基金关注度和基金超额收益率关系的实证探索  

Empirical Research on the Relationship between Attention on Funds and Mutual Fund Excess Returns

作　　者：沈立 陈一昕 孔昆 张钟丹 王小雅 

机构地区：[1]华夏基金

出　　处：《投资研究》2022年第8期129-143,共15页Review of Investment Studies

摘　　要：本文利用基金吧数据衡量基金关注度,研究了基金关注度和基金未来超额收益率之间的关系。本文发现,当期关注度低的基金在未来一期平均超额收益率显著高于当期关注度高的基金。同时,本文控制了基金成立时长、规模、净现金流和动量因子与关注度的相互影响,发现基金关注度受到规模和动量因子的部分影响。此外,本文通过Fama-MacBeth回归,证明了关注度是显著影响基金超额收益率的风险因子。We use data from Online fund chatting boards and construct fund attention indicators in order to study the relationship between attention on funds and mutual fund future excess returns.It finds out that funds with less attention at past will beat those with more attention in terms of future excess returns.Also,after controlling effects of fund ages,sizes,net cash flows and momentum factors on attention indicators,it turns out that sizes and momentum factors have some effects on attention.Last but not least,attention is a statistically significant risk factor on mutual fund future excess returns by running Fama-MacBeth regressions.

关 键 词：基金关注度 基金超额收益率 风险因子 

分 类 号：F832.51[经济管理—金融学]