我国明星基金的溢出效应研究
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摘要
目前国内的基金业发展,整体来说比较不规范,为了竞争市场当中的基金投资者,各大基金公司经常采用积极的广告媒体等方式进行宣传,拿出业绩表现较好的基金作为招牌对外展示,在众多的基金公司宣传中,基金投资者很难有效的去选择真正的好的基金。本文正是基于这样一个现实,研究当前市场当中存在的所谓明星基金是否真的存在正向溢出效应,即对自身和整个家族带来显著的资金净流入,这种效应是否会影响到其他本来不存在明星基金的基金公司,他们是否会对这一现象做出反应,并采取造星的策略进行模仿。另一方面,研究明星基金季报公布的十大重仓股是否对二级市场投资者产生一定的影响,如果存在积极的影响,投资者可以据此参与投资进行获利,同时也说明基金对股票市场的影响比较大。总体而言,研究这一题目具有积极的意义,无论是对基金投资者、股票二级市场投资者还是对基金监管层,都是有积极意义的。
本文研究的问题主要分为三个方面,都可以归纳为明星基金的溢出效应,在界定了溢出效应等相关概念,介绍了相关理论之后,研究的第一个主要问题就是明星基金对家族当中其他基金的影响,以及从整个家族的角度来看,影响程度如何。第二个问题研究了明星基金每个季度公布的十大重仓股这一信息是否对股票二级市场投资者产生了影响。本文研究的第三个问题是分析明星基金对其他基金家族的影响。归纳起来,都是研究明星基金对有关各方的影响大小。
根据上述研究的主要问题,除了第一章的导论部分,本文接下来的结构安排如下：
第二章是相关的研究文献回顾,主要回顾了关于明星基金溢出效应分析的相关国内外文献。并进行了对比,分析了一定的不足之处。
第三章是本文的理论部分,首先解释了开放式基金、基金家族、溢出效应等相关概念内容,接着简单介绍了基金管理公司的收入来源。本章的重点是阐述明星基金的溢出效应概念、溢出效应存在的原因以及利用这种溢出效应的途径和方式等,这些是后文进行实证研究的理论基础。
第四章是实证分析的第一部分,使用了长达21个季度的面板数据来研究明星基金对其所在家族当中的非明星基金的溢出效应大小,以及从整个基金家族的角度看,整体的溢出效应大小。
第五章是实证研究的第二部分,主要研究明星基金每个季度的季报公布的十大重仓股这一信息对股票市场的影响大小,使用事件研究的方法分别从股票收益率波动和换手率波动两个角度来研究明星基金溢出效应的大小。
第六章是实证的最后一部分,主要研究明星基金对其他基金家族的溢出效应。
第七章是本文的最后一章,主要对前面的研究进行总结和归纳,得出相应的研究结论,并针对文章当中的研究不足之处提出今后进一步研究的方向。
根据上述提出的研究问题,以及文章的结构安排,经过相应的实证研究,文章最后得出的研究结论如下：
(一)文章首先就明星基金是否存在这样的溢出效应进行检验。首先从单个基金的角度,分析了明星基金是否会给自身带来资金净流入以及对家族中其他的非明星基金又会产生怎样的影响。模型一的检验结果表明,前期的明星基金并没有在本期为自己带来更多的资金净流入,而给家族中的其他非明星基金带来了显著的资金流入,说明明星基金对其他基金产生了正的溢出效应。模型二是从基金家族的角度来进行分析,得出的结论是明星基金对整个家族的影响是显著为正的,即资金是净流入的状态。另一方面,垃圾基金却并没有造成自身以及家族中其他非垃圾基金的资金显著流出,与明星基金对比,产生了一种非对称现象。
(二)接着采用了已经发展相对比较成熟的事件研究法对明星基金每个季度季报公布的十大重仓股是否对股票二级市场的投资者产生影响进行分析。分别从异常收益率和异常换手率两个角度进行研究处理。在没有具体区分基金购买股票的权重的情况下进行研究发现,无论是对于明星基金还是对于用作对比的垃圾基金来说,其异常收益率和异常换手率在统计上都不够显著,与文章的假设不相一致,为此,对模型进行了改进处理。处理后模型回归的结果显示,明星基金以及明星基金和垃圾基金共同购买的第一权重股和权重股组合在异常收益率和异常换手率上都表现很显著,而权重排名第十的股票和次权重股组合在两方面表现都不够显著。而垃圾基金购买的权重股,在异常收益率上也表现出了同明星基金类似的情形,只是影响的方向是相反的,但是,在异常换手率这一指标上并没有表现出统计上的显著性。
(三)文章接着检验了明星基金对其他基金家族的影响。文章使用面板Logit模型来检验基金家族的一些特征变量与基金家族中是否出现明星基金之间的关系。检验的结果显示,从基金家族过去的业绩很难直接判断出产生明星基金的概率高低。而家族旗下基金之间业绩波动较大的公司更有可能产生明星基金。从规模的角度看,规模越大的基金家族出现明星基金的概率相对较高。最后,从基金家族在前一期是否为明星家族还是垃圾家族来看,当基金公司在前一期是明星家族时,下一期产生明星基金的概率较犬。在Logit模型回归结果的基础上,我们根据其中显著的三个特征变量即基金家族旗下基金之间业绩的标准差、基金家族的规模大小、前期是否是明星家族来构造组合,进一步分析不同家族的投资能力大小并研究其投资策略,研究结果发现,明星家族并没有显著表现出较高的收益率水平,单纯根据是否存在明星基金来投资明星家族的策略是不成功的,无法获得较好的收益率。进一步细分可以看出,低离差的明星家族业绩稳定,且收益水平较高,他们属于真正的明星家族,整体的投资能力较强,可以使得家族大部分基金的业绩保持在较高的水平。相反,高离差的明星家族事前打造明星基金动机较大,家族业绩表现很不稳定,他们不属于真正的明星家族,无法为投资者带来较好的回报率。
本文主要的创新点有,其一,对明星基金的溢出效应进行了比较全面、系统的研究,涉及面比较宽广。其二,对明星基金的溢出效应进行了更加广义的拓展,并没有局限在某一个方面,尤其是详细的研究了明星基金对股票二级市场投资者的影响,而类似的文献几乎没有。其三,在研究明星基金季报公布的十大重仓股对股票二级市场投资者影响的时候,遵循的是通用的事件研究法,但是在具体运用时,将季报的内容进行拆分细化来分析,比较精确的研究不同信息对投资者的影响程度大小。
最后,对全文进行总结,提出了本文研究的不足之处,并指出了今后进一步研究的方向。
At present, the development of the domestic fund industry, as a whole, it is rather non-standard. Fund companies in order to compete for the market potential investors, major fund companies often use aggressive advertising media. Fund companies use better performance fund as a sign. Fund investors face of numerous funds and it is difficult to choose a better fund. This paper is based on this reality and study if there exists positive spillover effects of star fund, which is if star fund can bring significant net inflow for itself or the whole family of funds, if the effect will affect the other fund company which do not have star fund. If the fund company will imitate the star fund strategy. On the other hand, whether star fund published ten Awkwardness quarterly affect secondary market investors. If there is a positive impact, investors can participate in the investment and make a profit, but also shows the impact of the funds on the stock market. Overall, the research on the subject has a positive meaning for fund investors, secondary market investors or regulators of the fund.
In this paper, the problem is divided into three main areas, which can be summarized as the spillover effects of the star fund. After defining the spillover effects and other related concepts and related theories, the first major problem is the effect of star fund to other funds in one fund family as well as the whole family. The second problem is whether the top ten Awkwardness of star fund announced quarterly has an impact on the secondary market investors. The third problem studies the impact of star fund to other fund families. In summary, the three problems study the star fund spillover effects.
The First part of this paper is introduction. Rest of the paper is organized as follows:Chapter Two is related research literature review. This chapter review of the literature about the star fund spillover effects domestic and abroad, we compares the results and give the inadequacies of their analysis.
Chapter Three is the theoretical of this paper. First, this chapter explains the concept of the open-end fund, the fund family and spillover effects. Next, gives a brief introduction to the sources of income of the fund management company. The key of this chapter is to describe the concept of the spillover effects of the star fund, the reasons for the presence of spillover effects and ways and means of using spillover effects. These are the theoretical basis of later empirical research.
Chapter Four is the first part of the empirical analysis of this paper. Using panel data of length21, this chapter studies the spillover effects of star fund to non-star funds in one fund family and to the whole fund family.
Chapter Five is the second part of the empirical analysis of this paper. This chapter mainly studies the information, which is ten Awkwardness of star fund published quarterly, impacts the stock market. Using event study method, which from stock return volatility and turnover volatility the two angles, to study the spillover effects of star fund.
Chapter Six is the last part of the empirical analysis of this paper. This chapter mainly studies the spillover effects of star fund to other fund family.
Chapter Seven is the last chapter. This chapter mainly reviews and summarizes previous research and conclusions of this paper, also gives the inadequacies of this study and further research directions.
According to the proposed questions, the structure and the empirical research of this paper, shows conclusions of this paper are as follows:
(i) First, this paper test if there exists the spillover effects of star fund. From the point of view of the individual funds, if star fund will bring net inflow to itself as well as non-star fund of the same fund family. The first model's results show that star fund in the previous period do not bring net inflow to current, but it bring net flow to non-star fund of the same fund family. This means that star fund produces positive spillover effects to other funds in one fund family. The second model is the analysis from the point of view of the fund family, the results show that the star fund produces significant positive spillover effects to the entire family. On the other hand, dog funds did not cause a significant outflow of itself as well as other non-dog funds of one fund family. Comparing to star fund, this is asymmetric.
(ii) Next, using event study methodology to analysis if ten Awkwardness of star fund reported quarterly have impact to investors of secondary stock markets and from abnormal returns and abnormal turnover respectively. In the case of not considering the stock weights, whether it is for the star fund or dog funds, it is not significant enough both for abnormal returns and abnormal turnover. This result is not consistent with the assumption of this paper, therefore we improve this model. After correcting model, the results show that the first heavyweight and heavyweight combination of the stock, which star fund and dog fund hold commonly, have shown very significant abnormal returns and abnormal turnover. The tenth weights combination of stock and sub-heavyweight performance in two aspects are not significant enough. However the abnormal returns of heavyweight, which the dog fund holds, shows a similar situation with star fund, but do not show statistically significant indicators of abnormal turnover.
(iii)Finally, this paper goes on to text if star fund impact to other fund of other fund family. Using the panel model to test whether there exists relationship between the characteristics variables and if exists the star fund of the fund family. The test results show that the past performance of the fund families is difficult to determine the probability of producing a star fund directly. The company which fund performance more volatile is more likely to produce a star fund. From the point of view of the scale, the larger the fund family is more likely produce star fund. When the fund company is the star family, it is more likely to produce star fund. On the basis of the regression results, according to three significant characteristic variables:the results of the standard deviation between the fund families、the size of the fund families and if it is star fund in the previous period. We use the three factors to construct combination to further analysis the investment capacity of different family and their investment strategy. The results show that star family did not show significantly a higher rate of returns. It is not successful to invest star family based on the existence of star fund. Further analysis shows that the star family which is low deviation performance stability and gets higher rate of returns. They belong to a real star family and have higher investment ability overall, can make the most of the family of the Fund's performance remains at a high level. In contrast, the star family with high deviation has motive to build star fund, but performance of family is very unstable, they do not belong to the real star family and can't bring better returns for investors.
The main innovation of this paper as follows:first, this paper study the spillover effects of the star fund and gives comprehensive comparison; Secondly, we expands the spillover effects of the star fund. In particular, gives a detailed study of how the star fund impacts investors of secondary market; Third, when study the top ten Awkwardness of the star fund published quarterly affected to investors of secondary market, we use event study methodology and split the quarterly report content to study how different information influences to investors precisely.
Finally, this paper gives summary of the full paper, the inadequacies of this study and pointed out the direction of further research.
本文研究的问题主要分为三个方面,都可以归纳为明星基金的溢出效应,在界定了溢出效应等相关概念,介绍了相关理论之后,研究的第一个主要问题就是明星基金对家族当中其他基金的影响,以及从整个家族的角度来看,影响程度如何。第二个问题研究了明星基金每个季度公布的十大重仓股这一信息是否对股票二级市场投资者产生了影响。本文研究的第三个问题是分析明星基金对其他基金家族的影响。归纳起来,都是研究明星基金对有关各方的影响大小。
根据上述研究的主要问题,除了第一章的导论部分,本文接下来的结构安排如下：
第二章是相关的研究文献回顾,主要回顾了关于明星基金溢出效应分析的相关国内外文献。并进行了对比,分析了一定的不足之处。
第三章是本文的理论部分,首先解释了开放式基金、基金家族、溢出效应等相关概念内容,接着简单介绍了基金管理公司的收入来源。本章的重点是阐述明星基金的溢出效应概念、溢出效应存在的原因以及利用这种溢出效应的途径和方式等,这些是后文进行实证研究的理论基础。
第四章是实证分析的第一部分,使用了长达21个季度的面板数据来研究明星基金对其所在家族当中的非明星基金的溢出效应大小,以及从整个基金家族的角度看,整体的溢出效应大小。
第五章是实证研究的第二部分,主要研究明星基金每个季度的季报公布的十大重仓股这一信息对股票市场的影响大小,使用事件研究的方法分别从股票收益率波动和换手率波动两个角度来研究明星基金溢出效应的大小。
第六章是实证的最后一部分,主要研究明星基金对其他基金家族的溢出效应。
第七章是本文的最后一章,主要对前面的研究进行总结和归纳,得出相应的研究结论,并针对文章当中的研究不足之处提出今后进一步研究的方向。
根据上述提出的研究问题,以及文章的结构安排,经过相应的实证研究,文章最后得出的研究结论如下：
(一)文章首先就明星基金是否存在这样的溢出效应进行检验。首先从单个基金的角度,分析了明星基金是否会给自身带来资金净流入以及对家族中其他的非明星基金又会产生怎样的影响。模型一的检验结果表明,前期的明星基金并没有在本期为自己带来更多的资金净流入,而给家族中的其他非明星基金带来了显著的资金流入,说明明星基金对其他基金产生了正的溢出效应。模型二是从基金家族的角度来进行分析,得出的结论是明星基金对整个家族的影响是显著为正的,即资金是净流入的状态。另一方面,垃圾基金却并没有造成自身以及家族中其他非垃圾基金的资金显著流出,与明星基金对比,产生了一种非对称现象。
(二)接着采用了已经发展相对比较成熟的事件研究法对明星基金每个季度季报公布的十大重仓股是否对股票二级市场的投资者产生影响进行分析。分别从异常收益率和异常换手率两个角度进行研究处理。在没有具体区分基金购买股票的权重的情况下进行研究发现,无论是对于明星基金还是对于用作对比的垃圾基金来说,其异常收益率和异常换手率在统计上都不够显著,与文章的假设不相一致,为此,对模型进行了改进处理。处理后模型回归的结果显示,明星基金以及明星基金和垃圾基金共同购买的第一权重股和权重股组合在异常收益率和异常换手率上都表现很显著,而权重排名第十的股票和次权重股组合在两方面表现都不够显著。而垃圾基金购买的权重股,在异常收益率上也表现出了同明星基金类似的情形,只是影响的方向是相反的,但是,在异常换手率这一指标上并没有表现出统计上的显著性。
(三)文章接着检验了明星基金对其他基金家族的影响。文章使用面板Logit模型来检验基金家族的一些特征变量与基金家族中是否出现明星基金之间的关系。检验的结果显示,从基金家族过去的业绩很难直接判断出产生明星基金的概率高低。而家族旗下基金之间业绩波动较大的公司更有可能产生明星基金。从规模的角度看,规模越大的基金家族出现明星基金的概率相对较高。最后,从基金家族在前一期是否为明星家族还是垃圾家族来看,当基金公司在前一期是明星家族时,下一期产生明星基金的概率较犬。在Logit模型回归结果的基础上,我们根据其中显著的三个特征变量即基金家族旗下基金之间业绩的标准差、基金家族的规模大小、前期是否是明星家族来构造组合,进一步分析不同家族的投资能力大小并研究其投资策略,研究结果发现,明星家族并没有显著表现出较高的收益率水平,单纯根据是否存在明星基金来投资明星家族的策略是不成功的,无法获得较好的收益率。进一步细分可以看出,低离差的明星家族业绩稳定,且收益水平较高,他们属于真正的明星家族,整体的投资能力较强,可以使得家族大部分基金的业绩保持在较高的水平。相反,高离差的明星家族事前打造明星基金动机较大,家族业绩表现很不稳定,他们不属于真正的明星家族,无法为投资者带来较好的回报率。
本文主要的创新点有,其一,对明星基金的溢出效应进行了比较全面、系统的研究,涉及面比较宽广。其二,对明星基金的溢出效应进行了更加广义的拓展,并没有局限在某一个方面,尤其是详细的研究了明星基金对股票二级市场投资者的影响,而类似的文献几乎没有。其三,在研究明星基金季报公布的十大重仓股对股票二级市场投资者影响的时候,遵循的是通用的事件研究法,但是在具体运用时,将季报的内容进行拆分细化来分析,比较精确的研究不同信息对投资者的影响程度大小。
最后,对全文进行总结,提出了本文研究的不足之处,并指出了今后进一步研究的方向。
At present, the development of the domestic fund industry, as a whole, it is rather non-standard. Fund companies in order to compete for the market potential investors, major fund companies often use aggressive advertising media. Fund companies use better performance fund as a sign. Fund investors face of numerous funds and it is difficult to choose a better fund. This paper is based on this reality and study if there exists positive spillover effects of star fund, which is if star fund can bring significant net inflow for itself or the whole family of funds, if the effect will affect the other fund company which do not have star fund. If the fund company will imitate the star fund strategy. On the other hand, whether star fund published ten Awkwardness quarterly affect secondary market investors. If there is a positive impact, investors can participate in the investment and make a profit, but also shows the impact of the funds on the stock market. Overall, the research on the subject has a positive meaning for fund investors, secondary market investors or regulators of the fund.
In this paper, the problem is divided into three main areas, which can be summarized as the spillover effects of the star fund. After defining the spillover effects and other related concepts and related theories, the first major problem is the effect of star fund to other funds in one fund family as well as the whole family. The second problem is whether the top ten Awkwardness of star fund announced quarterly has an impact on the secondary market investors. The third problem studies the impact of star fund to other fund families. In summary, the three problems study the star fund spillover effects.
The First part of this paper is introduction. Rest of the paper is organized as follows:Chapter Two is related research literature review. This chapter review of the literature about the star fund spillover effects domestic and abroad, we compares the results and give the inadequacies of their analysis.
Chapter Three is the theoretical of this paper. First, this chapter explains the concept of the open-end fund, the fund family and spillover effects. Next, gives a brief introduction to the sources of income of the fund management company. The key of this chapter is to describe the concept of the spillover effects of the star fund, the reasons for the presence of spillover effects and ways and means of using spillover effects. These are the theoretical basis of later empirical research.
Chapter Four is the first part of the empirical analysis of this paper. Using panel data of length21, this chapter studies the spillover effects of star fund to non-star funds in one fund family and to the whole fund family.
Chapter Five is the second part of the empirical analysis of this paper. This chapter mainly studies the information, which is ten Awkwardness of star fund published quarterly, impacts the stock market. Using event study method, which from stock return volatility and turnover volatility the two angles, to study the spillover effects of star fund.
Chapter Six is the last part of the empirical analysis of this paper. This chapter mainly studies the spillover effects of star fund to other fund family.
Chapter Seven is the last chapter. This chapter mainly reviews and summarizes previous research and conclusions of this paper, also gives the inadequacies of this study and further research directions.
According to the proposed questions, the structure and the empirical research of this paper, shows conclusions of this paper are as follows:
(i) First, this paper test if there exists the spillover effects of star fund. From the point of view of the individual funds, if star fund will bring net inflow to itself as well as non-star fund of the same fund family. The first model's results show that star fund in the previous period do not bring net inflow to current, but it bring net flow to non-star fund of the same fund family. This means that star fund produces positive spillover effects to other funds in one fund family. The second model is the analysis from the point of view of the fund family, the results show that the star fund produces significant positive spillover effects to the entire family. On the other hand, dog funds did not cause a significant outflow of itself as well as other non-dog funds of one fund family. Comparing to star fund, this is asymmetric.
(ii) Next, using event study methodology to analysis if ten Awkwardness of star fund reported quarterly have impact to investors of secondary stock markets and from abnormal returns and abnormal turnover respectively. In the case of not considering the stock weights, whether it is for the star fund or dog funds, it is not significant enough both for abnormal returns and abnormal turnover. This result is not consistent with the assumption of this paper, therefore we improve this model. After correcting model, the results show that the first heavyweight and heavyweight combination of the stock, which star fund and dog fund hold commonly, have shown very significant abnormal returns and abnormal turnover. The tenth weights combination of stock and sub-heavyweight performance in two aspects are not significant enough. However the abnormal returns of heavyweight, which the dog fund holds, shows a similar situation with star fund, but do not show statistically significant indicators of abnormal turnover.
(iii)Finally, this paper goes on to text if star fund impact to other fund of other fund family. Using the panel model to test whether there exists relationship between the characteristics variables and if exists the star fund of the fund family. The test results show that the past performance of the fund families is difficult to determine the probability of producing a star fund directly. The company which fund performance more volatile is more likely to produce a star fund. From the point of view of the scale, the larger the fund family is more likely produce star fund. When the fund company is the star family, it is more likely to produce star fund. On the basis of the regression results, according to three significant characteristic variables:the results of the standard deviation between the fund families、the size of the fund families and if it is star fund in the previous period. We use the three factors to construct combination to further analysis the investment capacity of different family and their investment strategy. The results show that star family did not show significantly a higher rate of returns. It is not successful to invest star family based on the existence of star fund. Further analysis shows that the star family which is low deviation performance stability and gets higher rate of returns. They belong to a real star family and have higher investment ability overall, can make the most of the family of the Fund's performance remains at a high level. In contrast, the star family with high deviation has motive to build star fund, but performance of family is very unstable, they do not belong to the real star family and can't bring better returns for investors.
The main innovation of this paper as follows:first, this paper study the spillover effects of the star fund and gives comprehensive comparison; Secondly, we expands the spillover effects of the star fund. In particular, gives a detailed study of how the star fund impacts investors of secondary market; Third, when study the top ten Awkwardness of the star fund published quarterly affected to investors of secondary market, we use event study methodology and split the quarterly report content to study how different information influences to investors precisely.
Finally, this paper gives summary of the full paper, the inadequacies of this study and pointed out the direction of further research.
引文
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① 高铁梅.计量经济分析方法与建模-EViews应用及实例[M].北京：清华大学出版社,2006：143-158
① “白噪声”,即均值为0,方差不变的稳定随机序列。
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① 本章的数据处理主要使用了Stata 12.0软件.
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