摘要
本文通过爬取1881只股票型和混合型基金的定期报告进行文本分析后发现,基金文本语调能够显著预测基金的下一期业绩。具体而言,语调净积极性与下期的收益率呈现负相关关系。进一步研究发现,基金语调能够揭示基金异常调仓行为和选股偏好,比如当期基金语调净积极性能够正向预测出下一期窗口粉饰和月末频繁调仓的倾向,类似的关系还体现在彩票型择股偏好上。异质性分析表明,市场的波动性以及偏度都会影响该预测效应。整体而言,基金的语调作为指示指标能够预测基金业绩和异常行为,本文的结论在经过稳健性检验后依然成立。
This study employs the text analysis on periodic reports from 1881 equity and hybrid funds and reveals that fund report tone significantly predicts subsequent fund performance.Specifically,the positivity of fund text tone exhibits a negative correlation with subsequent fund returns.Further investigation indicates that fund report tone is informative of abnormal portfolio rebalancing behaviors and stock selection preferences.In particular,higher fund tone positivity can significantly predict a greater likelihood of window dressing activities and increased portfolio turnover at month-end in the following period.Consistent patterns are also identified with respect to preferences for lottery-type stocks.Heterogeneity analysis indicates that the predictive effect of fund report tone is influenced by market volatility and skewness.In summary,the tone of fund reports can serve as an indicator for forecasting fund performance and identifying anomalous fund behaviors,with these findings remaining robust under various robustness checks.
作者
麦木蓉
杨云红
Mai Murong;Yang Yunhong(School of Economics and Finance,South China University of Technology;Postdoctoral Research Station,Guangzhou Yuexiu Group Co.,Ltd.;Guanghua School of Management,Peking University)
出处
《经济科学》
北大核心
2025年第4期123-141,共19页
Economic Science
关键词
文本语调
基金业绩
异常行为
择股偏好
text tone
fund performance
anomalous behavior
stock selection preference
