异质波动率与基金投资者行为:基于期限分解的视角  

Idiosyncratic volatility and fund investor behaviors:A perspective from the horizon-based decomposition

作　　者：刘洋溢 田正磊[2,3] 罗荣华 LIU Yang-yi;TIAN Zheng-lei;LUO Rong-hua(School of Economics and Management,Southwest Jiaotong University,Chengdu 610031,China;School of Finance and Institute of Chinese Financial Studies,Southwestern University of Finance and Economics,Chengdu 611130,China;Big Data Laboratory on Financial Security and Behavior,SWUFE(Laboratory of Philosophy and Social Sciences,Ministry of Education),Chengdu 611130,China;Engineering Research Center of Intelligent Finance,Ministry of Education,Chengdu 611130,China)

机构地区：[1]西南交通大学经济管理学院,成都610031 [2]西南财经大学金融学院、中国金融研究院,成都611130 [3]教育部哲学社会科学实验室-西南财经大学金融安全与行为大数据实验室,成都611130 [4]智能金融教育部工程研究中心,成都611130

出　　处：《管理科学学报》2025年第3期162-190,共29页Journal of Management Sciences in China

基　　金：国家自然科学基金资助项目(71873110);国家自然科学基金资助青年项目(72203178).

摘　　要：中国基金投资者呈现出追逐历史业绩较好、波动较大的网红基金的行为特征,并因此在基金业绩反转时遭受大额损失,本文通过将基金业绩生成过程的不确定性纳入基金投资者的学习模型,从理论上表明专业度不足的投资者在评判基金能力时会受到乐观偏误的影响,进而导致了基金异质波动率对基金资金流-业绩敏感性的非对称影响:当基金业绩较好(差)时,基金异质波动率越大,基金资金流-业绩敏感性越高(低).这也使得基金异质波动率可以解释基金资金流-业绩凸性谜题:基金异质波动率越大,基金资金流-业绩凸性关系越显著.通过将基金异质波动率分解为持久部分(长期异质波动率)和短期波动部分(短期异质波动率),本文还发现只有长期异质波动率对基金资金流-业绩凸性有显著的影响,而短期异质波动率则没有显著影响.基金长期异质波动率无助于提升基金历史业绩对未来业绩的预测能力,且对于个人投资者资金流的影响更为显著,表明这一影响是投资者的行为偏差所导致的.本文的研究具有重要的政策启示:应加强对基金公司营销的监管,避免网红基金的过度泛滥;更重要的是应大力加强投资者教育,提升投资者专业度,以规避专业度不足的投资者在学习基金能力时的乐观偏误。Chinese mutual fund investors tend to chase funds with better historical performance and higher idiosyncratic volatility,leading to huge losses when fund performance reverses in the future.By incorporating the uncertainty of the fund return-generating process into the investor learning model,this paper theoretically shows that investors with insufficient financial literacy are subject to the optimism bias while assessing the fund's skills.This behavior results in an asymmetric impact of a fund's idiosyncratic volatility on fund flowperformance sensitivity:When a fund performs well(poorly),the higher the fund's idiosyncratic volatility,the higher(lower)the fund flow-performance sensitivity.The results show that a fund's idiosyncratic volatility can explain the fund flow-performance convexity puzzle:The higher the fund's idiosyncratic volatility,the more significant the fund flow-performance convexity relationship.Furthermore,by decomposing a fund's idiosyncratic volatility into a persistent component(long-run idiosyncratic volatility)and a short-term volatile component(short-run idiosyncratic volatility),the paper finds that only long-run idiosyncratic volatility has a significant impact on the fund flow-performance convexity,while short-run idiosyncratic volatility does not.Long-run idiosyncratic volatility does not help to improve the predictive power of historical fund performance on future performance.It significantly impacts individual investors'fund flows,suggesting that this effect is due to investors'behavioral biases.The research in this paper has important policy implications:The regulation of fund companies'marketing should be strengthened to prevent funds from going viral.More importantly,investor education should be vigorously strengthened to enhance investors'sophistication and help them circumvent the optimism bias when learning the fund's skills for investors with limited financial literacy.

关 键 词：异质波动率 基金资金流-业绩凸性 卡尔曼滤波 乐观偏误 

分 类 号：F832[经济管理—金融学]