基金持股变动对股票收益率影响的实证研究

发布时间：2018-04-18 06:11

本文选题：基金持股比例变动 + 股票收益率　；参考：《复旦大学》2014年硕士论文

【摘要】：公募基金作为我国重要的机构投资者,基金经理持股结构信息受到广大个人投资者的关注,基金经理具备投资的专业技能以及信息优势,选股能力较强,个人投资者希望通过参考基金经理的持股信息来改善自己的投资业绩。而这种方式是否有效取决于基金重仓持有的股票在下一期是否有较高的收益率,于是本文运用2011年第一季度至2013年第三季度的非平衡面板数据,采用固定效应模型,实证分析了基金持股比例变动对股票收益率的影响。以往研究基金持股和股票收益率关系的文献中,大多采用简单的横截面回归模型,实证检验基金持股比例及其变动对股票收益率的影响,而本文的创新点在于解释变量不只有基金持股比例变动这一个变量,还同时选取了代表信息传递和羊群行为的持股基金数目变动这一变量作为解释变量,文章的另一个重要的创新点是不仅对总样本进行了分析,还对主板、中小板、创业板分样本进行了实证分析,并做了板块之间差异的比较。通过对面板数据的固定效应分析,本文得到如下实证结论：从基于总样本的实证分析结果来看,基金持股比例变动与股票当期以及下一期的收益率均呈正向相关关系。如果同时考察基金持股比例变动和持股基金数目对股票下一期收益率的影响时,基金持股比例变动对股票下一期收益率的影响变小了,这说明明星基金经理持股信息在其他基金及个人投资者传递并引发的羊群行为放大了明星基金经理的选股能力。从主板、中小板、创业板分样本的实证分析结果来看,持股基金数目变动对股票下一期收益率的影响在主板、中小板、创业板中存在显著的板块差异,其中创业板中的影响系数最大,中小板次之,主板最小。基金持股比例变动对股票下一期收益率的影响在主板、中小板、创业板中也存在显著的板块差异,其中创业板中的影响系数最小,中小板次之,主板最大。
[Abstract]:As an important institutional investor in China, the information of fund manager holding structure has been concerned by the majority of individual investors. Fund managers have the professional skills and information advantages of investment, and have a strong ability to select stocks.Individual investors hope to improve their investment performance by referring to fund managers' shareholding information.Whether this approach is effective or not depends on whether the stocks held by the fund have a higher yield in the next period, so this paper uses the non-equilibrium panel data from the first quarter of 2011 to the third quarter of 2013, and adopts the fixed effect model.The paper empirically analyzes the influence of the change of the fund shareholding ratio on the stock return.In the previous literatures on the relationship between fund shareholding and stock return, a simple cross-section regression model was used to empirically test the effect of fund shareholding ratio and its change on stock yield.The innovation of this paper is that the explanatory variable is not only the variable of fund shareholding ratio, but also the variable of the number of shareholding funds which represents information transmission and herd behavior as the explanatory variable.Another important innovation of this paper is not only the analysis of the total sample, but also the empirical analysis of the main board, the small and medium-sized board, and the gem sample, and the comparison of the differences between the plates.Through the fixed effect analysis of panel data, this paper draws the following empirical conclusions: from the empirical analysis results based on the total sample, the change of fund shareholding ratio is positively correlated with the current and the next stock returns.If we examine the influence of the change of fund shareholding ratio and the number of shareholding funds on the next stock yield at the same time, the effect of the change of fund shareholding ratio on the next stock yield is reduced.This indicates that the herding behavior transmitted by star fund managers in other funds and individual investors magnifies the ability of star fund managers to choose stocks.From the empirical analysis of the main board, the small and medium-sized board, and the gem, we can see that there are significant plate differences among the main board, the small and medium-sized board, and the growth enterprise board, and the effect of the change of the number of the shareholding funds on the stock yield in the next period.Among them, the influence coefficient of gem is the biggest, the small board is the second, and the main board is the smallest.There are significant differences among main board, small board and growth enterprise board, among which the influence coefficient of growth enterprise board is the least, small and medium-sized board is the second, and main board is the biggest.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【相似文献】