盲目炒作还是慧眼识珠？——基于中国证券投资基金信息挖掘行为的实证分析
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| Title | Chasing Noise or Recognizing Value:An Empirical Study on Information Seeking Behavior of Chinese Investment Funds
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| 作者 | 张宗新 杨通旻 |
| Author | Zhang Zongxin and Yang Tongmin |
| 作者单位 | 复旦大学金融研究院 |
| Organization | Fudan University |
| 作者Email | zhangzongxin@fudan.edu.cn； |
| 中文关键词 | 证券投资基金 信息挖掘 基本面信息 私有信息 |
| Key Words | Mutual funds; Information mining; Fundamental information; Private information |
| 内容提要 | 近年来基金的一些市场炒作行为引致了舆论对其投资行为和专业能力的质疑。本文通过对基金信息挖掘机制的考察来分析上述异质行为背后的本质和逻辑。通过区分不同信息特点的上市公司和不同层面的公司信息，本文的研究结果表明，基金挖掘并关注了与公司价值相关的基本面信息，并通过较强的信息挖掘能力获取了私有信息，是真正的“知情交易者”。但这种信息挖掘机制主要体现在信息环境较好和基本面波动较小的大市值公司样本。对小市值公司而言，尽管基金对公司特质信息进行了挖掘，但并没有体现出对基本面信息的关注，说明基金对小市值公司的投资更多是基于信息噪音的市场炒作。 |
| Abstract | Recent years, speculation behavior of Chinese investment funds has raised doubts about its investment behavior and professional competence. This paper, by investigating the information seeking mechanism of investment funds, analyzes the essence and logic behind the heterogeneous behavior above. By distinguishing firms with different informational characteristics and different level of firm information, our results show that: investment funds have acquired valuable fundamental information of firms they invest and gained private information through their strong information seeking ability. However, this kind of information seeking mechanism is only seen in the sample of large firms with better information environment and less fundamental variability. As for the small firms, while the investment funds have sought for firm specific information, they do not exhibit focus on fundamental information, showing that they are speculating based on noise. |
| 文章编号 | WP626 |
| 登载时间 | 2014-06-05 |
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