绿色基金投资者的业绩敏感度分析——基于半参数模型的实证研究  

Analysis of Performance Sensitivity of Green Fund Investors—An Empirical Study Based on Semi Parametric Model

作　　者：董洺玮 Mingwei Dong(School of Economics and Management,Nanjing Forestry University,Nanjing,Jiangsu,China)

机构地区：[1]南京林业大学经济管理学院,江苏南京

出　　处：《管理科学与研究（中英文版）》2022年第8期44-51,共8页Management Science and Research

摘　　要：研究绿色基金业绩与资金净流入的关系有助于分析我国绿色基金市场上投资者的申赎行为和投资粘性。本文在综合考虑了二者之间线性与非线性关系的基础上构建起半参数可加模型,从动态非线性角度分析了我国绿色基金投资者的申赎行为和投资粘性。研究结果表明,我国绿色基金投资者不仅能够根据业绩变化理性地调整自身的申赎行为,并且具有更低的业绩敏感度。Studying the relationship between green fund performance and net capital inflow is helpful to analyze the redemption behavior and investment stickiness of investors in China's green fund market.This paper constructs a semi parametric additive model based on the comprehensive consideration of the linear and nonlinear relationship between the two,and analyzes the redemption behavior and investment stickiness of green fund investors in China from a dynamic nonlinear perspective.The results show that Chinese green fund investors can not only adjust their redemption behavior rationally according to the performance changes,but also have lower performance sensitivity.

关 键 词：基金 半参数可加模型 投资者行为 业绩敏感度 

分 类 号：F83[经济管理—金融学]