【摘要】 本文实证研究了股票型基金重仓本、外基金家族重仓股对其业绩、净值暴跌风险的影响,并从基金择时、择股能力的视角加以解释。研究发现:重仓本、外家族重仓股的基金均可获得显著的超市场收益,但重仓外家族重仓股的基金可获得显著的经多风险因子调整后的超额收益,然而这些均增加了基金净值暴跌风险。进一步研究发现:与重仓本家族重仓股相比,重仓外家族重仓股带来的基金净值暴跌风险更大;重仓本、外家族重仓股的基金均拥有一定择股能力、较差的择时能力,与重仓外家族重仓股的基金相比,重仓本家族重仓股的基金择时能力更差。这一发现对基金投资、监管具有重要借鉴意义。更多还原

【Abstract】 This paper empirically studies the influence on fund’s performance and crash risk when equity funds heavily hold the stocks that heavily held by its or other fund-families. We interpreted these from the perspective of timing and stock selection abilities of the funds. The results indicate that equity funds that heavily hold the stocks heavily held by its or other fund-family can both obtain a remarkable excess market return,but only the latter can obtain significant excess return adjusted by multiple risk factors,but these will bring more crash risk. Further study shows that both funds have better stock selection ability and worse timing ability,but the former is worse on timing ability; Compared with former,the fund that heavily-holding stocks heavily held by other fund-family bears more crash risk. Our conclusion is of great significance to the fund regulator and fund investor.更多还原