摘要
本文分别采用基金超额收益率一阶自回归残差项的相关系数和Fama-French三因子模型残差项的相关系数作为基金家族共同技能效应和共同噪声效应的代理变量,从微观层面研究了基金家族成员基金间的业绩关联性及其对基金溢出效应的影响。研究发现,在我国基金行业中,基金家族的共同技能效应和共同噪声效应使得家族基金间业绩高度相关,且上述效应会受到基金家族和基金经理特征的影响;此外,基金家族的共同技能效应和共同噪声效应还会对基金家族的资金流带来显著的影响。
This paper adopts the first - order autoregressive correlation coefficient of residual items of funds＇ abnormal returns, and the Fama - French three factor model residual correlation coefficient, respectively, as the proxy variables of the fund family＇ s common skill effect and common noise effect. Studied from the microscopic level, this paper tries to find out the member funds＇ performance correlations and the influence these correlations exert on the fund spillover effect. It is found that, in the fund industry in our country, the fund family＇ s common skill effect and common noise effect both make the family fund performances highly correlated , and the effects will the affected by the characteristics of fund family and fund managers. In addition, the fund family＇ s common skill effect and common noise effect both have a significant influence on the fund family＇ s cash flow.
出处
《金融研究》
CSSCI
北大核心
2015年第5期162-177,共16页
Journal of Financial Research
基金
国家自然科学基金面上项目“资本市场中的社会关系与政治地理中的资本市场:来自中国的理论与实证”(71373219)
厦门大学中央高校基本科研业务费(2013221012)立项资助
关键词
基金业绩
业绩关联性
溢出效应
Fund performance, Performance correlations, Spillover effect
