| 共持重仓股“变脸”对基金家族的连锁效应研究 |
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| 引用本文： | 陆蓉,刘亚琴.共持重仓股“变脸”对基金家族的连锁效应研究[J].财经研究,2009,35(4). |
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| 作者姓名： | 陆蓉 刘亚琴 |
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| 作者单位： | 上海财经大学金融学院,上海,200433 |
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| 基金项目： | 国家自然科学基金，上海市哲学社会科学规划项目，上海市教育委员会科研创新项目，上海市教委曙光计划，教育部新世纪优秀人才支持计划，上海财经大学211工程第三期重点学科建设项目 |
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| 摘 要： | 文章对股票"变脸"给出可检验的定叉,采用Logistic面板数据模型实证研究了股票"变脸"对整个基金家族影响的传导过程.研究发现同一基金家族内部共同持股程度显著高于家族外部;家族共同持股导致股票"变脸"对单只基金业绩的影响扩散到整个家族,甚至引发整个家族业绩突变;重仓股"变脸"引发基金家族危机的原因是家族高度共同持股,而基金治理中激励机制的安排可能是基金家族高度共同持股的诱因.
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| 关 键 词： | 基金家族 股票变脸 共同持股 基金治理 |
Research on Domino Effect of Performance-change of Stocks Heavily Co-held by Funds of a Fund Family on the Performance of the whole Fund Family |
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| LU Rong,LIU Ya-qin.Research on Domino Effect of Performance-change of Stocks Heavily Co-held by Funds of a Fund Family on the Performance of the whole Fund Family[J].The Study of Finance and Economics,2009,35(4). |
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| Authors: | LU Rong LIU Ya-qin |
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| Institution: | School of Finance;Shanghai University of Finance and Economics;Shanghai 200433;China |
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| Abstract: | The paper presents a verifiable definition for the performance-change of stocks from good to bad and empirically studies the pass-through of performance-change of stocks on the whole fund family by using Logistic panel data model.The results indicate that the stock co-holding level of the internal fund family is higher then the one outside the fund family.Family-type stock co-holding makes the effect of stock performance-change spread to the whole fund family,even resulting in sudden changes of the performa... |
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