中国公募基金挖掘了股票市场异象吗?  

Do Mutual Funds Exploit Stock Market Anomalies in China?

作　　者：李斌 雷印如 LI Bin;LEI Yinru(Economics and Management School/Financial Research Center,Wuhan University)

机构地区：[1]武汉大学经济与管理学院/金融研究中心,湖北武汉430072

出　　处：《金融研究》2022年第9期188-206,共19页Journal of Financial Research

基　　金：国家自然科学基金面上项目(批准号:71971164);科技创新2030——“新一代人工智能”重大项目课题(批准号:2020AAA0108505);国家社会科学基金重大项目(批准号:21ZDA114和20&ZD105)的资助。

摘　　要：公募基金是我国重要的机构投资者之一,分析其投资逻辑对理解机构投资者行为和公募基金的选择至关重要。基于2005年至2019年主动管理偏股型开放式基金数据,本文检验了公募基金对A股市场87个异象因子的挖掘。为解决因子维度过大问题,本文采用非参方法从87个异象因子中提取有效信息的综合指标A-Score,并根据基金持仓构建基金的异象投资指标AIM(Anomalies Investing Measure)。结果显示:(1)中国公募基金挖掘了市场异象;(2)利用AIM可以选择表现更好的基金,并能获得0.45%的月度多空组合收益;(3)基金经理的选股能力、风格选择能力和风控能力是其挖掘异象收益的主要来源;(4)异象挖掘可以为基金带来长期资金流,同时也缓和了市场的错误定价。Mutual funds are one of the most attractive investment options for institutional investors in China;thus,understanding the behaviors of mutual funds is crucial for making institutional investments and selecting superior mutual funds.Stock is an important underlying asset for mutual funds,especially equity mutual funds.Furthermore,stock returns are driven by a series of firm characteristics or anomaly factors,and a burgeoning number of factors worldwide provide new investment directions for mutual funds.Institutional investors,including mutual funds,have the motivation and capability to exploit market anomalies.The following questions thereby arise:Do mutual funds exploit market anomalies in Chinese stock markets?If so,can we select mutual funds based on such exploitation behaviors?However,the literature mainly focuses on the exploitation of a single market anomaly or single class of market anomalies,and no systematic examination of the hundreds of existing anomalies exists.Moreover,some studies provide contradictory answers to the question of whether institutional investors exploit market anomalies.In addition,most studies are based on the US stock markets,and their findings may not apply to Chinese stock markets.Unfortunately,no such research exists on Chinese capital markets.Thus,this paper seeks to answer the following four research questions:(1)Do Chinese mutual funds exploit stock market anomalies?(2)If so,can we propose new indicators for mutual fund selection based on their holding stocks and corresponding anomaly factors?(3)Is the exploitation of stock market anomalies a reflection of fund managers’investment management capabilities?(4)What are the economic consequences and market impacts of exploiting these anomalies?To answer these questions,we construct an anomaly score(or A-Score)based on 87 anomaly variables from the Chinese A-share market.To avoid look-ahead bias,we directly adopt the factors from the study by Li et al.(2019).Based on fund holding data and A-Scores of stocks,we further construct t

关 键 词：公募基金 股票异象 基金业绩 

分 类 号：F832.51[经济管理—金融学]