摘要
文章对股票"变脸"给出可检验的定义,采用Logistic面板数据模型实证研究了股票"变脸"对整个基金家族影响的传导过程。研究发现同一基金家族内部共同持股程度显著高于家族外部;家族共同持股导致股票"变脸"对单只基金业绩的影响扩散到整个家族,甚至引发整个家族业绩突变;重仓股"变脸"引发基金家族危机的原因是家族高度共同持股,而基金治理中激励机制的安排可能是基金家族高度共同持股的诱因。
The paper presents a verifiable definition for the performancechange of stocks from good to bad and empirically studies the pass-through of performance-change of stocks on the whole fund family by using Logistic panel data model. The results indicate that the stock co-holding level of the internal fund family is higher then the one outside the fund family. Familytype stock co-holding makes the effect of stock performance-change spread to the whole fund family, even resulting in sudden changes of the performance of the whole fund family. The whole fund family crisis caused by stock performance-change is attributable to the high-level family-type stock co-holding which may induced by the incentive arrangement in fund governance.
出处
《财经研究》
CSSCI
北大核心
2009年第4期60-71,共12页
Journal of Finance and Economics
基金
国家自然科学基金项目(70803027
70673056)
上海市哲学社会科学规划项目(2008BJB004)
上海市教育委员会科研创新项目(09ZS76)
上海市教委曙光计划项目(08SG34)
教育部新世纪优秀人才支持计划项目(NCET-08-0803)
上海财经大学"211工程"第三期重点学科建设项目资助
关键词
基金家族
股票变脸
共同持股
基金治理
fund family
performance-change of stocks from good to bad
stock co-holding
fund governance
