开放式基金投资者“用脚投票”研究  

The Research on “Vote with Feet” of Mutual Funds Investors

作　　者：冯金余[1] 

机构地区：[1]山东财经大学金融学院,山东济南250014

出　　处：《管理工程学报》2013年第3期214-222,共9页Journal of Industrial Engineering and Engineering Management

基　　金：国家社科基金一般资助项目(11BJY147);山东省政府泰山学者专项基金资助

摘　　要：在国内基金业治理水平低下的背景下,研究基金投资者的"用脚投票"具有重要意义。本文重点考察在牛市与熊市状态下,机构与个人投资者如何根据基金及其家族特征进行"用脚投票"。构建非平衡面板模型,以基金资金净流入度量投资者用脚投票,研究结果如下:第一,基金投资者"用脚投票"与股市周期、投资者类型密切相关。牛市期间资金流量显著受基金业绩、基金资产以及其家族规模等因素的影响,而熊市期间资金流量对上述因素敏感性下降,或运动方向相反。第二,个人投资者与机构投资者用脚投票方式不一样。第三,基金资金-业绩流量关系与股市周期、投资者类型以及业绩度量方式密切相关。进一步研究发现,牛市阶段基金业绩、家族规模等因素比熊市阶段能较好地预测未来收益,投资者在牛市比熊市理性,机构比个人投资者理性。本文据此提出了完善基金投资者"用脚投票"的政策建议。In the background of low-level governance of mutual funds＇ industry in China, studying ＂ vote with their feet＂ of fund investors is very important. This paper mainly talks about how institutional and individual investors ＂ vote with their feet＂ according to the properties of mutual funds ＇ and their family＇ s characteristics in bull and bear market conditions respectively. In this paper, We establish several unbalanced panel regression models to conduct related research, where investors＇ ＂voting with feet＂ are measured by net inflow of mutual funds, and fund performance are measured with raw return （ RR~ ） , Jensen＇ s Alpha （ Rcapm ） and three-factor Alpha （ R^p ） respectively. The results are as follows. Firstly, stock market environment has important impact on investors＇ choices. In the bull market, investors＇ fund flows are significantly affected by the changes of Fund performance, Fund asset size and their family assets, while during the bear market, fund flows are less sensitive to above factors, and move in opposite direction compared to those in bull market. Secondly, investors vote with feet differently. Individual investors are more sensitive than instituional investors, and their responses to fund performance contrast sharply with eachother. Individual investors are much more sensitive to fund performance than institutional investors （ For example, the former＇ s coefficients ofR^F are almost 5 times as the latter＇ s）, but Individual investors are less sensitive to different measuring ways of performance. Thirdly, the FPR （Flow-Performance-Relationship） of mutual funds are closely related to stockmarket cycles, investors types, and different ways of performance measuring. During the bull market, individual funds inflow are positively correlated with historical performance of mutual funds （the coefficients of RR~ ,Rca~ and RFF are all very significant ）, while institutional funds flow are less sensitive and only significantly correlated with risk-adju

关 键 词：基金业绩 基金治理 用脚投票 股市周期 异质投资者 

分 类 号：F832.5[经济管理—金融学]