开放式基金业绩与投资者的选择——基于中国动态面板数据对申购、赎回的分析

Open-ended Fund Performance and Investors' Choice: An Analysis on Purchase and Redemption Based on China's Dynamic Panel Data

国内相关文献仅探讨了开放式基金业绩对净赎回的影响,没有进一步探讨其对赎回、申购的影响。文章利用动态面板方法,分别检验了基金业绩对申购、赎回以及净赎回的影响。实证结果表明,中国开放式基金申购与历史业绩正相关,与即期业绩负相关;基金赎回、净赎回与基金业绩正相关。因而中国开放式基金具有完全不同于发达国家的PFR关系:"异常申购"、"异常赎回",以及由此导致的"异常净赎回"。研究中还发现,股市收益、分红等其他因素对申购、赎回也有重要影响。

Domestic related literatures only explore the impact of open-ended fund performance on net redemption, but do not further study its impact on redemption and purchase. This paper conducts the empirical test of the impact of fund performance on purchase, redemption and net redemption with dynamic panel method. Empirical result shows that the purchase of China＇s open-ended fund is positively correlated with past performance and spot performance, while fund redemption and net redemption are positively correlated with fund performance, thus the Performance-How-Relationship of China＇s open-ended fund are distinctly different from that of developed countries：＂abnormal purchase＂, ＂abnormal redemption＂, and ＂abnormal net redemption＂resulted from them. We also find that stock market return, dividend and other factors have also an important impact on fund investors＇purchase and redemption.