摘要
本文以2011年第一季度至2015年第四季度我国所有股票型开放式基金为样本,通过引入虚拟变量,分别从基金家族层面构建了基金家族特征与家族资金净流入、单个基金特征与单个基金资金净流入之间的关系模型,重点考察了明星(垃圾)基金的存在对家族净资金流入的影响。研究发现"明星基金"对整个基金家族存在溢出效应,而"垃圾基金"则并没有发生反向溢出。基于这种非对称性特点,进一步使用面板数据logit模型研究了溢出效应对基金家族造星行为的影响,并提出造星主体的识别特征,即前期无明星基金、基金间超额收益标准差较高且规模较大的家族,下一期出现明星基金的概率大大提高。
This paper selects all equity open-end fund from the first quarter of 2011 to the fourth quarter of 2015 as sample to test the spillover effect, and studies its impact on fund family's star-making behavior. Based on a panel data model, this paper finds that there is an overflow effect for "star fund" to the entire fund management companies, but "junk fund" does not have a reverse effect. This asymmetry has a profound impact on fund family's star-making behavior. The probability of the next phase of the star fund is greatly improved in a large fund family with none of pre star funds and high excess returns standard deviation.
出处
《经济理论与经济管理》
CSSCI
北大核心
2017年第2期67-77,共11页
Economic Theory and Business Management
关键词
基金家族
溢出效应
造星行为
fund family
spillover effect
performance
star-making behavior