基金持股、业绩联动与“基金—基民”绩效差异

Abstract

Promoting the healthy, stable and sustainable development of the capital market requires continuously enhancing the sense of gain of market participants. In recent years, the performance gap between funds and fund investors has attracted widespread attention, which academia and industry mainly attribute to investors' irrational behavior. This paper starts from fund holdings as a trading behavior and provides a new explanation for the fund-investor performance gap from the perspective of market supply side. Using Chinese public fund net value and holdings data from 2007 to 2022 and complex network techniques, we find that holding concentration and performance comovement have long existed in China's fund market. On this basis, we construct a game model with differentiated fund managers and rational investors. Combined with empirical tests, we find that holding concentration among funds forms performance comovement; for investors who extract fund ability signals from historical performance, performance comovement interferes with their learning process about fund historical performance, leading to a mismatch between fund capital flows and fund ability, and ultimately widening the performance gap between funds and investors. In addition, we find that reliance on shared information and herd behavior are the main ways of fund holding imitation; the performance comovement formed by holding concentration exhibits a U-shaped pattern with fund risk-return characteristics, and shows local and global diffusion effects within the entire comovement network.