抱团取暖:基金团体与季末股价拉升

Huddle Together for Warmth:Mutual Fund Clique and End-of-Quarter Stock Price Inflation

公募基金行业的高质量发展对于活跃资本市场、推动中国特色现代资本市场建设具有重要意义。基于2005~2021年主动管理型公募基金的股票持仓明细数据识别基金团体,以基金抱团股在季末前后的股价表现为视角,探究基金团体的期末业绩粉饰行为及其内在行为动机。研究结果表明,基金团体对季度末最后两天的股票超额收益存在显著的拉升作用,该结论在经过一系列稳健性检验后仍然成立,而且,基金团体更偏好于对高流动性、高估值的股票进行季末拉升。机制分析中采用大单净买入压力从订单交易层面验证了基金团体在季度末的股价拉升行为,并通过基金净流量以及处于关键排名位置的基金比例来探究基金团体季末股价拉升的行为动机,发现基金经理更多是出于职业忧虑动机,为了掩饰当期糟糕的业绩而抱团拉升股价。此外,基金团体在经济下行时期显著增加的季末股价拉升行为也从侧面支持了职业忧虑动机。研究结论为健全公募基金行业的监管机制、信息披露制度以及绩效评价体系提供了重要的理论依据和参考价值。

The high-quality development of the mutual fund industry is of great significance to the active capital market and the promotion of the construction of a modern capital market with Chinese characteristics.This paper identifies mutual fund cliques based on detailed stock holding data of actively managed mutual funds from 2005 to 2021,and explores the behavior of manipulating end-of-period performance and the underlying motives by analyzing the stock price performance of fund clique holdings around the quarter-end.The findings indicate that there is a significant upward effect on the excess stock return by mutual fund cliques in the final two days of the quarter,and this conclusion still holds after a series of robustness checks.Moreover,fund cliques exhibit a preference for boosting the prices of stocks with high liquidity and high valuation toward the end of the quarter.In the mechanism analysis,this paper employs the net buying pressure of large transaction order flow to validate the stock price boosting behavior of fund cliques at the end of the quarter.It examines the motivation behind the behavior of pushing up stock prices of mutual fund cliques at the end of the quarter by using mutual fund net flows and the proportion of mutual funds near key rankings.The results show that mutual funds are driven by career concerns and engage in cliques to jointly push up stock prices to mask poor performance in the current period.Additionally,the significant rise in the end-of-quarter stock price inflation by fund cliques during economic downturns indirectly substantiates the career concerns motive.The findings provide an important theoretical basis and reference value for improving the regulatory mechanism,information disclosure system and performance evaluation system of the mutual fund industry.