摘要
本文研究了A股市场共同基金对彩票型股票的偏好。以2003-2018年的股票型基金和混合型基金为研究对象,本文发现,A股市场共同基金股票组合中平均持有约3.49%的彩票型股票,年轻、从业经验短、学历低的基金经理持有的彩票型股票更多;收益率越低、资金净流入越少、业绩排名下降幅度越大,即业绩压力越大的基金持有的彩票型股票越多。基金对彩票型股票的偏好在年末、投资者情绪更乐观时、预期市场收益偏度更高时更强。基金持有彩票型股票损害而非改善其业绩,且持有彩票型股票的基金在其他类型股票上的投资表现也相对较差,表明基金在彩票型股票上并无选股能力,更多因为博彩心理而持有此类股票,是否持有彩票型股票可作为基金整体投资能力的判别指标。
Recent studies have shown that investors prefer stocks with lottery features(lottery preferences hereafter), which have relatively low expected returns but a small chance of huge pay-offs. However, most studies in this field focus on individual investors, assuming that institutional investors are rational and professional market participants and do not gamble in the market.Motivated by a rich literature showing that institutional investors exhibit irrational behavior biases as individual investors do, this study empirically investigates whether institutional investors gamble in the China A-share market. Specifically, mutual funds are used as samples to answer the questions below:(1) Do mutual funds prefer lottery-like stocks and gamble in the market as individual investors do?(2) Which funds gamble more?(3) Are funds’ gamble behaviors time-varying?(4) How do gamble behaviors affect funds’ performances?With a sample of Chinese mutual funds during 2003-2018, the abovementioned questions are empirically investigated. Following Kumar(2009), lottery-like stocks are defined as those with low prices, high idiosyncratic skewness, and high idiosyncratic volatilities. It is found that Chinese mutual funds hold approximately 3.49% lottery-like stocks but 69.24% non-lottery-like stocks in their stock portfolios. This finding suggests their aversions rather than preferences for lottery-like stocks. Additionally, lottery preferences of mutual funds exhibit considerable cross-sectional differences and time-varying features. First, young, less experienced, and relatively less educated fund managers hold more lottery-like stocks. Second, mutual funds buy more lottery-like stocks when they face more performance pressures. Third, lottery preferences of mutual funds are more pronounced at year-end and during periods of high market sentiment or high expected market skewness. Finally, though lottery-like stocks held by mutual funds exhibit higher returns compared to those not held by mutual funds, they have significantly lower ret
作者
向诚
杨俊
XIANG Cheng;YANG Jun(School of Economics and Business Administration,Chongqing University,Chongqing 400030,China)
出处
《中国管理科学》
CSSCI
CSCD
北大核心
2021年第11期224-236,共13页
Chinese Journal of Management Science
基金
国家自然科学基金资助项目(71973018)
重庆市社会科学规划英才计划项目(2021YC040)
中央高校基本科研业务费资助项目(2021CDSKXYJG012)。
关键词
彩票型股票
共同基金
基金经理特征
投资者情绪
偏度
lottery-like stocks
mutual funds
fund manager characteristics
investor sentiment
skewness
