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本文以2004—2013年国内偏股型基金持股组合的季度数据为样本,首次对我国基金运用应计异象策略及由此导致的竞争对基金业绩的影响进行实证研究。研究发现:应计异象策略并不是国内股票型基金普遍运用的一种投资策略。其次,我们发现策略带来的基金竞争影响基金的业绩表现。在积极利用应计异象策略交易的基金中,基金业绩与策略带来的竞争呈现负相关关系。此外,我们发现存在基金利用应计异象策略获利的现象。本文的研究拓展了会计应计异象的研究范围,丰富了资本市场效率和资本市场定价的研究,也为基金管理者的决策提供理论支持和参考。
Based on the quarterly data of the domestic partial stock funds’ portfolio in 2004-2013, this paper makes an empirical study on the impact of the accrued anomaly strategy and the resulting competition on the fund performance for the first time in our country. The study found that: Accidental alienation strategy is not an investment strategy commonly used by domestic equity funds. Second, we found that the fund competition brought by the strategy affected the performance of the fund. In the funds that actively make use of the tactics of accruals and outliers, the performance of the fund and the competition brought by the strategy show a negative correlation. In addition, we find that there is a phenomenon that funds use the accrued anomaly strategy to make profits. This study expands the research scope of accounting discretionary vision, enriches the research on capital market efficiency and capital market pricing, and also provides theoretical support and reference for fund managers’ decision-making.