中国基金投资中“笨钱”现象的实证检验与判别  

The Empirical Test and Discrimination of "Dumb Money" Phenomenon in Chinese Mutual Fund

作　　者：张琳琳 李建宇 许索耳 刘庆富[2] Zhang Linlin;Li Jianyu;Xu Suoer;Liu Qingfu(School of Social Development and Public Policy,Fudan University;School of Economics,Fudan University)

机构地区：[1]复旦大学社会发展与公共政策学院 [2]复旦大学经济学院

出　　处：《管理世界》2023年第1期92-103,共12页Journal of Management World

基　　金：国家自然科学基金青年项目“基金管理规模的最优性和适度性研究:基于市场多方制衡的理论与实证”(批准号:72203043);国家自然科学基金面上项目“经济增速下滑风险下我国商业银行最低流动性水平的确定及应对”(批准号:71771056);国家自然科学基金委重大项目“经济计量建模与预测研究”(批准号:71991470)的资助和支持。

摘　　要：本文通过提出显著水平最优设定方法对已有的错误发现控制方法加以改进,以此确保基金业绩评估的准确可靠,并基于此对“笨钱”现象进行实证检验和判别。研究发现:(1)持有、申购绩劣或负收益基金是一类“笨钱”现象,在中国偏股型基金投资中普遍存在;但本文发现赎回正收益基金未必都是“笨钱”现象,其中赎回业绩表现具有持续性且没有下滑趋势的正收益基金的确是一种“笨钱”现象,而对业绩表现不具持续性或呈现逐年下滑之势的正收益基金进行赎回则不是“笨钱”现象。(2)基金管理规模和存续时长会对“笨钱”现象产生影响。(3)在多重统计检验过程中最优显著水平设定和错误发现控制等方面的表现,本文方法显著优于已有文献,而且本文方法还将有助于降低、甚至消除针对“笨钱”现象所存在的诸多争议和疑问。We first establish the optimal model to determine the significance level in the multiple hypothesis test,and then puts forward the formulas of misjudgment rate and misestimation rate that can effectively control the false discovery problem.Then,we obtain a more accurate evaluation of fund performance,as well as examine the "dumb money".The main conclusions are as follows:(1) Pursuing funds with poor performance is defined as "dumb money",which is common among Chinese mutual funds.However,the phenomena of redeeming funds with good performance might not be "dumb money" all the time.Among them,the redemption of funds without continuously good performance is not "dumb money".(2) The scale and duration of fund management also have impacts on the phenomenon of "dumb money".(3) In regard to the optimal significance level setting and false discovery control in multiple testing,our method is significantly better than existing methods.Moreover,our method can help to reduce or even eliminate disputes and doubts about the "dumb money" phenomenon.

关 键 词：笨钱现象 智钱现象 基金业绩评价 

分 类 号：F832.51[经济管理—金融学]