CAJ | 학술논문

近年来基金的一些市场炒作行为引致了舆论对其投资行为和专业能力的质疑。本文通过对基金信息挖掘机制的考察来分析上述异质行为背后的本质和逻辑。通过区分不同信息特点的上市公司和不同层面的公司信息，研究结果表明，中国证券投资基金总体上显现出一定的信息挖掘能力，但其信息挖掘行为存在结构性差异。对于信息环境较好和基本面波动较小的大市值公司样本而言，基金挖掘关注了与公司价值相关的基本面信息，并通过较强的信息挖掘能力获取了私有信息，是真正的“知情交易者”。但对小市值公司而言，尽管基金对公司特质信息进行了挖掘，但并没有体现出对基本面信息的关注，说明基金对小市值公司的投资更多是基于信息噪音的市场炒作。本文的研究结果有助于更加清晰地定位以基金为代表的机构投资者的市场性质和专业能力。
근년래기금적일사시장초작행위인치료여론대기투자행위화전업능력적질의。본문통과대기금신식알굴궤제적고찰래분석상술이질행위배후적본질화라집。통과구분불동신식특점적상시공사화불동층면적공사신식，연구결과표명，중국증권투자기금총체상현현출일정적신식알굴능력，단기신식알굴행위존재결구성차이。대우신식배경교호화기본면파동교소적대시치공사양본이언，기금알굴관주료여공사개치상관적기본면신식，병통과교강적신식알굴능력획취료사유신식，시진정적“지정교역자”。단대소시치공사이언，진관기금대공사특질신식진행료알굴，단병몰유체현출대기본면신식적관주，설명기금대소시치공사적투자경다시기우신식조음적시장초작。본문적연구결과유조우경가청석지정위이기금위대표적궤구투자자적시장성질화전업능력。
Speculation behavior of China mutual funds has raised doubts about its investment behavior and professional competence. This paper, by investigating the information seeking mechanism of mutual funds, analyzes the essence and logic behind the heterogeneous behavior above. By distinguishing firms with different informational characteristics and different level of firm information, our results show that investment funds have shown certain level of information mining ability, but there exists structural differences. The funds＇ private information mining ability is only seen in the sample of large firms with better information environment and less fundamental variability. As for the small firms, while the mutual funds have sought for firm specific information, they do not exhibit focus on fundamental information, showing that they are speculating based on noise. Our results help to recognize the nature and ability of institutional investors represented by mutual funds.