我国证券投资基金重仓持有股票的市场行为研究

A Study on Market Behavior of Stocks Heavily Held by Security Funds in China

本文依据行为金融的理论和研究方法 ,以基金重仓持有的股票过去 6个月的累积超常收益来构造赢家组合和输家组合 ,研究发现 :首先 ,在未来的 1 2个月 ,赢家组合发生了收益反转现象 ,而输家组合发生了收益惯性现象 ;其次 ,赢家组合和输家组合未来 1 2个月的累积超常收益与组合形成期股票的流通股市值和基金持有该股票的比例成反比 ,但与公司每股收益成正比 ,存在显著的“规模效应”、“基金持股效应”和“EPS效应”。笔者认为 ,导致“赢家变输”和“输家更输”这种现象的原因可能是基金基于市场上投资者“追涨杀跌心理”的“短期套利行为”和基金基于“自我控制心理”的“止损行为”。

This paper exams two portfolios, Winner and Loser, which are constructed via the past 6-month CARs of the stocks heavily held by security funds in China. The study found that the trend of contrary happened to the winner while the trend of momentum occurred to the loser. The study also found that the future 12-month CARs from the winner and the loser are negatively associated with the market value of tradable shares and the share-holding proportion of the security funds, while positively associated with the earnings per share. Thus, the authors pointed that there exist Size Effect, Effect of Share-holding by Security Funds and EPS Effect. The authors suggest that the reasons behind 'the loser to be more losing while the winner is changed to be loser' may be attributed to the two actions of the security funds in China, one is their speculations for short-term profit based on investors' following market, and the other is their self-controlling based on their stopping losing.