中国公募基金挖掘了股票市场异象吗？

公募基金是我国重要的机构投资者之一,分析其投资逻辑对理解机构投资者行为和公募基金的选择至关重要。基于2005年至2019年主动管理偏股型开放式基金数据,本文检验了公募基金对A股市场87个异象因子的挖掘。为解决因子维度过大问题,本文采用非参方法从87个异象因子中提取有效信息的综合指标A-Score,并根据基金持仓构建基金的异象投资指标AIM(Anomalies Investing Measure)。结果显示:(1)中国公募基金挖掘了市场异象;(2)利用AIM可以选择表现更好的基金,并能获得0.45%的月度多空组合收益;(3)基金经理的选股能力、风格选择能力和风控能力是其挖掘异象收益的主要来源;(4)异象挖掘可以为基金带来长期资金流,同时也缓和了市场的错误定价。

Do Mutual Funds Exploit Stock Market Anomalies in China？

Mutual funds are one of the most attractive investment options for institutional investors in China; thus, understanding the behaviors of mutual funds is crucial for making institutional investments and selecting superior mutual funds. Stock is an important underlying asset for mutual funds, especially equity mutual funds. Furthermore, stock returns are driven by a series of firm characteristics or anomaly factors, and a burgeoning number of factors worldwide provide new investment directions for mutual funds. Institutional investors, including mutual funds, have the motivation and capability to exploit market anomalies. The following questions thereby arise: Do mutual funds exploit market anomalies in Chinese stock markets？ If so, can we select mutual funds based on such exploitation behaviors？
However, the literature mainly focuses on the exploitation of a single market anomaly or single class of market anomalies, and no systematic examination of the hundreds of existing anomalies exists. Moreover, some studies provide contradictory answers to the question of whether institutional investors exploit market anomalies. In addition, most studies are based on the US stock markets, and their findings may not apply to Chinese stock markets. Unfortunately, no such research exists on Chinese capital markets. Thus, this paper seeks to answer the following four research questions: (1) Do Chinese mutual funds exploit stock market anomalies？ (2) If so, can we propose new indicators for mutual fund selection based on their holding stocks and corresponding anomaly factors？ (3) Is the exploitation of stock market anomalies a reflection of fund managers' investment management capabilities？ (4) What are the economic consequences and market impacts of exploiting these anomalies？
To answer these questions, we construct an anomaly score (or A-Score) based on 87 anomaly variables from the Chinese A-share market. To avoid look-ahead bias, we directly adopt the factors from the study by Li et al. (2019). Based on fund holding data and A-Scores of stocks, we further construct the Anomaly Investing Measure (AIM) of mutual funds, which is calculated as the weighted average of holding stocks' A-Score deciles over the whole market universe. A higher AIM indicates that the funds tend to hold stocks with long positions, aggregating the 87 anomaly variables.
Based on actively managed equity mutual funds from 2005 to 2019, we first examine whether mutual funds exploit market anomalies in Chinese stock markets. Our empirical results confirm that funds actively allocate more weight to stocks with high A-Scores as compared with the CSI 300 index and historical holdings and that trading behaviors persist for a long time. Thus, Chinese mutual funds do exploit market anomalies. We next examine the relationship between AIM and the cross-section of mutual fund returns. Results regarding both portfolio sorts and regression show that the AIM significantly predicts future returns; moreover, the AIM can be used to select superior funds. Furthermore, we decompose the fund managers' investment abilities and explore the AIM return sources. The results show that funds with a higher AIM exhibit excellent stock selection, style selection, and risk control ability. Finally, we explore the economic impacts of exploiting anomalies at the fund and market levels. Exploiting anomalies not only ensures long-term fund flows but also alleviates market mispricing.
Our study makes the following contributions to the literature. First, to the best of our knowledge, our paper is the first to systematically examine whether Chinese mutual funds exploit Chinese A-share market anomalies. Contrary to the literature that focuses on a single factor or single class of factors, our paper provides a new perspective on the investment behaviors of Chinese institutional investors by examining 87 market anomalies. Second, based on the stock market anomaly factors, we propose the AIM, which can be used to select superior mutual funds. Our findings enrich the literature on the return prediction of Chinese mutual funds and provide theoretical support for the development of fund-of-funds in China. Third, this paper explores fund managers' investments in stock anomalies from the logic of fund selection of underlying assets and confirms that anomaly exploitation reflects fund managers' superior stock selection, style selection, and risk control abilities. Thus, our study provides a reliable explanation concerning fund managers' investment skills. Fourth, we find that mutual funds' exploitation of market anomalies could reduce arbitrage returns and mitigate mispricing in the Chinese A-share market. Thus, our study enriches the literature on mispricing in the Chinese market and helps understand institutional investors' behaviors from a new perspective.