明星基金具有投资价值吗?——来自超额收益存在性和持续性检验的经验证据

Investment Value of Star Funds: Empirical Evidence from the Existence and Persistence of Abnormal Returns

在优质资产短缺的我国资本市场中,明星基金成为投资者关注和追捧的对象。然而,明星基金是否只是基金管理者诱发投资者的投资行为出现"晕轮效应"的一种手段,其超额收益及业绩持续性问题值得研究。论文基于2006年10月至2016年9月中国开放式股票型基金和偏股型基金的数据,采用三因子模型和横截面回归相结合的方法,对明星基金超额收益的存在性和持续性进行检验。研究发现,投资明星基金确实可以给投资者带来市场因子所不能解释的短期超额收益;相较于市场行情下降,当市场行情上升时持有明星基金并不能显著获取更高的超额收益。从超额收益的动态特征来看,明星基金的业绩持续性较弱,长期内甚至存在超额收益反转的现象;在市场单边上升期和下降期内超额收益存在3个月的持续期。因此,投资者应理性看待明星基金的投资价值,基金管理者应努力提高风险控制能力,而管理当局则应加强监管,以促进我国资本市场中基金业的健康发展。

The China’s capital market is short of high-quality assets,so star funds have come into view of investors.However,star funds might simply be a means of fund managers to induce investors to invest in a'halo effect'.Its abnormal returns and performance sustainability are worthy of study.Based on the data about open-end equity funds and stock-leaning funds from October 2006 to September 2016 in China,by means of a three-factor model and a cross-sectional regression method,this paper tests the existence and persistence of abnormal returns of star funds.The results show that purchasing star funds bring abnormal returns that market factors cannot account for.From the dynamic point of view,the performance persistence of star funds is weak.Therefore,it is suggested that investors be rational at the investment of star funds,fund managers minimize risks,and regulatory authorities tighten supervision in order to promote the healthy development of funds in China’s capital market.