开放式基金赎回现象的实证研究

An Empirical Investigation on Open-end Fund Redemption

我国的开放式基金在迅速发展的同时也经历了大规模的赎回。本文运用2002年和2003年开放式基金的季度规模数据,对基金的赎回率进行实证分析。研究表明,我国开放式基金的赎回存在着非理性的行为,表现为赎回比率过大、赎回与风险及回报的关系不明显、短线的赎回十分突出等。这与我国开放式基金发行制度上的一些缺陷是分不开的。另一重要发现是,投资者普遍关心基金的系统风险,而不关心基金的总体风险,这在客观上助长了基金持股高度集中的行为。

Severe mutual fund redemption has caused instability to the security market.Using a unique data set of fund scale from 2002 and 2003,this study empirically investigates the fund redemption behavior.It is shown that the redemption rate is too high and has little relation with the fund performance.Significant large redemption is detected during the first quarter after fund establishment.All suggest that the fund redemption is somehow irrational.Part of this irrationality can be attributed to the management problems in current fund industry.Another finding is,while most funds do well in control systematic risk,the total risk of fund is actually very high due to unsystematic risk.This happens because investors care little about total risk of fund.