A Research On Fund Family Co-holding And Its Influence On Stock Return

Mutual fund is an investment way that the professional managers raise money from investors to purchase securities. And all the investors share the return and risk. With the development of China's fund market, mutual fund play an important role in the stock market. Compared with the individual investors, mutual fund has professional research staff with strong research capabilities, and the ability of risk tolerance is also stronger. So mutual fund play an important role in stabilizing the market. And its influence on the stock market and how do they affect the stock market is worth studying.Through the data from 2003 to 2015,1 studied the fund family co-holding and its influence on the stock return.This study get the following conclusions:(1) After the adjustment of capital asset pricing model, Fama-French three-factor model and Carhart four-factor model, the fund family co-holding hedge portfolio can get positive monthly return. Means that the fund family co-holding have a positive impact on the stock return. (2) The return of hedge portfolio has a positive correlation with the size of the fund family. (3) Through the stock panel data regression, the hedge portfolio can get positive quarterly return. (4) Fund family co-holding reduce the divergence of opinion so it can have a positive impact on the stock return.The innovation of this paper are as follows:(1) This paper studied the relation of fund family size and the impact of fund family co-holding. (2) This paper use a new methodology and t-test to test the change of divergence of opinion. So that it can be the complements of the panel data regression.