“抱团”能否“取暖”——基金经理的选股策略与基金业绩  

Does “Holding Together” Create Warmth?——Fund Manager's Stock-Picking Strategy and Fund Performance

作　　者：于上尧[1,2] 王雪[3] 伊志宏[3] 

机构地区：[1]北京工商大学商学院财务系 [2]北京工商大学国有资产管理协同创新中心 [3]中国人民大学商学院财务与金融系

出　　处：《经济学报》2015年第4期82-109,共28页China Journal of Economics

基　　金：国家自然科学基金项目"分析师特征与市场价格发现效率研究"(Research of Analysts Characteristics and Price Discovery Efficiency;项目编号:71272151);"基金的投资分散化行为与决定因素研究"(Mutual Fund Diversification and Determinants;项目编号:71302157);北京市自然科学基金项目(编号:9122005);教育部人文社会科学研究项目"基金经理异质性与基金业绩"(Fund Manager Heterogeneity and Fund Performance;项目编号:15YJC630164)

摘　　要：本文以2004—2014年我国主动型股票基金为研究样本,借鉴Cohen et al.(2005)的方法,研究了基金经理选股"抱团"对基金业绩的影响。研究发现,基金经理选股"抱团"一定程度上能够提升基金业绩,但选股"抱团"提升基金业绩的能力是有限的:首先,从基金经理能力来看,只有选股能力弱、历史业绩差的基金经理可以通过选股"抱团"策略提升其业绩;其次,从提升的程度来看,选股"抱团"策略并不能使基金业绩超过行业平均水平,而仅能使其业绩超过历史业绩差的基金;最后,从市场形势来看,选股"抱团"提升基金业绩只有在市场处于牛市时才能实现。本文丰富了机构投资者行为的相关研究,对我国机构投资者的发展和相关监管政策的制订也具有一定的借鉴意义。Using a sample of actively managed equity funds in China for the period of 2004—2014,following Cohen,Coval and Pástor's(2005)research method,this paper investigates the relationship between fund managers''holding together'strategy and future fund performance.Our result shows that fund managers' 'holding together'strategy can enhance fund performance to a certain extent,but the ability of the 'holding together'strategy to enhance the fund's performance is limited.Firstly,only fund managers who has poor investing skills and with historical poor fund performance can enhance their performance based on 'holding together'strategy.Secondly,'holding together'strategy cannot make the fund's performance to exceed the industry average level,but only to make it higher than funds whose historical performance is poor.Finally, 'holding together'can enhance fund performance only in bull market.Our paper enriches the institutional investors'behavior researches,and has important implications for the development of institutional investors and the regulation of policy formulation in China.

关 键 词：选股“抱团” 基金业绩 市场形势 机构投资者 

分 类 号：F832.51[经济管理—金融学]