基金家族的竞争对股票市场收益率的影响研究

The influence of Fund Family Competition on the Yield of Stock Market

本文以54只基金重仓股和193只开放式基金的季度数据以及天数据为研究样本,构造出基金的特征变量因子,扩展Fama三因子模型建立动态投资组合进行实证分析,结果表明:引入基金特征变量后的多因子模型能提高方程的拟合优度,基金数量、投资者需求与股票的收益率成负向变动的关系;基金获得的信息量与股票的收益率正相关;账面市值比、基金的规模、基金经理的风险容忍度、投资者的风险容忍度均不能充分解释基金重仓股的截面收益差异。

The traditional Fama three factors model itself has many problems. The size factor, book- to-market factor usually can＇t be regarded as risk factors. Theory on the impact of return is not enough to show convincing explanation. This paper takes quarterly data of 54 funds heavy warehouse stocks and 193 opened fund for study samples, constructing fund characteristic variable factors, expanding Fama three factors model, making use of the dynamic portfolio approach to get empirical results which show that： the introduction of fund characteristic variable factors for multi-variable model can improve goodness-of-fit, the number of funds ,investor＇s demand yield to the negative changes in the relationship with stock return, while information of Fund yield positive correlation; Book-to -Market, size of fund, risk tolerance of fund managers and investors can not fully explained the section return difference for these fund heavy warehouse stocks.