基金竞争与泡沫资产配置的模仿行为研究

Competition among mutual funds and their imitation behavior on bubble assets allocations

以基金锦标赛理论为基础,考察基金在泡沫资产配置的模仿行为.分析了开放式基金在泡沫资产配置上的同群效应,及其产生的原因和造成的后果.实证研究基于2005年至2015年的开放式基金投资组合季度数据,构造了基金网络矩阵和持股相似性矩阵,然后利用空间面板模型考察了基金在泡沫资产配置上的模仿行为.结果表明,开放式基金之间存在显著的同群效应,在泡沫资产配置上表现出模仿性策略.这种模仿行为给基金带来了显著的资金净流入,扩大了其管理的资产规模,但是并没有给基金投资者带来显著的超额收益.证据表明开放式基金利用了投资者的有限理性扩大其资产规模从而获得最大化利益.本文的研究对于理解我国股市泡沫的形成以及由此产生的对基金的行为进行监管提出了新的思考,为投资者利益保护研究提供了新的视角.

In light of the tournament theory, this paper studies the imitation behavior among Chinese＇ s mutual funds. In particular, the peer effect as well as its causes and consequences among open-ended funds in the allocation strategies on bubble assets are analyzed. Based on the quarterly portfolio data of open-ended funds between 2005 and 2015, the fund network matrix and equity ownership similarity matrix are constructed. A spa- tial econometric method is then applied and the resulting empirical evidence shows that there are significant peer effects, i. e., the funds take imitation strategy in portfolio allocation on bubble assets. This yardstick competition among fund managers has brought significant net in flows to funds and expanded the size of its as- sets under management, but does not yield significant abnormal returns to their investors. Our analysis illus- trates that fund managers potentially take advantage of the limited rationality of investors to expand the scale of their assets in order to enhance their management revenue. Our paper can help understand the formation of the stock market bubble in China, provide a new perspective on how to effectively regulate the behavior of institutional investors, and reveal new insights for the protection of investors＇ interests.