Abstract:
We propose that actively managed equity mutual funds tend to mark up their portfolio values at quarter ends. This approach is used by mutual fund family as a family strategy to coordinate fund performance within the family. We provide evidence that both the individual fund and its top holding stocks have abnormal return during the last few trading days at quarter ends, and experience a return reversal at the beginning of the next quarter. Further tests indicate that “high family value” funds (i.e., funds with larger size, older funds and funds with higher past performance) show higher abnormal return at quarter ends. We also find that funds with high cross-holdings exhibit higher abnormal return at quarter ends. These results indicate that holdings markup in mutual funds can be explained by fund family strategy.
作者简介: 余 音,金融学博士生,北京大学光华管理学院,Email: yuyin9119@pku.edu.cn. 姚 彤,金融学博士,副教授,Tippie College of Business, University of Iowa,Email: tong-yao@uiowa.edu. 张 峥,金融学博士,教授,北京大学光华管理学院,Email: zheng86@gsm.pku.edu.cn. 江嘉骏(通讯作者),金融学博士生,北京大学光华管理学院,Email: j.jiang@pku.edu.cn.
引用本文:
余音, 姚彤, 张峥, 江嘉骏. 期末溢价与基金家族策略——来自中国公募基金市场的证据[J]. 金融研究, 2018, 455(5): 154-171.
YU Yin, YAO Tong, ZHANG Zheng, JIANG Jiajun. Holdings Markup and Mutual Fund Family Strategy: Evidence from China. Journal of Financial Research, 2018, 455(5): 154-171.
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