Journal of Banking & Finance· Volume 55, June 2015, Pages 170–186
共同基金能在中國選股嗎?——來自IPO市場的證據
作者:Xunan Feng(Southwestern University of Finance and Economics, China), Anders C. Johansson(Stockholm School of Economics, Sweden)
摘要:本文利用來自IPO(首次公開發行)市場的證據檢驗中國共同基金的選股能力。我們假設一個基金投資于IPO市場的決定包含着某種積極信息,即其對于新上市公司未來發展前景的潛在期望。我們構建一個共同基金投資于IPO市場的決定因素的模型,并将其殘差作為一緻預期的代理變量,進而發現具有高回歸殘差的IPO企業的股票收益和經營業績都明顯好于有着低回歸殘差IPO的企業。換句話說,回歸殘差可以預測IPO股票的未來表現。這些結果對于不同的模型以及諸如共同基金偏好或監管者效應等解釋也是穩健的。
關鍵詞:共同基金,選股能力,首次公開發行,中國
Can mutual funds pick stocks in China? Evidence from the IPO market
Xunan Feng(Southwestern University of Finance and Economics, China), Anders C. Johansson(Stockholm School of Economics, Sweden)
ABSTRACT
This study examines the stock-picking ability of mutual funds in China using evidence from the IPO market. We hypothesize that the decision to invest in the IPO market contains positive information about a fund’s underlying expectation of newly listed firms’ future prospects. Using residuals from a model on the determinants of mutual funds purchases in the IPO market as proxy for consensus expectations, we find that IPO firms with high residual funds have significantly better stock returns and operating performance than those with low residual funds. In other words, residual funds can predict IPO future performance. These results are also robust to different specifications and alternative explanations such as mutual fund preferences or monitoring effects.
Keywords: Mutual funds; Stock picking ability; IPO; China
原文鍊接:
http://dx.doi.org/10.1016/j.jbankfin.2014.12.026
翻譯:賈夢悅