有限理性对开放式基金业绩-流量关系的影响  

Effects of limited rational factors on performance-flow relationship of mutual funds

作　　者：伍燕然[1] 王凯 苏凇[1] 李锐[1] 韩立岩[3] WU Yan-ran;WANG Kai;SU Song;LI Rui;HAN Li-yan(Business School,Beijing Normal University,Beijing 100875,China;University of Chinese Academy of Social Sciences,Beijing 102488,China;School of Economics and Management,Beihang University,Beijing 100191,China)

机构地区：[1]北京师范大学经济与工商管理学院,北京100875 [2]中国社会科学院大学,北京102488 [3]北京航空航天大学经济管理学院,北京100191

出　　处：《管理科学学报》2019年第10期101-126,共26页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71671017; 71872016; 71572018; 71873020; 71371022)

摘　　要：首次探究了投资者情绪和“追逐基金分拆”两个有限理性因素对基金“业绩-流量关系”(performance-flow relationship,PFR)的影响,及其影响机制,并用投资者的框架效应、锚定效应、有限关注和迎合理论进行了解释.首先,文章充分论证了我国基金投资者存在明显的业绩追逐行为,国内开放式基金市场不存在“赎回异象”.其次,发现投资者的有限理性会影响其理性行为:投资者情绪和“追逐基金分拆”不但对基金的净流入有显著正向影响,对基金的“业绩-流量关系”也有显著影响;投资者情绪会增强基金流量对绝对业绩的敏感度,但是会减弱对相对业绩的敏感度,同时也会弱化“明星效应”;分拆会同时减弱基金流量对基金绝对和相对业绩的敏感度,但是不影响“明星效应”.第三,投资者情绪和基金业绩均是通过投资者的申购行为,而不是赎回行为而影响基金流量.最后,进一步论证了基金投资者对基金分拆以及情绪噪音的非理性追逐会损害其长期投资收益.This paper first explores the effects of two limited rational factors,investor sentiment and CBFS(chasing behavior of fund splits),on PFR(Performance-Flow Relationship)of mutual funds,which could be supported by Framing Bias,Anchoring effect,Limited attention and Catering theory.Three main conclusions are derived.First,investors in the Chinese mutual fund market chase past fund performance and there is no redemption anomaly.Second,investors’rational behavior will be affected by their limited rational behavior:investor sentiment and CBFS not only have significant positive impacts on the net inflow of funds,but also have impacts on the PFR of mutual funds.In other words,investor sentiment will enhance the sensitivity of fund flow to fund's absolute performance but weaken the sensitivity to both relative performance and star effects.CBFS would reduce the sensitivity of fund flows to both absolute and relative performance but would not affect star effects.Third,fund performance and investor sentiment influence the net flow mainly by influencing the purchasing rather than the redemption behavior of investors.Finally,investors'irrational chasing after sentiment and fund splits can damage their long-term returns.

关 键 词：基金流量 投资者情绪 基金分拆 基金赎回异象 框架效应 

分 类 号：F832.4S[经济管理—金融学] F832.5