文献类型：期刊文献

中文题名：实地调研类型、信息优势与基金超额收益

英文题名：Site Visit Type,Information Superiority and Fund Excess Return

作者：唐松莲[1];李君如[1];卢婧[2]

机构：[1]华东理工大学商学院,上海200237;[2]中泰证券股份有限公司,上海200233

年份：2017

卷号：31

期号：1

起止页码：43

中文期刊名：会计与经济研究

外文期刊名：Accounting and Economics Research

收录：CSTPCD;;国家哲学社会科学学术期刊数据库;北大核心:【北大核心2014】；CSSCI:【CSSCI_E2017_2018】；

基金：国家自然科学基金项目(71172079;71672059);上海市浦江人才计划(16PJC020);中央高校基本科研业务费专项资金;国家留学基金委员会项目

语种：中文

中文关键词：实地调研;基金;证券分析师;信息优势;超额收益

外文关键词：site visit ; fund ; security analyst ; information superiority ; excess return

摘要：实地调研是投资者与公司管理层进行互动交流、获取公司信息和未来规划的重要途径。已有研究发现基金参与实地调研后可获得超额收益,但关于基金获得超额收益的原因,目前学术界没有得到统一结论。通过手工收集深圳证券交易所上市公司从2012年7月到2014年12月的基金实地调研数据,研究发现:相比于单独调研,基金与证券分析师联合调研后仓位调整方向具有一致性,基金参与联合调研后持股变动较多时,基金能获得超额收益;进一步研究发现,相比于常规性调研,基金参与关系型调研后仓位调整方向具有更高一致性,但基金参与关系型调研后持股变动程度越高,基金获得的超额收益不一定增加。研究结果为完善公平信息披露规则、规范证券公司、基金公司和上市公司三个市场主体之间的利益链提供了经验证据。
The site visit is an important way for investors to communicate with the firms＇ management to obtain the information about the firms and their future planning. Existing research has found that funds can get excess returns by taking the site visit. However, there still lacks a consensus about the antecedents of excess returns. With a hand- collected data of fund site visit from July 2012 to December 2014 disclosed in Shenzhen Stock Exchange Market, we find that compared to site visit alone, the funds that participate in joint site visit with the securities analysts share the same adjustment position, and the great fund positions change will lead to excess returns. Furthermore, compared to normal site visit, the funds that participate in relational site visit share the same adjustment position greatly, but they may not get higher excess returns with more fund positions change. The results provide empirical evidence for improving the rules of fair information disclosure and regulating the interest chain among the three market players including brokerage firms, funds and listed firms.