私募基金选股能力分析——基于科创板IPO

Analysis of Private Equity Fund’s Stock Selection Ability—Based on Sci Tech Innovation Board IPO

摘要: 私募基金作为国内基金市场的新兴力量，在近年来发展迅速。为研究科创板注册制背景下私募基金的选股能力，本文以科创板上市公司为研究对象，采用多元回归模型进行建模。与以往研究不同，本文不从私募基金业绩出发，而是以个股IPO申购发售信息以及后续个股交易数据为基础，将个股上市首日回报率和个股IPO私募基金偏好作为主要变量进行实证分析，同时控制其余可能影响基金回报率的因素。研究结果显示：1) 上市公司在IPO时被私募基金偏好的程度与其个股首日回报率表现出显著的正相关关系，以此表明科创板背景下私募基金确实有更强的选股能力；2) 私募基金的选股能力是一个短期的效应，在新股上市首日表现显著，但并不会长期持续；3) 私募基金有明显的头部效应，优质的私募基金能够显著地表现出优于公募基金的业绩，但同时表现较差的私募基金也显著表现出比公募基金更低的业绩下限。

Abstract: Private equity funds, as an emerging force in the domestic fund market, have developed rapidly in recent years. To study the stock selection ability of private equity funds under the registration system of the Science and Technology Innovation Board, this paper takes listed companies on the board as the research object and uses a multiple regression model for modeling. Unlike previous studies, this article does not start from the performance of private equity funds, but based on the information of individual stock IPO subscription and issuance, as well as subsequent individual stock trading data. The first day return rate of individual stocks and individual stock IPO private equity fund preferences are used as the main variables for empirical analysis, while controlling for other factors that may affect the fund’s return rate. The research results show that: 1) There is a significant positive correlation between the degree of preference of private equity funds for listed companies at IPO and their first day return rate, indicating that private equity funds do have stronger stock selection ability under the background of the Science and Technology Innovation Board; 2) The stock selection ability of private equity funds is a short-term effect, showing significant performance on the first day of new stock listing, but it does not last for a long time: 3) Private equity funds have a clear head effect, high-quality private equity funds can significantly perform better than public funds, but at the same time, poorly performing private equity funds also significantly exhibit lower performance limits than public funds.