Brokerage networks and mutual fund performance

被引：0

作者：

Yang X. ^{[1
]}

Li Z. ^{[2
]}

机构：

[1] School of Finance and Investment, Guangdong University of Finance, Guangzhou

[2] SUSTech Business School, Southern University of Science and Technology, Shenzhen

来源：

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2023年 / 43卷 / 10期

基金：

国家自然科学基金重大项目; 中国国家自然科学基金;

关键词：

brokerage network; business relationship; fund performance; information advantage;

D O I：

10.12011/SETP2021-2011

中图分类号：

学科分类号：

摘要：

Fund performance is the core question of fund research. Using the commission paid to all brokerage firms, this paper maps brokerage networks of mutual funds and shows a positive relation between network centrality and risk-adjusted performance. Central funds pick better stocks, and their trades become better predictors for abnormal stock returns around subsequent earnings announcements. When differentiating funds’ valuation-motivated and liquidity-motivated trades on single trade level, this paper finds that central funds outperform peripheral funds at anticipation of earnings surprises only for valuation-motivated trades. The centrality premium is more pronounced for small fund company, non-crisis period and funds with low liquidity demand. The results indicate that brokerage network centrality premium is due to the private information provided by the brokers. This paper signifies the importance of business network to China’s capital market and casts insights into understanding of information transfer mechanisms and the economic effects of business networks in China’s capital market, as well as fund investors. © 2023 Systems Engineering Society of China. All rights reserved.

引用

页码：2807 / 2826

页数：19

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