基金的交易券商网络与投资业绩

Brokerage networks and mutual fund performance

基金业绩一直都是基金研究的核心问题.本文基于中国独特的基金--券商分仓数据构造基金之间的交易券商网络,发现基金在交易券商网络的中心度越高,基金投资业绩越好.机制分析发现,当基金处于交易券商网络的中心位置,其买入的股票与卖出的股票在未来盈余公告的收益差更大,表明处于网络中心位置的基金通过预测公司盈余信息进行获利的能力更强.若按交易动机将基金的交易行为划分为基于价值需求和流动性需求的买卖行为,本文发现处于网络中心位置的基金通过预测公司盈余信息获利的能力主要体现在基于价值需求的交易行为上.异质性分析发现,基金的交易券商网络中心度溢价现象只在资产管理规模小的基金公司、非危机时期、流动性需求低的基金中存在.研究结果表明我国基金存在交易券商网络中心度溢价现象的原因可能是基金从交易券商网络中获取私有信息,这种信息网络的确能给基金带来超额收益.本文的研究反映我国资本市场中业务关系网络的重要性,有助于理解我国资本市场的信息传递机制、业务网络经济效应,对基金投资者有现实参考意义.

Fund performance is the core question of fund research.Using the commission paid to all brokerage firms,this paper maps brokerage networks of mutual funds and shows a positive relation between network centrality and risk-adjusted performance.Central funds pick better stocks,and their trades become better predictors for abnormal stock returns around subsequent earnings announcements.When differentiating funds’valuation-motivated and liquidity-motivated trades on single trade level,this paper finds that central funds outperform peripheral funds at anticipation of earnings surprises only for valuation-motivated trades.The centrality premium is more pronounced for small fund company,non-crisis period and funds with low liquidity demand.The results indicate that brokerage network centrality premium is due to the private information provided by the brokers.This paper signifies the importance of business network to China’s capital market and casts insights into understanding of information transfer mechanisms and the economic effects of business networks in China’s capital market,as well as fund investors.