科研基地组织前沿文献研读交流会，樊英志针对 2024 年发表于国际金融顶刊Journal of Financial Economics的论文Portfolio pumping in mutual fund families作主题汇报。
文章研究了基金家族层面的组合拉抬行为，即家族旗下非明星基金经理有策略地买入同家族明星基金持有的股票，以此抬高明星基金季末业绩。2002年美国证券交易委员会（SEC）加强对基金拉抬行为的监管后，明星基金转而依托家族协同操作实现业绩虚增。受该策略影响的股票在季度末会出现强劲的反转。此外，尽管这类配合明星基金做拉抬操作的非明星基金经理因投资组合配置失当导致业绩略有落后，后续却能吸引异常高额的资金流入，这一现象表明基金家族内部存在一种利益补贴的运作模式。
A B S T R A C T：
This paper investigates portfolio pumping at the fund family level, where non-star fund managers strategically purchase stocks held by star funds in the family to inflate their quarter-end performance. Star funds that engage in such activities show inflated performance after 2002 when the Securities and Exchange Commission increased regulation on portfolio pumping. Stocks pumped by the strategy show strong reversals at the quarter end.Moreover, despite a minor underperformance stemming from portfolio misallocation, non-star fund managers pumping for star funds receive abnormally high subsequent flows, suggesting a pattern of family subsidization.
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