债券型基金估值与期末业绩拉升行为  

Fixed-income Funds Valuation and Performance Pumping Behavior at Quarter-End

作　　者：杨振 刘海龙[2] Yang Zhen;Liu Hailong

机构地区：[1]中国外汇交易中心博士后工作站 [2]上海交通大学安泰经济与管理学院

出　　处：《投资研究》2022年第12期126-151,共26页Review of Investment Studies

基　　金：国家自然科学基金项目“复杂市场环境下基于风险预算的资产配置研究”(71873088)。

摘　　要：相对业绩排名的考核制度下,市价法估值的债券型基金期末可能存在业绩拉升行为。以中国债券型基金2013—2018年的数据为样本,发现债券型基金期末存在业绩拉升行为,且业绩排名靠前的“赢家”基金,期末更有动力拉升业绩。收盘价估值的基金期末通过拉升重仓债券收盘价的方式提高业绩,导致期末债券收益率显著高于其他日期;而第三方机构估值的基金期末以高于第三方机构估值的价格出售债券或以低于第三方机构估值的价格买入债券,短期内也能够迅速释放收益。As fund managers are evaluated based on relative performance rankings,there exists performance pumping behavior at the quarter and year-end for fixed-income funds valued at market prices.This article uses the data of China’s fixed-income funds from 2013 to 2018 as a sample to empirically test whether there is a performance pumping behavior for fixed-income funds?Fixed-income funds have performance pumping behavior and the“winner”funds that rank in the top initially are more motivated to increase their performance at the end of the evaluation period.The market approach includes close price valuation and thirdparty valuation.With close price valuation,the fund can pump its performance by increasing the closing price of bonds with large positions and thereby generating an end-of-period return higher than other dates.While with a third-party valuation method,at the end of the valuation period,the fund also creat returns by selling the bonds at a price higher than the valuation of third-party institutions,or buying the bonds at a price lower than the valuation of third-party institutions.The performance pumping behavior has narrowed down the difference between closing price and third-party valuations.

关 键 词：业绩排名 业绩拉升 基金估值 债券价格 

分 类 号：G11[文化科学] G12G23