基金抱团是价值投资还是盲目跟风?——基于个股收益影响的研究  

Is Fund Clustering Caused by Funds’Value-Investing or Blind Imitation?——The Perspective of Stock Return Patterns

作　　者：向诚[1] 冯丽璇 Xiang Cheng;Feng Lixuan

机构地区：[1]重庆大学经济与工商管理学院

出　　处：《投资研究》2022年第12期67-90,共24页Review of Investment Studies

摘　　要：本文在控制基金羊群交易后,实证检验不同基金同时重仓持有相同股票即抱团持股对个股收益的影响。发现基金抱团抬升个股当季收益,但这一影响在下季度反转,且这一效应在套利限制多和市场关注度高的个股中更强,在市场波动大、市场情绪低迷,即更考验基金经理投资能力的时期更大。上述结果更符合我国基金因盲目“跟风”持有热点个股而抱团的观点,而源于“跟风”的基金抱团会导致个股被错误定价,随后股价因向内在价值回归而反转。This study empirically investigates the impact of massive funds holding identical individual stocks,i.e.,fund clustering,on stock returns,controlling for funds’herding behavior in trading.It is found that fund clustering increases contemporaneous quarterly stock returns but causes return reversals in the subsequent quarter.The return reversals are stronger for stocks with more arbitrage limits and higher market attention.The reversals are also more pronounced during periods of higher market volatility and lower market sentiment when the ability of fund managers is more valuable.These results are consistent with the argument that the shareholding of Chinese funds is clustered because fund managers blindly chase hot stocks in the market,causing stock mispricing and subsequent stock price reversals.

关 键 词：基金抱团 个股收益 套利限制 基金管理能力 

分 类 号：G11[文化科学] G23G41