开放式基金资金流、资产配置特征及其收益影响  

How Do Open-fund Flows Affect Asset Allocation and Its Performance？

作　　者：刘京军[1] 吴英杰[1] 

机构地区：[1]中山大学岭南学院

出　　处：《金融学季刊》2011年第1期120-139,共20页Quarterly Journal of Finance

基　　金：国家自然科学基金(70871124);国家杰出青年基金(70825002);中山大学高校基本科研业务费专项资金(0909063)的资助

摘　　要：本文分析了基金规模变化中的资金流动对基金资产配置以及基金收益的影响及影响途径，研究结果表明，基金的资金流入增加了基金的持股只数，也增加了基金的持股比例。而持股个数较多和持股比例较高的基金，其风险调整后的超额收益也较大。结果表明我国基金具有流动性动机交易特点，揭示了基金的资产配置决策在克服规模不经济过程中的积极作用，并验证了基金规模不经济的流动性假说。his paper analyzes the flow of funds and its effects on asset allocation and risk return. The results show that the inflow of funds increased the number of the fund＇s holdings, also increased the proportion of the fund＇s holdings. The more stocks shares and higher proportion the fund holds, the higher is risk-adjusted excess return. The results show that the motives of the fund are with liquidity trading characteristics. Our results also reveal that the fund＇s asset allocation decision-making process plays an active role in overcoming the disadvantage of fund＇s scale.

关 键 词：基金规模 流动性动机交易 资产配置 基金业绩 

分 类 号：F832.5[经济管理—金融学]