摘要
本文从基金经理对公开信息依赖程度的角度,研究业绩排名对基金经理选股信息来源的影响。结果显示,上半年排名靠后的基金经理下半年降低对公开信息的依赖程度,依赖程度降低的基金经理下半年业绩排名上升,说明基金经理通过获取内部信息提高基金收益。从市场反应来看,基金经理获取内部信息提高业绩能够吸引更多的资金流。基金锦标赛的大部分研究着眼于基金经理通过风险调整提高排名,本文证实其在选股信息来源上也存在竞争行为。
This paper studies the effect of performance ranking on the stock information sources of fund managers in terms of their reliance on publicly available information.The results suggest that mid-year under-performing managers decrease their reliance on public information in the second half of the year and experience a rise in performance ranking,indicating that fund managers utilize internal information to boost fund return.As to market reaction,we find that fund managers,due to more internal information and higher fund return,are able to attract more fund flows.Existing studies on fund tournament focus on how managers can improve performance by adjusting fund risk,whereas this paper demonstrates that fund managers behave competitively in their stock information sources.
出处
《投资研究》
CSSCI
北大核心
2019年第10期93-114,共22页
Review of Investment Studies
基金
国家自然科学基金资助项目(71972115)的支持.
关键词
基金锦标赛
基金经理
信息优势
Fund tournament
Fund manager
Informational advantage
作者简介
通讯作者:张乾:清华大学经济管理学院博士研究生;薛健:清华大学经济管理学院长聘副教授。
