The Influence Of Fund Characteristics On Fund Performance And Earnings Pricing

According to Wind database,131 fund management companies had managed 5060 funds with a total asset of 13.01 trillion until December 31,2018,an increase of 1.4 trillion yuan compared with the end of 2017.Among them,the assets of nonmonetary financing funds reached 4.86 trillion yuan,an increase of 0.38 trillion yuan compared with the end of 2017.Fund investment has gradually become one of the main channels for all kinds of investors to allocate their assets.The large scale of funds has profoundly changed the structure of investors in China’s securities market,making institutional investors play a decisive role in China’s securities market.The question then is,which role does the fund play? On the benefit of fund investors,what they care about is whether fund can create value and get alpha.As for fund regulators,they emphasized whether the fund has adopted value investment strategy,making the stock market a barometer reflecting the company’s fundamentals,thus stabilizing the market and improving market efficiency.Essentially,that’s the same question with different perspective.Although fund investors focus on investment ability of the fund and regulators cares about the impact of the fund on market efficiency and market stability,eventually we can conduct a research of the information utilization mechanism of the fund as investor’s behavior is generally believed to be information-driven.This research can be further decomposed into three levels: information acquisition,information utilization and information sharing.Information acquisition.From the individual point of view,the individual characteristics of the fund have a very important impact on its performance.In recent years,some literatures have studied the impact of individual characteristics on fund performance and information mechanism from the perspective of social interaction of funds,such as alumni relationship,fellow-townsman relationship,city relationship,work relationship,so as to reveal some factors affecting the social interaction of fund information acquisition.Information utilization.Although some sources of information affecting fund performance can be revealed through the characteristics of social interaction of funds,but can not show all sources of information of funds.So it can not help to explain the relationship between the types of information that fund utilize and fund performance from the perspective of overall information mechanism.Information sharing.Fund networks are characterized by narrowness and frequent social interaction filled with exchange of information on listed companies and securities valuation opinions.So the information network of the fund has a very important impact on market pricing efficiency.From the above,we can not only explain the information sources of the excess returns of the fund,but also understand the impact of funds on the market through the information utilization mechanism of the fund.Our paper attempts to explore the impact of fund characteristics such as social interaction like fund managers’ working experience and fund information network and asset allocation on fund performance and stock pricing.It can be found that our research is basically carried out along a progressive logic.Firstly,from the perspective of fund managers,this article explores the impact of the analyst’s work experience on his performance,and examines the influence channel of work experience from the perspective of information utilization.Secondly,by constructing the index of difficulty of stock valuation,this paper explores the influence of information utilization mechanism on the performance of the fund from a more comprehensive perspective.Finally,from the perspective of the overall fund network,this paper explores the impact of the fund information exchange network on the pricing of stock surplus information.Thus,this paper completes the research evolution from the influence of private information acquisition behavior on individual performance to the influence of information exchange of funds on market efficiency,and comprehensively reveals the individual significance and market significance of fund information utilization mechanism.And the individual and market significance of fund information utilization mechanism is comprehensively revealed.In order to answer the above questions,this paper makes use of the data of the active equtiy fund of our country,carries out the research in a progressive way,and obtains the robust empirical results by adopting different methods of measuring economy research.The corresponding chapters are arranged as follows:The first chapter is an introduction.Focusing on the background and significance of this topic,this paper puts forward the research viewpoint on the basis of relevant research,introduces the research ideas and contents of this paper,and explains the innovation of this paper.The second chapter is literature review.This paper mainly introduces the relevant research literature.This article divides the fund research literature related to the theme into three parts.The first part expounds the relationship between social interaction,work experience and information advantage of the fund,and the second part discusses the difficulty of stock valuation and how funds exploit stock mispricing.The third part discusses the relationship between institutional investors and market efficiency.At the end of this chapter,this article will make a brief review of the relevant literature.The third chapter explores the influence of the working background of fund managers on their information advantages.Specifically,with the help of the research data of listed companies disclosed by Shenzhen stock exchange,this paper matches the fund manager with the experience of the seller’s analyst,and then examines the influence mechanism of the analyst’s experience on the trading behavior of the fund he followed.First,among the stocks held by funds,those that were covered and held by fund managers while working as securities analysts had significantly higher return.Second,this paper examines the mechanism and finds that the level of the return is independent of the "analytical ability" when engaged in analyst work.From the perspective of no proposition,it shows that the higher return is derived from the "information advantage" brought by the analyst’s work experience.Thirdly,this paper distinguishes the types of information in China’s securities market,and finds that the trading behavior of funds in these stocks is mainly related to short-term unexpected surpluses,such as high stock dividend and private placement events,which also enriches relevant literature on the influence of fund managers’ work experience on fund performance.The forth chapter explores the impact of fund information utilization on its performance.This paper construct the hard-to-value(HTV)index for stocks and measure mutual funds’ information advantage in China stock market.Firstly,Our empirical results show that funds gain higher return in high HTV holdings group,which means mutual funds as a whole display certain level of information advantage.Secondly,this paper then further divide funds into three groups based on their historical performance,and find that even though superior funds obtain bigger excess return than inferior funds in every HTV portfolio group,their difference only become economically and statistically significant in low HTV stock portfolio,thus the information comparative advantage between good and bad fund is lying in fundamental analysis ability of public information other than private information digging.Thirdly,good funds does not allocate more on those high HTV stocks,and fund performance on low HTV stocks can serve as an indicator to predict fund subsequent performance.That is to say,if we want to stand out in the fund competition,we should strengthen the ability to analyze public information.The fifth chapter explores the impact of fund information network on earnings information pricing.First,Our empirical analysis show that,before earnings announcement,the larger the network density of the stock information network is,the faster the stock price will be reflected into the earnings information.Moreover,it is less prone to overreact or underreact after the date of announcement.Secondly,Due to the larger density of information network,the communication among funds become effective and it further leads to a reduction in the dis-agreement between funds.This also effectively promotes the earnings information reflected into the stock price,improving the market pricing efficiency at the same time.Thirdly,further analysis shows that this function of information network mainly reflected in better corporate governance.The research findings of this paper confirmed the significance of the fund to the market,and it is also important to understand the role of information network in the pricing of earnings information.The sixth chapter is the conclusion of this paper and the direction of further research.The innovation of this paper is mainly embodied in the following aspects:(1)Using the survey data of listed companies,this paper takes all fund managers involved in investment decision-making of Chinese fund companies as samples to analyze the working experience of sellers’ analysts for the first time,so as to avoid the mutual interference of information within the fund company.This paper reveals the impact mechanism of the working experience of analysts on the performance of funds,and finds that the working experience of analysts improves the performance of funds by private information acquisition.This paper also examines the manifestations of the influence of analyst’s work experience on fund’s information acquisition ability,and finds that the information advantage brought by analyst’s experience mainly lies in the use of listed company’ private information,especially the information related to special events such as high stock dividend and private placement.These findings not only deepen the research about the sources of fund information superiority,but also enrich the relevant literature of the impact of fund managers’ working experience on fund performance.(2)According to previous studies,there are roughly three methods when measuring the information advantage of the fund.First,if the fund has obtained abnormal returns at a certain time or an event,then it can be considered that the fund has information advantages;Second,funds with characteristics(such as high turnover,alumni relations with other insiders,etc.)are considered to have information advantages;Third,the previous literature explore information advantages and informed trading from the perspective of the market microstructure.However,these three methods can not demonstrate the relationship between fund information utilization and fund performance.Based on asset allocation,this paper introduces the hard-to-value(HTV)index that comprehensively reflects the degree of information asymmetry and opacity of listed companies.By observing the performance of the fund in different valuation difficulty combinations and the asset allocation situation,This paper demonstrates the relationship between fund information utilization and fund performance,and provides new ideas for fund management ability research.This paper not only theoretically expands the framework of information processing mechanism and asset allocation behavior of institutional investors,but also has a good practical significance.(3)There have been growing literatures to study the impact on market efficiency from the perspective of fund information networks as the development of complex network tools.However,previous paper does not pay attention to the pricing of earnings information from the point of view of fund network.For the first time,this paper discusses the influence of the fund network on the pricing of surplus information,expands the application of complex network theory in asset pricing,and deepens the research on market efficiency of relevant institutional investors.At the same time,this paper finds that the fund network does not transmit inside information,which not only demonstrates the role of the fund network from the point of view of efficiency,but also further analyzes the type of information transmitted within the fund network from the point of view of fairness.This paper further enriches the research on fund network and market efficiency.