基金业绩对投资者申购、赎回行为的影响:考虑股市表现的证据  

The Influence of Fund Performance on Investors' Purchase and Redemption Behavior:Evidence with Considering Stock Market Cycle

作　　者：肖继辉[1] 

机构地区：[1]暨南大学管理学院,广州广东510632

出　　处：《审计与经济研究》2016年第4期89-100,共12页Journal of Audit & Economics

基　　金：教育部人文社会科学一般项目(15YJA630073);广东省自然科学基金项目(2015A030313381);广东省学科建设项目(2013WYXM0013)

摘　　要：基金的净资金流为申购资金流入减去赎回资金流出的剩余。净资金流代表的是投资者申购和赎回资金相互抵消的结果,无法反应基金的资金流入和流出过程。为了全面检查基金投资者面临基金业绩时所作出的申购决策和赎回决策,以我国2005—2014年偏股型开放式基金为样本,将投资者行为区分为申购行为和赎回行为,系统检查"牛"、"熊"市下投资者的申购资金流入和赎回资金流出与基金业绩的关系,结果发现:(1)基金的申购量和赎回量均与基金的业绩表现显著正相关;(2)已有研究所发现的"赎回异象"在整体上并不存在,基金的业绩表现与基金的净流入正相关;(3)在不同股市周期,投资者的行为表现存在明显的差异性,在"牛市"投资者倾向于"追逐业绩",而在"熊市"则更倾向于"忽略业绩"。Net cash flow of funds is the trade-off of cash inflow and cash outflow. And the net cash flow is the result of purchase and redemption decisions made by investors. In order to systematically examine the reaction of investors in face of fund performance,this paper distinguishes the behaviors of investors into purchase and redemption,and has a further examination on the sensitivity of investors＇ reaction to fund performance in bull or bear market by using samples of open-end funds in China between the years of 2005 to 2014. The result shows：（ 1） both the purchase and redemption of a fund is positively related to fund performance;（ 2） the net flow of a fund has a positive correlation with the performance of the fund,indicating that the ＂Redemption Puzzle＂found in existing paper does not exist;（ 3） investors behavior differently in different stages of the stock market cycle. In the bull market,investors tend to be＂return chasing＂,while in the bear market,they tend to be＂return ignoring＂.

关 键 词：开放式基金 基金业绩 申购行为 赎回行为 股市周期 投资者情绪 赎回困惑 基金投资 

分 类 号：F830.39[经济管理—金融学]