基金规模变动影响投资行为吗?——来自开放式基金的经验证据  

Does Change in Size Affects Fund Investment Behaviors Evidences from China Open-ended Funds

作　　者：肖继辉[1] 许安然[1] 

机构地区：[1]暨南大学管理学院,广东广州510632

出　　处：《证券市场导报》2017年第7期59-69,共11页Securities Market Herald

基　　金：国家社科基金项目(14FJL002);教育部人文社科一般项目(15YJA630073);广东省自科基金项目(2014A030313372)的资助

摘　　要：流动性约束会对组合风险和收益产生重要影响,本文以我国偏股型开放式基金为样本,从流动性约束视角检查资金流入时组合流动性、分散化的改变,及其经济后果。研究发现,规模增加后基金的股票组合流动性下降、分散化提高。基金追加对已持股票的投资是组合流动性下降的主要原因,其中重仓股比非重仓股的流动性下降更明显。与规模小基金相比,规模大基金受到的流动性约束更大,在资金流入时更有效地控制组合流动性的恶化。基金通过增加持有股票的只数、降低重仓股比例等途径实现分散化,分散化一定程度上能缓解流动性约束,但不能根本解决规模扩大所带来的流动性下降。流动性下降将损害基金业绩,适度分散化可以改善流动性对业绩的不利影响,但过度分散化也不利于基金信息优势的发挥,对业绩不利。Liquidity constraints have significant influences on portfolio risk and return. From the perspective of liquidity constraints, this paper discusses the change of fund liquidity and portfolio diversification with fund inflow, and the consequence of such changes. This study finds that if the flow increases, liquidity of stock portfolio will decline but diversification will increase. The liquidity decline is due to the increase in absolute ownership of existing share holdings. Subjectto shareholding liquidity constraints, the liquidity of portfolio drops, and that is largely the result of bulk-holding stocks. Compared with small funds, large-scale fund suffers more liquidity constraints, so they will have more effective controls for the liquidity deterioration when there are cash inflows. Diversification increases mainly by increasing the number of stocks and reducing the proportion of bulk-holdings. Diversification can alleviate the liquidity constraints to a certain extent, but cannot essentially eliminate the decline on liquidity brought by cash flow. Decreases in liquidity damage performance. While proper diversification can alleviate the unfavorable effect brought by liquidity constrains, excessive diversification goes against access to information advantage, and have adverse effects on performance.

关 键 词：基金规模 开放式基金 投资组合 流动性 分散化 

分 类 号：F224[经济管理—国民经济] F832.51