实地调研类型、信息优势与基金超额收益

发布时间：2018-01-04 17:37

本文关键词：实地调研类型、信息优势与基金超额收益　出处：《会计与经济研究》2017年01期 　论文类型：期刊论文

【摘要】：实地调研是投资者与公司管理层进行互动交流、获取公司信息和未来规划的重要途径。已有研究发现基金参与实地调研后可获得超额收益,但关于基金获得超额收益的原因,目前学术界没有得到统一结论。通过手工收集深圳证券交易所上市公司从2012年7月到2014年12月的基金实地调研数据,研究发现:相比于单独调研,基金与证券分析师联合调研后仓位调整方向具有一致性,基金参与联合调研后持股变动较多时,基金能获得超额收益;进一步研究发现,相比于常规性调研,基金参与关系型调研后仓位调整方向具有更高一致性,但基金参与关系型调研后持股变动程度越高,基金获得的超额收益不一定增加。研究结果为完善公平信息披露规则、规范证券公司、基金公司和上市公司三个市场主体之间的利益链提供了经验证据。
[Abstract]:Field research is an important way for investors to interact with company management to obtain company information and future planning. But as to the reasons for the excess return of the fund. At present the academic community has not got a unified conclusion. Through the manual collection of Shenzhen Stock Exchange listed companies from July 2012 to December 2014 fund field survey data. The research finds that: compared with the separate research, the position adjustment direction of the fund and the securities analyst after joint investigation has the same direction, when the fund shares change more after the joint research, the fund can obtain the excess income; Further study found that, compared with the conventional research, the position adjustment direction of the fund after participating in the relational survey has higher consistency, but the higher the degree of change of the shareholding after the fund participate in the relational survey. The research results provide empirical evidence for perfecting the rules of fair information disclosure and standardizing the interest chain among the three market players: the securities company, the fund company and the listed company.
【作者单位】：华东理工大学商学院;中泰证券股份有限公司;
【基金】：国家自然科学基金项目(71172079,71672059) 上海市浦江人才计划(16PJC020) 中央高校基本科研业务费专项资金国家留学基金委员会项目
【分类号】：F832.51;F275
【正文快照】： 一、引言近年来,上市公司发生实地调研后,股价大幅波动。如2014年4月25日,长期无人问津的“华泽钴镍”突然迎来机构实地调研,公司股价连续拉出五个涨停板。同年5月20日,泽熙投资实地调研“海兰信”,公司股价在六个交易日内上涨近50%,这些现象将实地调研活动推上了资本市场的风

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