Economic Theory and Business Management
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WANG Jin-zhong1,ZHANG Xia-qing2
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王晋忠1,张夏青2
Abstract: This paper selects all equity openend fund from the first quarter of 2011 to the fourth quarter of 2015 as sample to test the spillover effect, and studies its impact on fund familys starmaking behavior Based on a panel data model, this paper finds that there is an overflow effect for “star fund” to the entire fund management companies, but “junk fund” does not have a reverse effect This asymmetry has a profound impact on fund familys starmaking behavior The probability of the next phase of the star fund is greatly improved in a large fund family with none of pre star funds and high excess returns standard deviation.
Key words: fund family , spillover effect , performance , starmaking behavior
摘要: 本文以2011年第一季度至2015年第四季度我国所有股票型开放式基金为样本,通过引入虚拟变量,分别从基金家族层面构建了基金家族特征与家族资金净流入、单个基金特征与单个基金资金净流入之间的关系模型,重点考察了明星(垃圾)基金的存在对家族净资金流入的影响。研究发现“明星基金”对整个基金家族存在溢出效应,而“垃圾基金”则并没有发生反向溢出。基于这种非对称性特点,进一步使用面板数据logit模型研究了溢出效应对基金家族造星行为的影响,并提出造星主体的识别特征,即前期无明星基金、基金间超额收益标准差较高且规模较大的家族,下一期出现明星基金的概率大大提高。
WANG Jin-zhong1,ZHANG Xia-qing2. RESEARCH ON FUND PERFORMANCE SPILLOVER EFFECT AND ITS INFLUENCE ON CHINAS OPENEND FUND FAMILYS STARMAKING BEHAVIOR[J]. Economic Theory and Business Management.
王晋忠1,张夏青2. 基金业绩溢出效应及对开放式基金家族造星行为的影响*[J]. 经济理论与经济管理.
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URL: http://jjll.ruc.edu.cn/EN/
http://jjll.ruc.edu.cn/EN/Y2017/V37/I2/67