市场环境与基金安全投资转移——基于盈余质量的研究

Market Conditions and the Fund Behavior of Flight to Quality:A Study Based on Earnings Quality

市场环境差时,基金投资组合面临更高的风险,此时基金的避险需求更高。盈余质量高的公司其应计利润和现金流偏差更小,其股价受市场环境的影响更低,业绩也更好。而市场环境差时,盈余质量高的股票所具有的特征可以满足基金的避险需求,基金出于降低组合系统性风险的需要,会更多地配置高盈余质量的股票,进行安全投资转移。文章使用2005-2015年开放式基金样本,实证检验了市场环境与基金的安全投资转移行为的关系。结果表明,市场环境不好时,基金将投资组合更多地转向高盈余质量的股票;同时基金也更多地持有盈余质量更高的非周期行业股票,组合资产在周期和非周期行业间的转移背后仍然是盈余质量的转移;且基金仅在持有的周期性行业股票中采取向高盈余质量股票转移的安全投资转移。研究还发现,基金的安全投资转移行为对业绩产生了积极影响,这说明基金具有良好的选股能力,能充分利用盈余信息及时调整投资组合以避险。

Prior research shows that when making investment decisions,mutual fund managers are concerned about accounting information and accordingly adopt different investment strategies. However,existing literature mainly focuses on accounting earnings itself while paying less attention to earning quality and ignoring that the usage of earning quality can be influenced by market conditions. Hence,most papers find that mutual fund managers do not extensively use earning quality. When market conditions are becoming worse,the overall risks faced by mutual funds increase with the rising systematic risks. In order to decrease the risks,mutual fund managers have strong incentives to allocate more assets to stocks with high earnings quality. As the stock with high earnings quality is less sensitive to systematic risks with its price more stable and performance better than others,it becomes an ideal choice for mutual fund managers to avoid potential risks. Considering the potential effect of market conditions on mutual funds＇ use of accounting information,this paper investigates mutual funds＇ asset allocation strategy based on earnings quality under different market conditions. Our sample consists of open-ended mutual funds from 2005 to 2015 in China. We find new evidence different from existing literature that when market conditions are poor,mutual funds will invest more high earnings quality stocks. This finding is conducive to explain the mixed conclusions drawn from existing literature concerning whether mutual funds use information of accounting earnings quality when making investment decisions. This paper further explores the channel through which mutual fund managers shift their portfolios toward stocks with higher earnings quality. We find that mutual funds also hold more non-cyclical industry stocks which have high earnings quality. Mutual funds＇ transferring portfolio assets between stocks of cyclical and non-cyclical industries are still based on their earnings quality. Uncovering the flight to quality（FTQ） channel from the perspective of relationships between the industry cycle and earnings quality is one of our contributions. Does FTQ have a positive effect on the mutual fund performance？The answer to this question is of great significance to systematically evaluate the investment ability of mutual fund managers and the value relevance of accounting information in investment decisions. We find that the flight to the quality behavior of mutual funds has a positive impact on performance,especially when market conditions are poor. It indicates that some fund managers have good stock selection abilities,and are able to avoid risks by making full use of earnings information and timely adjusting portfolios. Our findings shed light on understanding the role of accounting information quality in investment decisions. We show new evidence contributing to relevant literature that when market conditions are poor,mutual funds will invest more high earnings quality stocks. We also find that the flight to the quality behavior of mutual funds has a positive impact on mutual funds＇ performance. This finding will help investors make a better understanding of how mutual fund managers use accounting information to make investment decisions professionally and more comprehensively evaluate the investment abilities of mutual fund managers.