关键词:

基金团体, 机构抱团, 业绩粉饰, 季末股价拉升, 职业忧虑

Abstract:

The high-quality development of the mutual fund industry is of great significance to the active capital market and the promotion of the construction of a modern capital market with Chinese characteristics. This paper identifies mutual fund cliques based on detailed stock holding data of actively managed mutual funds from 2005 to 2021, and explores the behavior of manipulating end-of-period performance and the underlying motives by analyzing the stock price performance of fund clique holdings around the quarter-end. The findings indicate that there is a significant upward effect on the excess stock return by mutual fund cliques in the final two days of the quarter, and this conclusion still holds after a series of robustness checks. Moreover, fund cliques exhibit a preference for boosting the prices of stocks with high liquidity and high valuation toward the end of the quarter. In the mechanism analysis, this paper employs the net buying pressure of large transaction order flow to validate the stock price boosting behavior of fund cliques at the end of the quarter. It examines the motivation behind the behavior of pushing up stock prices of mutual fund cliques at the end of the quarter by using mutual fund net flows and the proportion of mutual funds near key rankings. The results show that mutual funds are driven by career concerns and engage in cliques to jointly push up stock prices to mask poor performance in the current period. Additionally, the significant rise in the end-of-quarter stock price inflation by fund cliques during economic downturns indirectly substantiates the career concerns motive. The findings provide an important theoretical basis and reference value for improving the regulatory mechanism, information disclosure system and performance evaluation system of the mutual fund industry.

Key words:

mutual fund clique, institutional investor clique, performance manipulation, end-of-quarter stock price inflation, career concern