摘要
本文基于我国2005-2017年主动管理型股票基金和混合偏股基金样本数据,分析了历史业绩排名对基金投资组合中的彩票型股票占比的影响.本文发现,从整体上来看业绩排名越靠后的基金越倾向于在下一期持有更高比重的彩票型股票,同时基金这种投资偏好在下半年或者股市处于下跌时期时更为显著.另外从时间趋势上看,长期表现处于同类基金平均水平以下的基金在近期业绩压力得不到缓解的情况下也会更多地投资彩票型股票.采用不同的业绩考量指标都可以得出一致的结论.针对上述结果,本文从基金经理缓解自身职位危机的动机入手进行了分析,发现持基比重较低、无管理团队的、或者在任时间低于历任基金经理平均在任时间的经理人在面临前期业绩表现不佳的情况下呈现出了对彩票型股票更强烈的偏好.
With a sample of actively managed open-end mutual funds in China(including equity funds and stock-oriented hybrid funds)from 2005 to 2017,we study the impact of fund’s past performance on the proportion of fund asset invested in lottery stocks.Our empirical analysis shows that there is a causal relationship between the fund’s investments in lottery stocks and fund performance relative to other funds.That is,the lower the ranks of fund performance,the greater proportion of fund asset invested in lottery stocks.This phenomenon is more obvious when it is near to the year-end and when the stock market is on the down trend.Further,funds with long-term under-performance allocate more capital to lottery stocks.These results are robust to various proxies for fund performance.We also find that the incentive to invest in lottery stocks is higher for solo managers,managers who invest less of their own money in the funds,and managers whose tenure is shorter than the average tenure of their predecessors.
作者
吴卫星
孙晓婷
LING Leng
WU Weixing;SUN Xiaoting;LING Leng(School of Banking and Finance,University of International Business and Economics,Beijing 100029,China;Bunting College of Business,Georgia College&State University,Milledgeville,GA 31061,USA)
出处
《计量经济学报》
2021年第3期670-693,共24页
China Journal of Econometrics
基金
国家自然科学基金(71733004)
