基金的业绩与资金流量之间关系的形态——基于半参数模型的研究  

The Shape of Fund Performance-Capital Flow Relationship in Chinese Open-end Fund Market:Based on the Semiparametric Model

作　　者：廖海波[1,2] 

机构地区：[1]四川大学商学院,四川成都610065 [2]北京大学经济学院,北京100084

出　　处：《系统工程》2015年第7期86-91,共6页Systems Engineering

摘　　要：证券投资基金的业绩与来自投资者的资金流量之间的关系,对基金管理者构成隐性的激励与约束机制。不同于已有的使用参数模型进行的研究,通过建立一个半参数模型刻画出我国基金业绩与资金流量之间关系的形态,结果发现没有"赎回异象"论所称的基金业绩与资金净流量负相关的现象。我国基金业绩与资金净流量之间是正相关的凸函数关系,可诱使基金经理为获得更高收入而令投资组合承担过度风险,这不利于基金投资者和资本市场稳定。The relationship between securities investment fund performance and investor’s capital flow is a kind of implicit incentive-restraint mechanisms for fund managers.This paper builds a semiparametric model to estimate the shape of the flow-performance relationship.The results show that the netflow-performance relationship is positive and that there is significant nonlinearity in the relationship which means the star funds can attract abnormal inflows.Therefor,the redemption anomaly is a sort of false impression.The result means that the flow-performance relationship in Chinese fund market would not bring negative incentive to fund manager,but make the manager have incentive to take too much risk to rank in top which is harmful for fund investors and capital market’s stability.

关 键 词：基金市场 业绩-资金流量关系 赎回异象 明星效应 半参数模型 

分 类 号：F830[经济管理—金融学]