追逐明星家族基金能获得超额收益吗?——来自中国证券基金市场的经验证据

Can Investors Obtain Abnormal Returns by Following Star Families:The Empirical Evidence from China Securities Fund Market?

本文运用2005－2012年的数据，实证研究了中国证券基金市场中投资者追逐明星家族基金的投资收益情况。研究发现，投资者偏好追逐明星家族基金，但单纯地追逐明星家族基金并不能获得超额收益，非明星家族基金的投资收益率显著高于明星家族基金，因此更具投资价值。旗下基金业绩差距越大，规模越大，前期拥有明星基金的家族制造明星基金的动机越强，未来成为明星家族基金的概率更高，然而他们并不是真正的明星，其投资收益率显著低于样本平均水平。投资者应该避免被明星效应误导，选择真正的明星，中短期投资可以选择高离差或大规模的非明星家族基金，而长期投资则可选择小规模家族基金而避免垃圾家族基金。

Using the fund data from 2005 to 2010, this paper firstly examines the investors＇ return rate of investing in star families in Chinese mutual fund market. We find that investors prefer to follow star families but it is not guaranteed to get abnormal returns by following them. Non-star families＇ investment value is stronger than star families because the non-star families＇ investment return rate is significantly higher. Meanwhile, the authors also find that those families with higher cross-funds standard deviation, higher number of funds, and star fund motivations have more possibility to create star fund. However, these families are not real stars because their investment return rate is significantly below average. Investors should avoid being misled by stars and should choose the real stars to invest. As for short-term investment, investors could choose non-star families with higher cross-funds standard deviation or higher number of funds. As for long-term investment, investors could choose families with lower number of funds and avoid choosing rubbish families.