市场情绪与基金投资策略:迎合还是修正?  

Market sentiment and fund investment strategy:Catering vs.revision

作　　者：王健[1,2] 易尚昆[1] 蒋忠中 秦绪伟[1,2] WANG Jian;YI Shang-kun;JIANG Zhong-zhong;QIN Xu-wei(School of Business Administration,Northeastern University,Shenyang 110167,China;Institute of Behavioral and Service Operations Management,Northeastern University,Shenyang 110167,China)

机构地区：[1]东北大学工商管理学院,沈阳110167 [2]东北大学行为与服务运作管理研究所,沈阳110167

出　　处：《管理科学学报》2024年第3期112-132,共21页Journal of Management Sciences in China

基　　金：国家社会科学基金资助重大项目(23&ZD050);国家自然科学基金资助项目(71971048,72371063,71971052,72331003);辽宁省科学事业公益研究基金(软科学研究计划)项目(2023JH4/106000122);中央高校基本科研业务费国防重大项目(2023GFZD01).

摘　　要：基金投资策略选择是学术界、监管者和市场参与者共同关注的焦点.本文根据行为资产定价理论将基金投资策略量化为组合收益的市场情绪敏感度,首次在微观层面对其按照市场状态分类界定为迎合情绪策略与修正情绪策略,通过理论模型和实证检验探究基金的投资策略选择对其流量、风险和经理努力程度产生的系统影响,从行为委托代理视角剖析基金业绩的影响机制.研究发现:基金采取迎合策略时,对投资者特别是个体投资者更有吸引力,但会对投资者利益造成隐性侵害,表现为基金未来的风险增大、收益降低,且基金经理在无需付出更多努力的情况下可获得更高报酬.进一步分析表明,基金经理为取悦投资者的消极放任行为是其业绩表现不佳的重要原因;基金采取修正策略时,产生的系列影响则完全相反.本研究为中小投资者的投资实践、基金治理与监管,及解释基金市场异象提供了新的思路与启示.Mutual funds’investment strategy is a common focus of academia,regulators,and market participants.By applying the behavioral asset pricing theory,this paper quantifies fund investment strategies as the portfolio return’s sensitivity to market sentiment,which is further classified into sentiment catering strategy and revision strategy at the micro-level.Systematic impacts of investment strategies on fund flow,risk,and the manager’s effort are explored through a theoretical model and empirical tests,and the influence mechanism on fund performance is analyzed from a behavioral principal-agent perspective.The results show that funds adopting the sentiment catering strategy are more appealing to investors,especially individual investors.However,this strategy undermines investors’interest by elevating risks and reducing future fund returns.Moreover,fund managers can collect higher compensation without increasing their efforts.Further analysis reveals that it is primarily the passive laissez-faire behavior of fund managers intended to please investors that leads to their funds’poor performance.The opposite occurs when the revision strategy is adopted.This study provides reference to small and medium-sized investors,fund governance and supervision,and sheds new lights on research on fund market anomalies.

关 键 词：市场情绪 基金投资策略 行为资产定价 行为委托代理 

分 类 号：F830.91[经济管理—金融学]