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本文基于中国证券市场2005—2009年的开放式基金数据,通过影响家族“造星”概率的家族特征变量构建了固定效应面板数据Logit模型,发现投资管理能力弱的基金家族会为了利用明星绩效的溢出效应而主动追逐“造星”策略,以吸引更多新增资金流入,从而收取更多管理费收入。研究同时显示,高离差明星家族的绩效显著差于其他基金家族,简单追逐“明星”家族的投资策略无法为投资者带来超额投资回报;而造星事前概率低的基金家族,即低离差、小规模的明星家族的绩效要显著高于其他基金家族,它们才是最有可能为投资者带来超额回报的真正“明星”。
Based on the open-end fund data of China’s securities market from 2005 to 2009, this paper constructs the Logit model of fixed-effect panel data through the family characteristic variables that affect the probability of family “star ”, and finds that the fund family with weak investment management ability will use Star Performance spillover effect and take the initiative to chase “star” strategy to attract more new inflow of funds, so as to charge more management fee income. The study also shows that the performance of the high-dispersion star family is significantly worse than that of other fund families. The investment strategy of simply chasing the “star” family can not bring over-investment returns to investors; and the fund families with low pre-star making rate, that is, Low-spread, small-scale star family performance is significantly higher than other fund families, they are most likely to bring investors an excess return of the real “star.”