利锁名缰:基金抱团与股价信息融入

Bound by Profit and Reputation:Mutual Fund Clique and Stock Price Delay

增强机构投资者的价值投资引导力有助于资本市场充分发挥价值发现和资源配置的功能.本文从主动管理类公募基金的持仓网络中识别基金团体,探究基金抱团行为对股价信息融入的影响.结果表明,基金抱团阻碍了股价信息融入,且该结论在经过一系列稳健性检验后依旧成立.本文在机制检验中发现:在投资者交易行为层面,基金抱团一方面通过减少团体内部成员之间的竞争性交易、增加基金团体与外部其他投资者之间的信息不对称引发股票流动性恶化;另一方面,基金抱团吸引了大量机构和散户投资者集体性交易,从而阻碍了股价信息融入.在公司治理参与层面,基金抱团削弱了“退出威胁”机制对公司管理层的市场化监督作用,造成公司信息披露质量下降,从而损害股票市场定价效率.进一步地,本文发现基金抱团引发的股价信息融入延迟在经济下行时期、基金承受较大业绩压力以及个股受关注程度较低的情况下会显著加剧.而且,基金抱团会诱发股价估值泡沫和崩盘风险,为资本市场的平稳运行埋下隐患.本文从基金团体内部的利益捆绑和共进退特性入手,揭示了这一强网络关系限制如何通过影响投资者交易行为和公司治理参与导致股价信息融入延迟,深化了对机构投资者网络结构复杂性及其市场后果的认知,对于推进公募基金行业和资本市场的高质量发展具有重要启示意义.

Enhancing the value investment guidance of institutional investors can help the capital market give full play to its functions of value discovery and resource allocation.We identify mutual fund cliques from the position network of actively managed mutual funds,and explore the impact of mutual fund cliques on the incorporation of stock price information.The results indicate that mutual fund cliques hinder the integration of stock price information,and the conclusion remains valid after a series of robustness tests.In this study,we find through mechanism examination that,at the level of investor trading behavior,mutual fund clique clustering on one hand causes stock liquidity deterioration by reducing competitive trading among clique members and increasing information asymmetry between the mutual fund clique and other external investors.On the other hand,it attracts collective trading from a large number of institutional and retail investors,thereby hindering the incorporation of stock price information.At the level of corporate governance participation,we find that mutual fund clique clustering weakens the market-based supervisory role of the“exit threat”mechanism on company management,resulting in a decline in the quality of corporate information disclosure and thus impairing the pricing efficiency of the stock market.Furthermore,we find that the delay in stock price information incorporation caused by mutual fund clique clustering is significantly exacerbated during economic downturns,when mutual funds face greater performance pressure,and when individual stocks receive less attention.Moreover,mutual fund clique clustering can induce stock price valuation bubbles and crash risks,laying hidden dangers for the stable operation of the capital market.Starting from the interest binding and shared progress and retreat characteristics within the mutual fund clique,we reveal how this strong network relationship limitation leads to delays in stock price information incorporation by influencing investor trading behavior and corporate governance participation,deepening the understanding of the complexity of institutional investor network structure and its market consequences,and providing important insights for promoting the high-quality development of the mutual fund industry and capital market.