投资者有限理性与基金业绩持续性:基于规模错配视角  

Investor Rationality and the Persistence of Mutual Fund Performance:A Perspective Based on Size Mismatch

作　　者：张琳[1] 王世琪 Zhang Lin;Wang Shiqi

机构地区：[1]北京工商大学,北京100048

出　　处：《上海金融》2024年第12期3-17,共15页Shanghai Finance

摘　　要：本文以2014-2023年中国股票型与偏股混合型主动管理基金为样本,研究因子相关收益率与资金流量的关系及对未来业绩的预测能力。研究发现:(1)主动型基金存在基金经理能力与规模不匹配的问题,原因在于投资者在分配资金时存在有限理性问题,容易将部分暴露于因子所带来的收益率理解为基金经理出色的管理能力所创造的超额收益率,进而对一些基金投入过多的资金;(2)前期因子相关收益率为正的基金,通常会使其下一期资产规模过大,超出基金经理的管理能力,进而导致基金未来的投资业绩较差;(3)基金投资者群体差异以及市场环境的不同对于上述规律有显著影响。This study examines the relationship between factor-related returns and fund flows,as well as their predictive ability for future performance,using a sample of actively managed equity funds and balanced hybrid funds in China from 2014 to 2023.The findings reveal that:(1)actively managed funds exhibit a mismatch between fund manager capability and fund size.This mismatch stems from investors'bounded rationality,where they mistakenly attribute factor-related returns to the superior management skills of fund managers,leading to excessive capital inflows into certain funds;(2)funds with positive factor-related returns in the prior period tend to experience excessive asset growth in the subsequent period,surpassing the managerial capacity of fund managers,which ultimately results in poorer future performance;(3)the relationship between factor-related returns,fund flows,and future performance is significantly influenced by differences among investor groups and varying market conditions.

关 键 词：基金规模 基金业绩 投资者行为 

分 类 号：F832.5[经济管理—金融学]