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作 者:李金龙[1] Li Jinlong(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China)
出 处:《财经研究》2020年第9期153-168,共16页Journal of Finance and Economics
基 金:国家自然科学基金面上项目(71773072,71773073)。
摘 要:短期业绩亮眼的“爆款基金”很容易受到投资者的追捧,但投资者购买这类基金的收益并不高。文章认为,这与投资者的博彩偏好有关,即投资者赋予了资产出现极端正收益这种小概率事件过高的权重。文章以中国开放式基金为样本,构建基金投资者博彩偏好指标MAX,即半年内基金月收益最大值,探讨了它与基金资金流入的关系。研究发现:(1)MAX与基金资金流入显著正相关,MAX每增加1%,未来半年内基金资金净流入增加约1.43%。(2)MAX与基金未来业绩负相关,MAX每增加1%,未来半年内经过CAPM调整后的超额收益率降低0.15%,说明基于MAX购买基金是非理性的。(3)MAX可以显著正向预测基金个人投资者的资金净流入,但对机构投资者资金流入的影响并不明显。(4)有限关注理论并不能完全解释基金MAX与资金流动的上述关系,而这与投资者的博彩偏好相符。文章为理解基金业绩与资金流动的关系提供了新视角,加深了对基金投资者行为的认识,对保护基金个人投资者利益和监管机构投资者行为有启发。Domestic mutual fund investors show obvious short-term speculative behavior.They pay excessive attention to short-term performance,blindly chase funds with outstanding short-term performance,but the returns they earn are not high.Such behavior is related to investors’lottery preference.They exhibit a preference for assets with a small probability of a large payoff because they overweight the probabilities of such an extremely positive outcome in a payoff distribution.The pricing implications of this preference have been studied in the stock,option,and IPO markets.Here we investigate how lottery preference affects investors’mutual fund trading behavior.We use each fund’s maximum monthly return over the previous six months(hereafter,MAX)to represent investors’lottery preference,and intend to verify that MAX can positively predict fund flows.Our sample covers 852 actively managed open-ended equity funds from year 2005 to 2019.First,we investigate whether MAX can positively predict future fund flows.We find a positive and significant relationship between MAX and future fund flows:a 1%increase in MAX is associated with an incremental flow of 1.43%over the following six months.This is in line with investors’preference for extreme positive payoffs.Second,we investigate whether buying mutual funds based on MAX is rational.We find that high MAX cannot predict superior future performance:a 1%increase in MAX will cause 0.15%decrease in CAPM alpha.So it is irrational.Third,we investigate the heterogeneity of MAX-Flow relationship across investors with different rationality.We find that the positive MAX-Flow relationship exists in individual investors’mutual fund flows,but it is not significant in institutional investors’mutual fund flows.Lastly,we demonstrate that limited attention theory cannot fully explain our MAX-Flow relationship.After controlling the star fund effect,the positive MAX-Flow relationship still holds.The above results are robust.Our paper makes contributions to at least two areas of the liter
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