摘要
相对于个体投资者,作为专业机构投资者的基金经理是否更擅长分析那些难以估值的股票,从而体现出其信息优势或专业技能?为探究该问题,本文基于信息不确定性构建了股票估值难度指标,基于2005-2016年的历史数据进行分析,得到了一系列结果。第一,实证分析发现基金在估值难度较高的组合上获得的收益优于低估值难度组合,基金在整体上表现出一定的信息优势。第二,好基金虽然在不同估值难度组合上的表现都比差基金好,但该差异仅在低估值难度股票组合上显著,表明好基金相对差基金的信息优势并不在于私有信息的获取,而是对公开信息的基本分析和处理能力,体现在其基本分析能力上。第三,进一步的实证结果显示,好基金能够发挥其比较优势,在那些估值难度较低的股票上配置更大的权重;并且基金的基本分析能力,能够作为预测因子较好地对基金下期业绩进行预测。
Are mutual funds,as professional institutional investors,good at the stocks which are hard to analyze? In this paper,we construct the hard-to-value( HTV) index for stocks and evaluate mutual funds' information advantage in China stock market based on the data from 2005 to 2016. Our empirical results show that funds gain higher return in high HTV holdings group,which means mutual funds as a whole display certain level of information advantage. We then further divide funds into three groups based on their historical performance,and find that even though superior funds obtain bigger excess return than inferior funds in every HTV portfolio group,their difference only become economically and statistically significant in low HTV stock portfolio,thus the information comparative advantage between good and bad fund is lying in fundamental analysis ability of public information other than private information digging. Good funds also allocate more and heavy on those low HTV stocks,and fund performance on low HTV stocks can serve as an indicator to predict fund subsequent performance.
出处
《金融评论》
CSSCI
北大核心
2017年第6期16-32,共17页
Chinese Review of Financial Studies
关键词
估值难度
信息优势
选股能力
Hard-to-Value Stock
Information Advantage
Stock-picking Skill
