相对绩效与开放式基金投资者流动

Relative Performance and Investor Mobility of Open-End Mutual Funds

国内大多数相关文献仅研究了基金绝对绩效对净赎回的影响,在以DEA(数据包络分析)测算2003-2007年42只开放式基金相对效率的基础上,运用面板数据进一步分别考察了基金相对绩效对投资者申购、赎回、净赎回的影响。实证结果表明:基金投资者申购、赎回都与基金相对效率正相关;净赎回与相对效率负相关。本文进一步研究发现,基金投资者对相对绩效与绝对绩效反应方式差别不大,投资者在季度与年度评价期对绝对绩效的反应方式不一样。

Most existing papers in Chinese have only studied the impact of fund’s critical performance on net redemption. This paper first calculates the relative efficiency of 42 open-end mutual funds with DEA between 2003 and 2007, then investigates the effect of fund’s relative efficiency on investors’ purchase, redemption and net redemption. Empirical results indicate that fund investors’ purchase and redemption are positively correlated with fund’s relative efficiency while net redemption is negatively correlated with relative performance. This paper further shows that fund investors have similar response to relative performance and critical performance, but respond differently to critical performance in annual interval from quarterly interval.