有限理性对开放式基金“业绩-流量关系”的影响
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| Title | Irrational factors’ impacts on the Performance-Flow Relationship of mutual fund
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| 作者 | 伍燕然 王凯 李锐 韩立岩 苏凇 |
| Author | Wu Yanran,Wang Kai, Li Rui, Han Liyan and Su Song |
| 作者单位 | 北京师范大学经济与工商管理学院 |
| Organization | Business School, Beijing Normal University ;School of Economics and Management, Beihang University |
| 作者Email | bjfreelord@163.com;wangkaibnu@163.com;lirui67@bnu.edu.cn;hanly1@163.com;sus@bnu.edu.cn |
| 中文关键词 | 基金流量 投资者情绪 基金分拆 基金赎回异象 明星效应 |
| Key Words | Funds Flow; Investor Sentiment; Fund Split; Redemption Anomaly of Mutual Fund; Convexity |
| 内容提要 | 本文首次探究了投资者情绪和“基金分拆的追逐行为”两个有限理性因素对基金“业绩-流量关系”（Performance-Flow Relationship，PFR）的影响，并进一步探究了影响机制，我们认为这是来源于投资者的框架偏差。首先，我们考虑了绝对和相对基金业绩，采用了三因子、四因子和五因子模型，全面论证了基金投资者存在明显的业绩追逐行为，即”明星效应”存在，说明国内开放式基金市场的“赎回异象”并不存在。其次，我们发现投资者情绪和“基金分拆追逐”不但对基金的净流入有显著的正向影响，而且也会对基金的“业绩-流量关系”产生影响；即投资者情绪会增强基金流量对基金绝对业绩的敏感度，但是会减弱对相对业绩的敏感度，同时投资者情绪也会弱化“明星效应”的影响；分拆会同时减弱基金流量对基金绝对业绩和相对业绩的敏感度，但是不会影响“明星效应”。意味着投资者有限理性的行为会影响其理性的行为。第三，我们发现基金业绩和投资者情绪均是通过影响投资者的申购行为，而不是赎回行为而对基金的流量产生影响的。最后，我们进一步论证了基金投资者对分拆以及情绪噪音的非理性追逐会损害其长期收益。 |
| Abstract | We first explore the effects of two irrational factors, investor sentiment and chasing behavior of fund splits(CBFS), on the flow and the Performance-Flow Relationship(PFR) of mutual fund and we believe they come from the Framing Bias of mutual fund investors. We also investigate more deeply on the mechanism of the impacts of the two factors. First, our results support that investors in Chinese mutual fund market chase past fund performance and the PFR is convex. Second, we find that investor sentiment and CBFS both have significant positive impacts on the net flow and investor sentiment will weaken the convexity but CBFS will not, which means the investors are irrational. Third, fund performance and investor sentiment influence the net flow mainly by influencing the purchasing rather than the redemption behavior of investors. Finally, we further demonstrate that investors’ irrational chasing for sentiment and fund splits can damage their long-term returns. |
| 文章编号 | WP1221 |
| 登载时间 | 2017-09-12 |
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