CAJ | 학술논문

本文分别采用基金超额收益率一阶自回归残差项的相关系数和Fama—French三因子模型残差项的相关系数作为基金家族共同技能效应和共同噪声效应的代理变量，从微观层面研究了基金家族成员基金间的业绩关联性及其对基金溢出效应的影响。研究发现，在我国基金行业中，基金家族的共同技能效应和共同噪声效应使得家族基金间业绩高度相关，且上述效应会受到基金家族和基金经理特征的影响；此外，基金家族的共同技能效应和共同噪声效应还会对基金家族的资金流带来显著的影响。
본문분별채용기금초액수익솔일계자회귀잔차항적상관계수화Fama—French삼인자모형잔차항적상관계수작위기금가족공동기능효응화공동조성효응적대리변량，종미관층면연구료기금가족성원기금간적업적관련성급기대기금일출효응적영향。연구발현，재아국기금행업중，기금가족적공동기능효응화공동조성효응사득가족기금간업적고도상관，차상술효응회수도기금가족화기금경리특정적영향；차외，기금가족적공동기능효응화공동조성효응환회대기금가족적자금류대래현저적영향。
This paper adopts the first - order autoregressive correlation coefficient of residual items of funds＇ abnormal returns, and the Fama - French three factor model residual correlation coefficient, respectively, as the proxy variables of the fund family＇ s common skill effect and common noise effect. Studied from the microscopic level, this paper tries to find out the member funds＇ performance correlations and the influence these correlations exert on the fund spillover effect. It is found that, in the fund industry in our country, the fund family＇ s common skill effect and common noise effect both make the family fund performances highly correlated , and the effects will the affected by the characteristics of fund family and fund managers. In addition, the fund family＇ s common skill effect and common noise effect both have a significant influence on the fund family＇ s cash flow.