基金业绩排名与泡沫资产配置

基金在业绩排名压力下的泡沫资产配置行为会加剧市场波动、推升市场泡沫。本文基于事件研究法与固定效应模型研究了2013―2020年基金的重仓持股,发现:(1)基金在泡沫膨胀阶段显著超配了泡沫资产,而在泡沫破裂前后显著减配,展现了“泡沫骑乘者”的特征;(2)2015年前后,泡沫资产主要为小市值股票,2019―2020年,泡沫资产逐渐转为大市值“白马股”,且基金超配的程度显著提高,呈现抱团大盘白马股的特征;(3)排名前5%的赢家基金,以及1/3和1/10关键排名处的基金更激进地超配泡沫资产;(4)相邻排名基金的业绩差异越大,基金的泡沫资产配置行为越明显。综上表明,基金公司并不一定是天然的市场稳定器,监管层应密切关注业绩压力下基金超配泡沫资产的行为,投资者则应理性选择长期声誉较高的基金。

Fund Performance Ranking and Bubble Asset Allocation

The investment behavior of funds under ranking tournaments may increase market volatility and induce bubbles.This paper studies mutual funds’bubble asset allocations with Chinese stock market data(2013-2020).Empirical analysis shows that(1)funds significantly over-allocate bubble stocks during the rising stage while rapidly underweight after crash;(2)small cap stocks around 2015 and big cap stocks around 2020 are considered as bubble assets;(3)bubble asset allocations are stronger for winner funds and those ranked at key places including 1/3 and 1/10 percentile borderlines;(4)bubble asset allocations are pronounced in adjacent funds with larger differences in performance.In conclusion,funds are not natural market stabilizers,so regulators and investors should take funds’bubble asset allocations into consideration.