管理评论

管理评论 ›› 2022, Vol. 34 ›› Issue (10): 9-23.

• 经济与金融管理 • 上一篇    下一篇

货币市场基金估值与期末业绩拉升行为

杨振, 刘海龙, 吴文锋   

  1. 上海交通大学安泰经济与管理学院, 上海 200030
  • 收稿日期:2019-09-17 出版日期:2022-10-28 发布日期:2022-11-24
  • 通讯作者: 杨振,上海交通大学安泰经济与管理学院博士研究生。
  • 作者简介:杨振,上海交通大学安泰经济与管理学院博士研究生;刘海龙,上海交通大学安泰经济与管理学院教授,博士生导师,博士;吴文锋,上海交通大学安泰经济与管理学院教授,博士生导师,博士。
  • 基金资助:
    国家自然科学基金面上项目(71873088;71772121)。

Monetary Market Funds Valuation and Performance Inflation Behavior at Quarter-end

Yang Zhen, Liu Hailong, Wu Wenfeng   

  1. Antai College of Economics & Management, Shanghai Jiao Tong University, Shanghai 200030
  • Received:2019-09-17 Online:2022-10-28 Published:2022-11-24

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摘要： 货币市场基金由于其风险小、流动性好和可以短期内提升收益而吸引投资者资金流入,是基金公司期末冲规模的重要工具。本文以2006—2018年中国货币市场基金收益和持仓数据为样本,验证基金期末业绩拉升行为。研究发现,年末两周货币市场基金年化收益率比其他日期提高了32.21个基点,期末业绩拉升行为显著。前期规模排名低的基金公司,期末货币市场基金业绩拉升水平更高。这主要是由于它们更有动力利用货币市场基金冲规模。另外,本文还发现,货币市场基金持仓比例高的短期融资券期末交易活跃度显著高于其他日期的交易活跃度。这表明采用摊余成本法估值的货币市场基金主要是通过出售债券资产兑现投资收益来实现期末业绩拉升。

关键词: 货币市场基金, 摊余成本法, 期末业绩拉升, 短期融资券, 交易活跃度

Abstract: Monetary market funds can attract capital inflow from investors due to their low risk, good liquidity and ability to generate significant returns in short term, thus serving as an important tool for fund companies to increase their scale at quarter-end. This paper uses returns and holdings data of China’s monetary market funds from 2006 to 2018 as its sample to examine the funds’ quarter-end performance inflation behavior. The paper finds that the annualized rate of return of monetary market funds in the last two weeks of a year increases by 32.21 basis points, compared with other dates. The performance inflation is thereby significant. Monetary market funds are evaluated using the amortized cost method, where the investment gains or losses are not realized until assets disposal. Using short-term commercial paper’s issuance and trading data, the paper finds that for monetary market funds with large positions, the trading activeness of commercial paper is significantly higher at quarter-end than on other dates. Therefore, the performance inflation behavior affects the activeness of short-term commercial papers.

Key words: monetary market funds, amortized cost method, performance inflation, commercial papers, trading activeness