a fund holds more"winner"stocks,investors tend to increase their purchase or reduce their withdrawal. When it holds more"loser"stocks,investors are more inclined to reduce the purchase or increase the withdrawal. Second,the degree of window dressing is negatively related to fund performance. Furthermore,as mutual funds have to disclosure more detailed information of stock holding in the second and fourth quarter than in the first and third quarter,the degree of window dressing is significantly higher in the second and fourth quarter. Finally,we find that window dressing has a significantly negative impact on future performance because of higher trade costs resulting from window dressing.

关 键 词：公募基金 基金持仓 信息披露 业绩粉饰 

分 类 号：F83[经济管理—金融学]