Journal of Banking & Finance· Volume 55, June 2015, Pages 170–186

共同基金能在中国选股吗？——来自IPO市场的证据

作者：Xunan Feng(Southwestern University of Finance and Economics, China), Anders C. Johansson(Stockholm School of Economics, Sweden)

摘要：本文利用来自IPO（首次公开发行）市场的证据检验中国共同基金的选股能力。我们假设一个基金投资于IPO市场的决定包含着某种积极信息，即其对于新上市公司未来发展前景的潜在期望。我们构建一个共同基金投资于IPO市场的决定因素的模型，并将其残差作为一致预期的代理变量，进而发现具有高回归残差的IPO企业的股票收益和经营业绩都明显好于有着低回归残差IPO的企业。换句话说，回归残差可以预测IPO股票的未来表现。这些结果对于不同的模型以及诸如共同基金偏好或监管者效应等解释也是稳健的。

关键词：共同基金，选股能力，首次公开发行，中国

Can mutual funds pick stocks in China? Evidence from the IPO market

Xunan Feng(Southwestern University of Finance and Economics, China), Anders C. Johansson(Stockholm School of Economics, Sweden)

ABSTRACT

This study examines the stock-picking ability of mutual funds in China using evidence from the IPO market. We hypothesize that the decision to invest in the IPO market contains positive information about a fund’s underlying expectation of newly listed firms’ future prospects. Using residuals from a model on the determinants of mutual funds purchases in the IPO market as proxy for consensus expectations, we find that IPO firms with high residual funds have significantly better stock returns and operating performance than those with low residual funds. In other words, residual funds can predict IPO future performance. These results are also robust to different specifications and alternative explanations such as mutual fund preferences or monitoring effects.

Keywords: Mutual funds; Stock picking ability; IPO; China

原文链接：

http://dx.doi.org/10.1016/j.jbankfin.2014.12.026

翻译：贾梦悦