基金投资者的行为方式及其合理性——基于我国证券基金市场的经验证据  

Fund Investors’ Behavior and Rationality

作　　者：林树[1] 汤震宇[2] 李翔[1] 潘哲盛[1] 

机构地区：[1]南京大学会计学系/南京大学会计与财务研究院,江苏南京210093 [2]复旦大学管理学院,上海200433

出　　处：《证券市场导报》2009年第8期23-28,共6页Securities Market Herald

基　　金：国家自然基金"基金管理公司治理结构;内部控制与经营绩效:一项基于中国的实证研究"(项目批准号:70772034);"基金家族的繁衍及其溢出:一项基于发行权管制的实证研究"(项目批准号:70802027);教育部人文社会科学一般项目(07JC630035);南京大学文科规划项目(2008);南京大学商学院青年老师科研基金(2007)

摘　　要：本文运用开放式基金业绩与净申购、申购与赎回资金流的季度数据,研究了国内基金投资者的投资行为。研究发现,净申购指标与基金业绩呈显著正向关系,而基民的申购与赎回行为与业绩则是非线性关系。具体而言,对于业绩最差组的基金,其业绩越差,申购行为与赎回行为均显著增强;对于业绩最好组的基金,业绩越好,申购越多,而赎回却无显著变化。国内基金投资者表现出与股票投资者不一样的行为方式,但本文通过对赢家基金组合与输家基金组合的业绩持续性检验发现其行为是合理的。We investigate the fund investor＇ s behavior in China market, using quarterly mutual fund performance, netflow, inflow and outflow data. It suggested that netflow is positively related to fund performance, but the relationship between the inflow or outflow and fund performance in non-linear. For the worst fund portfolio, inflow and outflow are both negatively related to performance. For the best fund portfolio, inflow is positively related to performance, but there isn＇ t remarkable relationship between the outflow and performance. We also find that fund investor in China market behaved differently from stock investor, however, there exits rationality in their behavior through testing fund performance persistence using winner and loser portfolio method.

关 键 词：基金投资者 基金申购 基金赎回 投资者行为 

分 类 号：F830.39[经济管理—金融学]