公募基金改善了市场定价效率吗?——持股基金质量与股票收益

Do Mutual Funds Improve Price Efficiency?Mutual Fund Holding Quality and Stock Returns

由于忽略了基金管理能力差异,现有文献无法证明公募基金可以改善市场定价效率,即基金持有的股票未来收益率并未优于市场平均水平。本文以2005—2020年中国市场数据为基础,构建了股票的持股基金质量指标(而非权重),并研究了该指标对未来表现的预测能力。实证结果表明,持股基金质量较高的股票表现显著优于质量较低的股票,基于该指标构建的套利组合可以获得年化14%左右的超额收益,且该现象不能被基金持股权重、羊群效应引起的价格压力、系统性风险和其他定价异象所解释。本文发现我国公募基金持仓正向预测资产未来收益率的证据,可为相关监管政策制定和执行提供启示。

“Institutionalizing retail investments”is one of the most important focuses of financial academia and regulators in the Chinese stock market.Regulators are concerned about whether mutual fund behaviors,as the main channel for institutionalizing,improve market pricing efficiency.This is the top priority that guarantees the positive effect of institutionalizing on the quality of the stock market.Intuitively,considering the downward-sloping demand curve for stocks,mutual funds should improve their pricing efficiency by discovering and holding undervalued stocks,which should ensure that the mutual funds earn positive excess returns.However,the literature does not provide evidence supporting this hypothesis.Instead,studies show that,on average,stocks that are heavily held by mutual funds do not outperform their counterparts with little mutual fund ownership.The results cast serious doubt on the effectiveness of mutual funds'behavior in institutionalizing retail investments and thereby improving market quality.Based on the idea of mutual funds'heterogeneous abilities,this paper shows that some high-quality mutual funds improve the pricing efficiency in the stock market.However,the stock holdings of those high-quality mutual funds are swamped by the majority of mediocre mutual fund holdings.As a result,the mutual funds'aggregated holding weight loses its predictive power for stock returns.Therefore,instead of focusing on overall mutual fund holdings,this paper constructs the mutual fund holding quality(MFHQ)of stocks and investigates its predictive power for their future performance.By employing Chinese market data from 2005 to 2020,we measure the MFHQ of stocks by aggregating the ability measure at the fund level(e.g.,the 1-year CAMP alpha)to the stock level weighted by the number of shares holding.The empirical results show that stocks with higher MFHQ significantly outperformed their counterparts with lower MFHQ or stocks without mutual funds holding.The annualized return difference between the top and bottom quintiles in the MFHQ portfolio is about 14%,which cannot be explained by the various risk factor loadings from Liu et al.(2019)and Fama and French(2015).After conducting a Fama-MacBeth regression,the results show that the predictive ability of MFHQ cannot be explained by the mutual funds'holding weights or other traditional return predictors in China.The implication is that the stocks held by mutual funds with effective ability outperform the market,which is circumstantial evidence for the pricing efficiency improvement.In addition to the solid return predictive ability of MFHQ,this paper investigates the mechanism of our MFHQ observations and proves that high-quality funds can discover stock mispricing and contribute to improving pricing efficiency.First,we find that the prediction of MFHQ cannot be explained by the future price pressure caused by herding mediocre funds.On the one hand,there is no long-term reversal in the MFHQ portfolio return,indicating that the portfolio return is a mispricing coverage process.On the other hand,the MFHQ also predicts future fundamentals and their innovations.Second,we also provide solid evidence for the representativeness of funds'historical performance to measure ability by showing their persistence and positive relationship with future fund flows.Finally,we show that the MFHQ positively predicts the measures of stock-level price efficiency,such the coefficient of determination in a capital asset pricing model.The results show that some mutual funds with outstanding managerial ability continually improve pricing efficiency.Because of the inflow of those outstanding funds,the mutual fund channel to institutionalize retail investments is of great significance for the long-term quality of the stock market.Our paper makes three major contributions to the literature.To the best of our knowledge,this paper is the first to provide direct evidence that mutual fund holdings positively predict stock returns in China.This result implies that only some of the mutual funds in the market effectively manage their assets,which improves the quality of the market.In addition,our work contributes to the asset pricing literature in China by discovering a valid return predictor,that is,the MFHQ formed by mutual fund holdings.Finally,the empirical evidence shows that improving capital allocation efficiency in the mutual fund industry is crucial to amplify the positive effect of institutionalizing retail investments on market quality.