文献类型：期刊文献

英文题名：Style drift in China's capital market: hot-chasing or value-seeking?

作者：Wu, Yaojie[1];Hu, Yue[2];Wang, Donghua[3]

机构：[1]Shanghai Lixin Univ Accounting & Finance, Sch Finance, Shanghai, Peoples R China;[2]Shanghai Jiao Tong Univ, Antai Coll Econ & Management, Shanghai, Peoples R China;[3]East China Univ Sci & Technol, Sch Business, 130 Meilong Rd, Shanghai 200237, Peoples R China

年份：2026

外文期刊名：APPLIED ECONOMICS

收录：;Scopus(收录号：2-s2.0-105048099214);WOS:【SSCI(收录号:WOS:001856249900001)】；

基金：This work was supported by the National Natural Science Foundation of China under Grant [72171086]; and the Major Project in Humanities and Social Sciences of the Research Innovation Program of the Shanghai Municipal Education Commission under Grant under Grant [2023SKZD09].

语种：英文

外文关键词：Self-drift; benchmark-drift; hot-chasing; value-seeking; fund performance; G11; G23; G41

摘要：Fund managers may adjust portfolio styles to pursue short-term private benefits, with implications for investor welfare and market stability. Using a sample of 3,243 Chinese equity-oriented mutual funds from 2012 to 2022, this paper examines the determinants and performance consequences of style drift by separating two behaviours: self-drift, defined as intertemporal variation in a fund's style relative to its own history, and benchmark-drift, defined as deviation from the prospectus-stated style. This paper shows that self-drift is associated with two distinct motives-hot-chasing by underperforming funds and value-seeking by top performers-while benchmark-drift is predominantly driven by hot-chasing among underperformers. Consistent with these channels, the link between self-drift and future performance hinges on past performance, whereas benchmark-drift is followed by markedly lower future returns. Further evidence indicates that compensation incentives, rather than career concerns, are the primary driver of style drift. Although investors can distinguish the two forms, they disproportionately allocate capital to self-drift funds, suggesting limited recognition of their heterogeneous underlying motives.