知情交易与基金业绩实证研究
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摘要
证券投资基金是指通过发行基金份额的形式,将大众投资者资金集中起来由基金托管人托管,基金管理人管理,以投资组合的方式进行专业理财、利益共享、风险共担的集合投资方式。知情交易是指由于市场上具有信息不对称的特点,知情者利用自己所拥有的私有信息(private information)来进行股票交易,利用价格差来获取利润。私有信息的范围可以包括上市公司基本面信息、股票持有分布信息、突发事件信息以及通过证券分析得出的股价变化信息等等。
本文正是从知情交易的角度来进行研究中国市场基金的投资行为和基金收益的关系。通过采用Easley et al(.1996)提出的知情交易概率(probability of informed trading, PIN)测度,研究中国股市与基金投资业绩之间的关系,并进一步利用基金投资组合的PIN均值作为基金的信息测度。研究发现,知情交易概率与基金业绩之间存在显著的负相关关系。这说明对于基金而言,参与那些具有更高内幕/知情交易的股票,并没有取得更高的收益,或者即使本身作为知情交易者,基金根据所了解的私有信息所进行的交易并未让他们获得更好的收益,甚至反而给他们带来了损失。
Securities investment fund refers to funds through the issuance of shares in the form of pooled funds, which is managed by the fund trustees and the fund managers, with a portfolio approach to professional financial management, benefit sharing and risk-sharing. Informed trading means the market has the characteristics of asymmetric information. Insiders use their private information that they owned to trade stock and the difference of price to profit. The scope of private information can include fundamental information of listed companies, stock holders of distributed information, emergency information and analytical information obtained by the change of securities price.
From the angle of informed trading, this paper studies the relationship between investment behavior of funds and the performance of funds in the Chinese market. Using the measure of the probability of informed trading in Easley et al. (1996), I study the relationship between the probability of informed trading and the performance of mutual fund in Chinese stock markets. I use the mean of PIN of the individual stocks of mutual fund portfolios as the PIN of the mutual fund. The empirical test shows that there is a significant negative relation between the mutual funds’PIN and the performance. This result means that the participation in informed trading of mutual funds (or as the informed traders themselves) can’t increase their performance.
本文正是从知情交易的角度来进行研究中国市场基金的投资行为和基金收益的关系。通过采用Easley et al(.1996)提出的知情交易概率(probability of informed trading, PIN)测度,研究中国股市与基金投资业绩之间的关系,并进一步利用基金投资组合的PIN均值作为基金的信息测度。研究发现,知情交易概率与基金业绩之间存在显著的负相关关系。这说明对于基金而言,参与那些具有更高内幕/知情交易的股票,并没有取得更高的收益,或者即使本身作为知情交易者,基金根据所了解的私有信息所进行的交易并未让他们获得更好的收益,甚至反而给他们带来了损失。
Securities investment fund refers to funds through the issuance of shares in the form of pooled funds, which is managed by the fund trustees and the fund managers, with a portfolio approach to professional financial management, benefit sharing and risk-sharing. Informed trading means the market has the characteristics of asymmetric information. Insiders use their private information that they owned to trade stock and the difference of price to profit. The scope of private information can include fundamental information of listed companies, stock holders of distributed information, emergency information and analytical information obtained by the change of securities price.
From the angle of informed trading, this paper studies the relationship between investment behavior of funds and the performance of funds in the Chinese market. Using the measure of the probability of informed trading in Easley et al. (1996), I study the relationship between the probability of informed trading and the performance of mutual fund in Chinese stock markets. I use the mean of PIN of the individual stocks of mutual fund portfolios as the PIN of the mutual fund. The empirical test shows that there is a significant negative relation between the mutual funds’PIN and the performance. This result means that the participation in informed trading of mutual funds (or as the informed traders themselves) can’t increase their performance.
引文
[1] Admati AR, Bhattacharya S, Pfleiderer P, et al. On timing and selectivity. Journal of Finance. 1986, 41(3): 715-730.
[2] Baks KP, Metrick A, Wachter J. Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation. Journal of Finance. 2001, 56(1): 45–85.
[3] Berk JB, Green RC. Mutual fund flows and performance in rational markets. Journal of Political Economy. 2004, 112(6): 1269-1295.
[4] Carhart MM. On persistence in mutual fund performance. Journal of Finance. 1997, 52(1): 57–82.
[5] Chen J, Hong H, Huang M, et al. Does fund size erode performance? The role of Liquidity, organizational diseconomies and active money management. American Economic Review. 2004, 94(5): 1276–1302.
[6] Copeland TE and Galai D. Information effects on the bid-ask spread. Journal of Finance. 1983, 38(5): 1457-1469.
[7] Coval JD and Moskowitz TJ. Home bias at home: Local equity preference in domestic portfolios. Journal of Finance. 1999, 54(6): 2045–2073.
[8] Coval JD and Moskowitz TJ. The geography of investment: Informed trading and asset prices. Journal of Political Economy. 2001, 109(4): 811–841.
[9] Duarte J and Young L. Why is PIN Priced? Journal of Financial Economics. 2009, 91(2): 119-138.
[10] Easley D, Hvidkjaer S and O’Hara M. Is information risk a determinant of asset returns? Journal of Finance. 2002, 57(5): 2185-2221.
[11] Easley D and O’Hara M. Price, trade size, and information in securities markets. Journal of Financial Economics. 1987, 19(1): 69-90.
[12] Easley D and O’Hara M. Time and the process of security price adjustment. Journal of Finance. 1992, 47(2): 577-605.
[13] Easley D and O’Hara M.. Information and the cost of capital. Journal of Finance.2004, 59(4): 1553-1583.
[14] Easley D, Kiefer NM, O’Hara M, et al. Liquidity, information and infrequently traded stocks. Journal of Finance. 1996, 51(4): 1405-1436.
[15] Easley D, Engle RF, O’Hara M, et al. Time-varying arrival rates of informed and uninformed trades. Journal of Financial Econometric. 2008, 6(2): 171-207.
[16] Easley D, Kiefer N M, and O’Hara M. Cream-skimming or profit-sharing? The curious role of purchased order flow. Journal of Finance. 1996, 51(3): 811-833.
[17] Easley D, Kiefer N M, and O’Hara M. One day in the life of a very common stock. Review of Financial Studies. 1997, 10(3): 805-835.
[18] Elton EJ, Gruber MJ, Das S, et al. Efficiency with costly information: a reinterpretation of evidence from managed portfolios. Review of Financial Studies. 1993, 6(1): 1-22.
[19] Fama EF and French KR. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics. 1989, 25(1): 23-49.
[20] Fama EF and French KR. Common risk factors in the return on stocks and bonds. Journal of Financial Economics. 1993, 33(1): 3-56.
[21] Frank MM, Poterba JM, Shackelford DA, et al. Copycat funds: Information disclosure regulation and the returns to active management in the mutual fund industry. Journal of Law and Economics. 2004, 47(2): 515–541.
[22] Grinblatt M and Titman S. Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of Business. 1989, 62(3): 393–416.
[23] Grinblatt M and Titman S. Performance measurement without benchmarks: An examination of mutual fund returns. Journal of Business. 1993, 66(1): 47–68.
[24] Grinblatt M, Titman S, and Wermers R. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review. 1995, 85(5): 1088–1105.
[25] Handa P, Schwartz R, and Tiwari A. Quote setting and price formation in an order driven market. Journal of Financial Markets. 2003, 6(4): 461-489
[26] Henriksson RD and Merton RC. On market timing and investment performance: Statistical procedure for evaluating, forecasts skills. Journal of Business. 1981,54(4): 513-533.
[27] Jensen MC. The performance of mutual fund in the Period 1945-1964. Journal of Finance. 1968, 23(2): 389-416.
[28] Kacperczyk M, Sialm C, and Zheng L. On the industry concentration of actively managed equity mutual funds. Journal of Finance. 2005, 60 (4): 1983-2011.
[29] Lehman BN, and Modest DM. Mutual fund performance evaluations: A comparison of benchmarks and benchmarks comparisons. Journal of Finance. 233-265.
[30] Markowitz H. Portfolio selection. Journal of Finance. 1952, 7(1): 77-91.
[31] Mohanram P and Rajgopal S. Is PIN priced risk? Journal of Accounting and Economics. 2009, 47(3): 226-243.
[32] Nanda V, Wang ZJ, and Zheng L. Family values and the star phenomenon. Review of Financial Studies. 2004, 17(3): 667–698.
[33] Nyholm K. Estimating the Probability of Informed Trading. Journal of Financial Research. 2002, 25(4): 485-505.
[34] Nyholm K. Inferring the private information content of trades: a regima switching approach. Journal of Applied Econometrics. 2003, 18(4): 457-470
[35] Sharpe WF. Mutual fund performance. Journal of Business. 1966, 39(1): 119-138.
[36] Treynor JL. How to Rate Management of Investment Funds. Harvard Business Review. 1965, 43(1): 63-75.
[37] Treynor and Mazuy KK. Can mutual funds outguess the market? Harvard Business Review. 1966, 44(4): 131-136.
[38]韩立岩,郑君彦,李东辉.沪市知情交易概率特征与风险定价能力.中国管理科学, 2008, 16(1): 16-24.
[39]黄杰鲲.电子指令驱动市场上的交易持续期与知情交易的相互关系研究.南方经济, 2006, (1): 5-21.
[40]孔东民,申睿. R^2、异常收益与交易的知情概率成分.中大管理研究, 2008, 3(3): 91-112.
[41]李朋,刘善存.信息性交易概率分解与买卖价差研究.南方经济, 2006, (2): 13-22.
[42]刘元海,陈伟忠.中国股市知情交易概率的测定.同济大学学报, 2004, 32(1):118-122.
[43]刘艳武,蒋瑛琨. Sharpe指数评价中国证券市场基金业绩的适用性,金融研究, 2004, (10): 94-99.
[44]马永金.包含多个知情交易者的可甄别交易流模型研究.南方经济, 2006, (7): 34-45.
[45]攀登,施东晖.知情交易概率的测度模型及其影响因素分析.管理世界, 2006, (6): 18-26.
[46]沈维涛,黄兴孪.证券投资基金业绩的实证研究与评价.经济研究, 2001, (9): 22-30.
[47]孙开连,王凯涛,陈金贤.中国股票市场内幕交易实证分析.中国软科学, 2003, (5): 62-64.
[48]孙茂辉,沈雯.开放式基金的绩效评估方法.当代经济, 2009, (12): 134-136.
[49]王春峰,张亚楠,房振明.知情交易概率和交易活跃程度的日内动态关系.系统工程. 2009, 27(7): 7-13.
[50]王春峰,董向征,房振明.信息交易概率与中国股市价格行为关系的研究.系统工程, 2005, 23(2): 62-67.
[51]王聪.证券投资基金绩效评估模型分析.经济研究, 2001(9): 31-38.
[52]王艳,杨忠直.指令驱动市场中的信息交易概率研究.华中科技大学学报, 2005, 33(10): 118-120.
[53]王展翔.关于我国股市知情交易水平及其性质的实证研究.当代财经, 2007(2): 43-48.
[54]魏玉根.政策干预上预上海股市行为的统计分析.统计研究, 2001(2): 52-55.
[55]吴娟,陆珩瑱.对我国股票型开放式基金的一种业绩评价.经济管理, 2007(21): 77-82.
[56]肖磊.对我国股市内幕交易的实证研究.金融与经济, 2005(6): 26-29.
[57]许敏,刘善存.不同类型知情者信息性交易概率及噪声问题.系统工程, 2009, 27(6): 31-37.
[58]杨之曙,姚松瑶.沪市买卖价差和信息性交易实证研究.金融研究, 2004(4):45-56.
[59]于玲,王波,范忠骏.证券投资基金绩效评价研究.上海理工大学学报, 2005, 27(2): 167-171.
[60]张新,杜书明.中国证券投资基金能否战胜市场.金融研究, 2002(1): 1-22.
[61]张宗新.内幕交易行为预测:理论模型与实证分析.管理世界, 2008(4): 24-35.
[2] Baks KP, Metrick A, Wachter J. Should investors avoid all actively managed mutual funds? A study in Bayesian performance evaluation. Journal of Finance. 2001, 56(1): 45–85.
[3] Berk JB, Green RC. Mutual fund flows and performance in rational markets. Journal of Political Economy. 2004, 112(6): 1269-1295.
[4] Carhart MM. On persistence in mutual fund performance. Journal of Finance. 1997, 52(1): 57–82.
[5] Chen J, Hong H, Huang M, et al. Does fund size erode performance? The role of Liquidity, organizational diseconomies and active money management. American Economic Review. 2004, 94(5): 1276–1302.
[6] Copeland TE and Galai D. Information effects on the bid-ask spread. Journal of Finance. 1983, 38(5): 1457-1469.
[7] Coval JD and Moskowitz TJ. Home bias at home: Local equity preference in domestic portfolios. Journal of Finance. 1999, 54(6): 2045–2073.
[8] Coval JD and Moskowitz TJ. The geography of investment: Informed trading and asset prices. Journal of Political Economy. 2001, 109(4): 811–841.
[9] Duarte J and Young L. Why is PIN Priced? Journal of Financial Economics. 2009, 91(2): 119-138.
[10] Easley D, Hvidkjaer S and O’Hara M. Is information risk a determinant of asset returns? Journal of Finance. 2002, 57(5): 2185-2221.
[11] Easley D and O’Hara M. Price, trade size, and information in securities markets. Journal of Financial Economics. 1987, 19(1): 69-90.
[12] Easley D and O’Hara M. Time and the process of security price adjustment. Journal of Finance. 1992, 47(2): 577-605.
[13] Easley D and O’Hara M.. Information and the cost of capital. Journal of Finance.2004, 59(4): 1553-1583.
[14] Easley D, Kiefer NM, O’Hara M, et al. Liquidity, information and infrequently traded stocks. Journal of Finance. 1996, 51(4): 1405-1436.
[15] Easley D, Engle RF, O’Hara M, et al. Time-varying arrival rates of informed and uninformed trades. Journal of Financial Econometric. 2008, 6(2): 171-207.
[16] Easley D, Kiefer N M, and O’Hara M. Cream-skimming or profit-sharing? The curious role of purchased order flow. Journal of Finance. 1996, 51(3): 811-833.
[17] Easley D, Kiefer N M, and O’Hara M. One day in the life of a very common stock. Review of Financial Studies. 1997, 10(3): 805-835.
[18] Elton EJ, Gruber MJ, Das S, et al. Efficiency with costly information: a reinterpretation of evidence from managed portfolios. Review of Financial Studies. 1993, 6(1): 1-22.
[19] Fama EF and French KR. Business conditions and expected returns on stocks and bonds. Journal of Financial Economics. 1989, 25(1): 23-49.
[20] Fama EF and French KR. Common risk factors in the return on stocks and bonds. Journal of Financial Economics. 1993, 33(1): 3-56.
[21] Frank MM, Poterba JM, Shackelford DA, et al. Copycat funds: Information disclosure regulation and the returns to active management in the mutual fund industry. Journal of Law and Economics. 2004, 47(2): 515–541.
[22] Grinblatt M and Titman S. Mutual fund performance: An analysis of quarterly portfolio holdings. Journal of Business. 1989, 62(3): 393–416.
[23] Grinblatt M and Titman S. Performance measurement without benchmarks: An examination of mutual fund returns. Journal of Business. 1993, 66(1): 47–68.
[24] Grinblatt M, Titman S, and Wermers R. Momentum investment strategies, portfolio performance, and herding: A study of mutual fund behavior. American Economic Review. 1995, 85(5): 1088–1105.
[25] Handa P, Schwartz R, and Tiwari A. Quote setting and price formation in an order driven market. Journal of Financial Markets. 2003, 6(4): 461-489
[26] Henriksson RD and Merton RC. On market timing and investment performance: Statistical procedure for evaluating, forecasts skills. Journal of Business. 1981,54(4): 513-533.
[27] Jensen MC. The performance of mutual fund in the Period 1945-1964. Journal of Finance. 1968, 23(2): 389-416.
[28] Kacperczyk M, Sialm C, and Zheng L. On the industry concentration of actively managed equity mutual funds. Journal of Finance. 2005, 60 (4): 1983-2011.
[29] Lehman BN, and Modest DM. Mutual fund performance evaluations: A comparison of benchmarks and benchmarks comparisons. Journal of Finance. 233-265.
[30] Markowitz H. Portfolio selection. Journal of Finance. 1952, 7(1): 77-91.
[31] Mohanram P and Rajgopal S. Is PIN priced risk? Journal of Accounting and Economics. 2009, 47(3): 226-243.
[32] Nanda V, Wang ZJ, and Zheng L. Family values and the star phenomenon. Review of Financial Studies. 2004, 17(3): 667–698.
[33] Nyholm K. Estimating the Probability of Informed Trading. Journal of Financial Research. 2002, 25(4): 485-505.
[34] Nyholm K. Inferring the private information content of trades: a regima switching approach. Journal of Applied Econometrics. 2003, 18(4): 457-470
[35] Sharpe WF. Mutual fund performance. Journal of Business. 1966, 39(1): 119-138.
[36] Treynor JL. How to Rate Management of Investment Funds. Harvard Business Review. 1965, 43(1): 63-75.
[37] Treynor and Mazuy KK. Can mutual funds outguess the market? Harvard Business Review. 1966, 44(4): 131-136.
[38]韩立岩,郑君彦,李东辉.沪市知情交易概率特征与风险定价能力.中国管理科学, 2008, 16(1): 16-24.
[39]黄杰鲲.电子指令驱动市场上的交易持续期与知情交易的相互关系研究.南方经济, 2006, (1): 5-21.
[40]孔东民,申睿. R^2、异常收益与交易的知情概率成分.中大管理研究, 2008, 3(3): 91-112.
[41]李朋,刘善存.信息性交易概率分解与买卖价差研究.南方经济, 2006, (2): 13-22.
[42]刘元海,陈伟忠.中国股市知情交易概率的测定.同济大学学报, 2004, 32(1):118-122.
[43]刘艳武,蒋瑛琨. Sharpe指数评价中国证券市场基金业绩的适用性,金融研究, 2004, (10): 94-99.
[44]马永金.包含多个知情交易者的可甄别交易流模型研究.南方经济, 2006, (7): 34-45.
[45]攀登,施东晖.知情交易概率的测度模型及其影响因素分析.管理世界, 2006, (6): 18-26.
[46]沈维涛,黄兴孪.证券投资基金业绩的实证研究与评价.经济研究, 2001, (9): 22-30.
[47]孙开连,王凯涛,陈金贤.中国股票市场内幕交易实证分析.中国软科学, 2003, (5): 62-64.
[48]孙茂辉,沈雯.开放式基金的绩效评估方法.当代经济, 2009, (12): 134-136.
[49]王春峰,张亚楠,房振明.知情交易概率和交易活跃程度的日内动态关系.系统工程. 2009, 27(7): 7-13.
[50]王春峰,董向征,房振明.信息交易概率与中国股市价格行为关系的研究.系统工程, 2005, 23(2): 62-67.
[51]王聪.证券投资基金绩效评估模型分析.经济研究, 2001(9): 31-38.
[52]王艳,杨忠直.指令驱动市场中的信息交易概率研究.华中科技大学学报, 2005, 33(10): 118-120.
[53]王展翔.关于我国股市知情交易水平及其性质的实证研究.当代财经, 2007(2): 43-48.
[54]魏玉根.政策干预上预上海股市行为的统计分析.统计研究, 2001(2): 52-55.
[55]吴娟,陆珩瑱.对我国股票型开放式基金的一种业绩评价.经济管理, 2007(21): 77-82.
[56]肖磊.对我国股市内幕交易的实证研究.金融与经济, 2005(6): 26-29.
[57]许敏,刘善存.不同类型知情者信息性交易概率及噪声问题.系统工程, 2009, 27(6): 31-37.
[58]杨之曙,姚松瑶.沪市买卖价差和信息性交易实证研究.金融研究, 2004(4):45-56.
[59]于玲,王波,范忠骏.证券投资基金绩效评价研究.上海理工大学学报, 2005, 27(2): 167-171.
[60]张新,杜书明.中国证券投资基金能否战胜市场.金融研究, 2002(1): 1-22.
[61]张宗新.内幕交易行为预测:理论模型与实证分析.管理世界, 2008(4): 24-35.