投资者结构、流动性风险与基金业绩  

Investor Structure,Liquidity Risk and Fund Performance

作　　者：王祎帆 杨翰方 Wang Yifan;Yang Hanfang

机构地区：[1]中国人民大学统计学院 [2]中国人民大学应用统计科学研究中心

出　　处：《统计研究》2024年第9期101-114,共14页Statistical Research

基　　金：国家自然科学基金委员会专项项目“双循环背景下我国普惠金融高质量发展路径与理论框架”(72341023);国家自然科学基金委员会专项项目“数字经济转型对普惠金融体系的影响、机制与应对策略”(72341025)。

摘　　要：机构投资者作为资本市场的压舱石,对基金流动性以及业绩稳定性至关重要。然而,关于机构投资者如何影响基金流动性风险及业绩的研究仍显不足。为充分理解机构投资者的投资行为,本文基于流动性风险的视角,选取我国678支开放式股票型和偏股混合型基金为研究对象,采用Fama-MacBeth模型和固定效应模型,分析基金投资者结构对基金流动性风险及业绩的影响。研究发现,基金资金来源中机构投资者占比上升会提升基金流动性风险,进而影响基金业绩。规模大、特质风险低、业绩好、自持比例高的基金可以有效缓解该影响。本文的研究有助于为机构投资者培育、长期资金资本形成以及推动金融高质量发展提供参考与支撑。Institutional investors,as the stabilizing force of the capital market,play a crucial role in the liquidity and performance stability of funds.However,research on how institutional investors influence fund liquidity risk and,consequently,fund performance remains insufficient.To better understand the investment behavior of institutional investors,this study,from the perspective of liquidity risk,examines 678 open-end equity and equity-biased hybrid funds in China.Using the Fama-MacBeth model and fixed effects model,the study analyzes the impact of fund investor structure on fund liquidity risk and performance.The findings reveal that an increase in the proportion of institutional investors in a fund's capital source raises the fund’s liquidity risk,which in turn affects its performance.However,funds that are larger in size,have lower idiosyncratic risk,better performance,and higher self-holding ratios can effectively mitigate this impact.This research provides valuable insights for fostering institutional investors,forming long-term capital,and promoting high-quality development in the financial sector.

关 键 词：投资者结构 机构投资者 流动性风险 基金业绩 

分 类 号：F832.5[经济管理—金融学]