【作者】 王宇；

【导师】 干杏娣；

【作者基本信息】 复旦大学 ， 金融学， 2014， 硕士

【摘要】 公募基金作为我国重要的机构投资者,基金经理持股结构信息受到广大个人投资者的关注,基金经理具备投资的专业技能以及信息优势,选股能力较强,个人投资者希望通过参考基金经理的持股信息来改善自己的投资业绩。而这种方式是否有效取决于基金重仓持有的股票在下一期是否有较高的收益率,于是本文运用2011年第一季度至2013年第三季度的非平衡面板数据,采用固定效应模型,实证分析了基金持股比例变动对股票收益率的影响。以往研究基金持股和股票收益率关系的文献中,大多采用简单的横截面回归模型,实证检验基金持股比例及其变动对股票收益率的影响,而本文的创新点在于解释变量不只有基金持股比例变动这一个变量,还同时选取了代表信息传递和羊群行为的持股基金数目变动这一变量作为解释变量,文章的另一个重要的创新点是不仅对总样本进行了分析,还对主板、中小板、创业板分样本进行了实证分析,并做了板块之间差异的比较。通过对面板数据的固定效应分析,本文得到如下实证结论：从基于总样本的实证分析结果来看,基金持股比例变动与股票当期以及下一期的收益率均呈正向相关关系。如果同时考察基金持股比例变动和持股基金数目对股票下一期收益率的影响时,基金持股比例变动对股票下一期收益率的影响变小了,这说明明星基金经理持股信息在其他基金及个人投资者传递并引发的羊群行为放大了明星基金经理的选股能力。从主板、中小板、创业板分样本的实证分析结果来看,持股基金数目变动对股票下一期收益率的影响在主板、中小板、创业板中存在显著的板块差异,其中创业板中的影响系数最大,中小板次之,主板最小。基金持股比例变动对股票下一期收益率的影响在主板、中小板、创业板中也存在显著的板块差异,其中创业板中的影响系数最小,中小板次之,主板最大。更多还原

【Abstract】 Public funds are important institutional investors in China, and the information of stocks hold by fund managers is always a hot topic among individual investors. Individual investors hope to refer to the portfolios owned by those fund managers to improve their investment performance. To make it efficient, stocks heavily hold by public funds should have relatively higher returns. This paper uses unbalanced panel data from 2011 to the third quarter of 2013 and fixed effects model to empirically analyze the relationship between change of public fund proportion-holding and returns of stocks.Many of the previous literatures used cross-sectional regression model to analyze the influence of the change of public fund proportion-holding on the returns of related stocks. Whereas one of the innovations in this paper is that the independent variables include not only the change of public fund proportion-holding, but also the change of the number of public funds holding a stock, and this variable can reveal the transmission of information and herd behavior. Another innovation is that this paper considers the different influences in the main-board market, small and medium enterprise market, and growth enterprise market, along with comparing their specific differences.Through the empirical analysis, this paper has the following conclusions:For the analysis of total samples, the change of public fund proportion-holding and returns of stocks currently and in the next period are both positively correlated. If the change of the number of public funds holding a stock is added, the correlation above decreases. This result shows that the stock holding information of that famous fund managers transfer to other funds and individual investors and lead to the herd behavior, which in turn exaggerate their ability of selecting stocks.For different kinds of markets, the change of the number of public funds holding a stock has a huge different influence on the returns of stocks in the next period. The growth enterprise market has the greatest impact, followed by small and medium enterprise market, and the main-board market has the least significant impact. For the change of public fund proportion-holding, the influences on the three markets are also different and the influential coefficient is inversed.更多还原