基金业绩溢出效应及对开放式基金家族造星行为的影响*
RESEARCH ON FUND PERFORMANCE SPILLOVER EFFECT AND ITS INFLUENCE ON CHINAS OPENEND FUND FAMILYS STARMAKING BEHAVIOR

摘要 本文以2011年第一季度至2015年第四季度我国所有股票型开放式基金为样本，通过引入虚拟变量，分别从基金家族层面构建了基金家族特征与家族资金净流入、单个基金特征与单个基金资金净流入之间的关系模型，重点考察了明星（垃圾）基金的存在对家族净资金流入的影响。研究发现“明星基金”对整个基金家族存在溢出效应，而“垃圾基金”则并没有发生反向溢出。基于这种非对称性特点，进一步使用面板数据logit模型研究了溢出效应对基金家族造星行为的影响，并提出造星主体的识别特征，即前期无明星基金、基金间超额收益标准差较高且规模较大的家族，下一期出现明星基金的概率大大提高。
Abstract： This paper selects all equity openend fund from the first quarter of 2011 to the fourth quarter of 2015 as sample to test the spillover effect, and studies its impact on fund familys starmaking behavior Based on a panel data model, this paper finds that there is an overflow effect for “star fund” to the entire fund management companies, but “junk fund” does not have a reverse effect This asymmetry has a profound impact on fund familys starmaking behavior The probability of the next phase of the star fund is greatly improved in a large fund family with none of pre star funds and high excess returns standard deviation.