Can We Get The Abnormal Return By Holding The Stocks Selected From The Report Of Star Fund?

In the recent years, under the guidance of the national policy to strongly develop institutional investors. Institutional investors especially the Fund developed rapidly and play an increasingly important role in stock market. When the report of Fund comes out, its portfolio of holding can be grouped into four combination:entering portfolio, increasing portfolio, reducing portfolio, excluding portfolio. Is it possible for investors to gain abnormal return by buying the four portfolios immediately after the reports disclosing? Which one perform better? Because the portfolios of Star Fund have higher degree of concern, the strategy to follow the stocks selected from the reports of Star Fund is of greater practical significance. It also enriches and develops behavioral finance.This paper selects 15 Star Fund, counts the details of holdings of their annual reports and semi-annual reports. According to the market value which Fund bought or sold, selects the first three stocks of the four portfolios. Summary the stocks of the four portfolios according to the report. Then using a certain method to select ten stocks to build the portfolio. The stocks which the portfolios contain change along with the change of Funds' report. This paper uses HuShen 300 index as the benchmark index. We study the abnormal return of the four portfolios in the long term, interim, short term.The results show that:in the interim and long term, the entering portfolios, increasing portfolios, reducing portfolios can attain abnormal return. Among the three portfolios, the abnormal return of reducing portfolios is significantly higher. In the short holding period, the entering portfolios can obtain abnormal return obviously. Before and after the disclosing of Star Funds'reports, the entering portfolio has obvious short-term inertial effect. And the reducing portfolio has obvious interim inertial effect. A reasonable explanation why entering portfolio performs better in the short term is:Star Fund have Star effect and the performance of entering portfolios before the reports come out is good. So many individual investors chase the entering portfolios. A reasonable explanation why reducing portfolio performs better in interim lung is:the Fund or the other Fund purchase stocks among the reducing portfolios after being reduced. By comparing the Treynor index of four portfolios, this paper finds the reducing portfolio has the maximum value. So the per unit risk of reducing portfolio obtains higher risk premium.Investment advice:(1)For short-term investors, to buy the stocks which the Fund purchase a lot and have a good trend, to avoid the stocks belong the excluding portfolio. (2) For interim and long-term investors, to buy the stocks which the Fund reduce a lot and have a good fundamentals, to avoid the stocks belong the excluding portfolio.