自由资金流动与基金智钱效应研究

Free Cash Flow and Mutual Fund Smart Money Effect

本文构建基金营销与正常资金流动模型，修正我国基金自由资金流动指标，研究基金的智钱效应。选取2005-2012年的开放式基金数据，采用Carhart四因子模型对基金投资组合的研究发现，我国基金市场存在明显的智钱效应，自由资金流入的组合每年超额收益为5．2％-6．6％，比自由资金流出组合收益率显著高出2．3％-4．9％。固定效应和系统GMM模型结果表明，自由资金流动与基金业绩显著正相关，自由资金每提高1％，基金业绩提高0．04％-0．13％。进一步的研究发现，自由资金流动显著提高了基金资产配置的私有信息含量，也增加了基金资产组合投资的深度，本文的研究为智钱效应的原因提供了一种可能的解释。

Over-marketing phenomena may exist in Chinese mutual fund market. We control cash flow of marketing effect and construct the free cash flow index（FCF） to study the smart money effect. Choosing the Chinese open-ended funds data from 2005 to 2012 and using Carhart four fac- tors model to adjust investment risk, we find that the yearly excess return of free cash inflows funds portfolios is 5.2% --6.6% , which outperformance 2.3% --4.9% than free cash outflow funds. This result confirms smart money effect exists in Chinese funds market. Considering the momturm effect and size effect, we set the static and dynamic panel data model, the results show that FCF is positive correlated with funds return in statistic and free cash flow increase 1 unit, funds return in- crease 4--13 bits. Further result shows that funds private information and depth index of asset allo- cation may account for mutual fund smart money effect.