基金规模效应与业绩持续性:投资风格漂移视角  

Size Effect and Performance Persistence of Mutual Fund:a Style Drift Perspective

作　　者：邴涛 高圣贤 沙叶舟 Bing Tao;Gao Shengxian;Sha Yezhou

机构地区：[1]首都经济贸易大学金融学院,北京100070

出　　处：《证券市场导报》2022年第11期48-59,共12页Securities Market Herald

基　　金：国家自然科学基金面上项目“内幕操纵、多重均衡和市场间接管制研究”(71771008);国家自然科学基金青年项目“投资风格漂移对证券投资基金业绩的影响研究:时变资产定价理论视角”(72201179);北京市教委社科一般项目“北京金融租赁行业中的非标信息资产定价机制”(SM202210038005);首都经济贸易大学新入职青年教师科研启动基金项目“股票市场开放与价格发现研究——基于社会网络视角”(XRZ2020041)。

摘　　要：本文选取2005年1月至2022年6月的股票型和混合型基金数据,从投资风格漂移视角探寻了基金规模与基金业绩持续性之间的关系。研究发现:基金规模对基金业绩有显著的负向影响,即我国基金市场存在显著的规模效应;被动与主动投资风格漂移对该效应分别具有显著的正向和负向两个方向的影响,这解开了投资风格漂移无法解释基金规模效应的问题;机制分析表明,基金持仓成本的增加能够放大被动投资风格漂移对该效应的影响。本研究为监管部门对基金投资风格漂移监管提供了理论支持和经验证据,为基金公司的基金规模管理提供了新视角。Using the data of equity and hybrid mutual funds from January 2005 to June 2022,we investigate the relation between fund size and return persistence from the perspective of fund style drift.We confirm the existence of significant size effect that fund size is negatively associated with the subsequent return.Passive and active style drift has contributed distinctively to the size effect with statistically significant but different signs on the effect,which decrypts the puzzle that single style drift measures have failed attempts in explaining the size effect in previous research.Mechanism analysis shows that the relation between passive style drift and size effect is amplified by the increase of fund holding cost.Our findings provide theoretical support and experimental evidence for regulatory authorities to supervise fund style drift,and provide a new perspective for asset management corporations.

关 键 词：基金规模 投资风格漂移 基金业绩 收益贡献分解 

分 类 号：F832.5[经济管理—金融学]