公募基金的净值管理行为研究——来自基金日回报数值特征的经验证据

管理评论 ›› 2023, Vol. 35 ›› Issue (9): 222-235.

公募基金的净值管理行为研究——来自基金日回报数值特征的经验证据

林乐¹, 汤晓燕², 黄亮华¹

1. 首都经济贸易大学会计学院, 北京 100070;
2. 上海外国语大学国际金融贸易学院, 上海 200083

收稿日期:2022-10-10 出版日期:2023-09-28 发布日期:2023-10-31
通讯作者: 汤晓燕(通讯作者),上海外国语大学国际金融贸易学院讲师,硕士生导师,博士。
作者简介:林乐,首都经济贸易大学会计学院副教授,硕士生导师,博士;黄亮华,首都经济贸易大学会计学院副教授,硕士生导师,博士。
基金资助:
国家自然科学基金面上项目（72172098）；北京市属高等学校优秀青年人才培育计划项目（BPHR202203186）。

Research on Net Value Management Behavior of Mutual Fund: An Empirical Evidence from the First-digit Distribution of Fund Daily Returns

Lin Le¹, Tang Xiaoyan², Huang Lianghua¹

1. School of Accounting, Capital University of Economics and Business, Beijing 100070;
2. School of Economics and Finance, Shanghai International Studies University, Shanghai 200083

Received:2022-10-10 Online:2023-09-28 Published:2023-10-31

摘要/Abstract

摘要： 基金投资日益成为我国家庭金融资产的重要组成部分。本文以2005—2021年发行的中国公募基金为样本，运用Benford定律对基金的净值管理行为的存在性进行了检验。研究发现，相比ETF基金，偏股型基金的日回报非零首位数值分布更不符合Benford定律，验证了其存在净值管理行为。进一步地，当同一基金公司旗下的基金之间“抱团”越严重，即基金投资组合的独立性越低时，基金的回报分布越不符合Benford定律，表明了基金公司旗下多个基金之间的“抱团”行为可以达成其净值管理目标。最后，基金净值回报越不符合Benford定律，基金本期的净值增长率越高以及净值波动率越低，实现了多管理目标下“一箭双雕”的效果，但两者均会在下一年发生反转。本文的结论对于公募基金净值管理行为的甄别和监管有一定的裨益，也有助于相关投资者进行更科学的投资决策。

关键词: 公募基金, 净值管理, Benford定律, 独立性, 波动率

Abstract: Fund investment has increasingly become an important part of China's family financial assets. Using the daily return data of mutual funds in China from 2005 to 2021, the paper applies Benford's Law to test the existence of net value management behavior of mutual funds. The empirical results show that compared to ETF fund, the nonzero first-digit distribution of other equity funds' daily returns is more likely against Benford's law, thus proving the existence of net value management behavior. Further, when the fund's portfolio is less independent with other funds belonging to the same fund management company, the first-digit distribution of the fund's daily return is less likely to follow the Benford's law, indicating that concentrated investment can be a way to meet net value management targets. Finally, the more away the net value return of the fund is from Benford's law, the higher growth and lower volatility the net value of the fund will keep in the current period, showing an effect of ‘killing two birds with one stone’ in multiple management goals, but the two will reverse in the next period. The paper contributes to the screening and supervision of net value management behavior of mutual funds, and also helps investors to make more scientific investment decisions.

Key words: mutual fund, net value management, Benford's law, portfolio independence, volatility

林乐, 汤晓燕, 黄亮华. 公募基金的净值管理行为研究——来自基金日回报数值特征的经验证据[J]. 管理评论, 2023, 35(9): 222-235.

Lin Le, Tang Xiaoyan, Huang Lianghua. Research on Net Value Management Behavior of Mutual Fund: An Empirical Evidence from the First-digit Distribution of Fund Daily Returns[J]. Management Review, 2023, 35(9): 222-235.

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