基金经理更换、股票联动与股票价格

基金经理更换打破了基金共同持股投资组合中股票的关联性,降低了股票收益率相关性,进而影响了股票价格。本文基于基金共同持股和基金经理更换构建了对冲投资组合,获得0.1%的日超额收益率。基金投资组合中股票收益率相关性能够解释这种超额收益率,本文发现基金更换经理后,新基金经理重建投资组合,打破了原投资组合中股票间的关联,股票收益率相关性减弱,基金共同持股程度高的股票价格受到了更大影响。基金的被动流动性冲击不能解释本文的发现。本文的研究表明基金经理变更等基金管理行为通过股票收益率相关性对股票价格产生了重要影响。

Mutual Fund Manager Turnover,Stock Connection,and Stock Price

Mutual fund investment behavior has a great impact on the stock price. The imperfections in China's capital market affect the stock return and return correlation, which may lead to large fluctuations in the capital market. Based on previous research on stock connection and stock price, we study how fund behavior affects the stock connection and stock price from the perspective of fund manager turnover. Specifically, new fund managers usually sell the stocks held by former fund managers and rebuild their own investment portfolios. The turnover of fund managers therefore breaks the stock connections in the original portfolios and reduces the correlation of stock returns, thus affecting stock prices. Based on the sample of mutual funds in China from 2008 to 2014, this paper studies the impact of fund manager turnover on the stock connection. The stock connection in the original portfolio will be weakened if the new fund manager sells the stocks of the original portfolio and rebuilds a new portfolio. The results of the study show that the stock connection in the original portfolio is reduced by 1.9 percent after fund manager turnover, and the effect is statistically and economically significant. Furthermore, the stock connection for stocks with higher common ownership are more affected by the influence of fund manager turnover. Furthermore, we study whether the change in stock connection caused by fund manager turnover affects the stock price. We construct a hedging strategy: buy the stocks with the highest fund common ownership in a non-turnover portfolio, and sell the stocks with the highest fund common ownership in a turnover portfolio. We find that the hedging strategy achieves significant excess return. The average daily excess return of hedging portfolios is 0.1 percent benchmarked against the CAPM model and the Fama-French three-factor model. The evidence shows that the stocks of the original portfolio experience lower returns after fund manager turnover. The excess return of the hedging strategy comes from the change in the stock connection caused by fund manager turnover. We continue to examine the joint impact of fund manager turnover and stock connection on the stock price. We process a regression analysis to study the effect of fund manager turnover, fund common ownership, and their interaction on the daily normal return and the risk-adjusted abnormal return. The results show that the regression coefficient of the interaction of fund manager turnover and fund common ownership is-0.009, which indicates that the daily return of the stocks with the highest correlation in the original portfolio is reduced by 0.9 percent after fund manager turnover. This paper makes several contributions to the literature. First, it extends the research on stock connection. Stock connection is an important topic in finance, but in empirical research it is always influenced by the endogeneity problem. The literature provides empirical evidence from the perspective of mutual fund flows, and this paper extends that research. We find that even without a change in fund flows, a change of fund behavior will affect the investment behavior of fund managers, and in turn affect the stock connection and stock price. Second, this paper extends the research on fund common ownership by providing evidence that fund common ownership may exacerbate stock price volatility. Previous studies have suggested that information sharing leads to stock connections, therefore fund common ownership exacerbates stock price volatility. However, there is little evidence to prove the micro-economic mechanism of this effect. From the perspective of exogenous shocks to fund common ownership, this paper provides evidence on how fund behavior affects the stock connection and stock price. Third, this paper extends the research on fund manager turnover. Previous research regards fund manager turnover as an independent event within a fund, focusing on the characteristics of fund manager turnover or the impact of fund manager turnover on the fund's investment behavior and performance. This paper argues that a change in fund manager has an impact not only within the fund, but also outside it. Therefore, we take fund manager turnover as an external shock, and study the impact of fund behavior on the stock connection and stock price. The evidence from the study shows that fund manager turnover will not only affect the stock price of the manager's own fund, but also the correlation and price of other stocks through fund common ownership.