公募基金改善了市场定价效率吗？——持股基金质量与股票收益

Abstract

This paper constructs the Mutual Fund Holding Quality (MFHQ) measure for stocks by aggregating fund-level ability estimates to the stock level, weighted by fund share holdings, using Chinese market data from 2005 to 2020. Empirical results show that stocks with higher MFHQ significantly outperform those with lower MFHQ or without mutual fund holdings, with annualized return difference of about 14% between top and bottom quintiles, which cannot be explained by known risk factors. The predictability is not driven by holding weights or traditional return predictors. Mechanism tests indicate that high-quality funds can discover stock mispricing and improve pricing efficiency, evidenced by no long-term reversal, prediction of future fundamentals, and positive prediction of stock-level price efficiency measures. The paper contributes by providing direct evidence that mutual fund holdings positively predict stock returns in China, identifying MFHQ as a valid return predictor, and highlighting the importance of capital allocation efficiency in the mutual fund industry for market quality.