基金业绩与资金流量：我国基金市场存在“赎回异象”吗？

Historical Performance and Fund Flows:Does "Redemption Anomaly" Exist in China's Open-end Fund Market?

近年来,国内学者普遍使用基金短期(季度)回报率作为解释变量,基于平衡面板数据样本对我国基金"业绩—资金流量关系"进行实证检验,得出我国基金市场存在"赎回异象"的结论。本文分别以基金中长期(年度)的原始回报率、市场模型及Fama-French三因子模型调整后的回报率作为解释变量,运用固定效应的非平衡面板数据回归模型,实证发现:基金滞后年度回报率对资金净流量产生显著的正面影响,投资者总体上"追逐业绩"而非"反向选择","赎回异象"不过是一种假象。与此相关,本文还发现,与海外研究结论明显不同,我国明星基金不能获得超额的资金流入,投资者并不热衷于"追星"。最后,本文运用"委托—代理"理论对实证结果进行了理论分析,并提出了完善我国基金市场业绩激励机制的建议。

In recent years, based on balanced panel data sample, most research on ＂ performance-flow relationship＂ in domestic academic circles uses quarterly return as explanatory variable and has found that there is a ＂redemption anomaly＂ in China＇s open-end fund market. This study separately uses one year lagged raw return, one factor alpha （CAPM） and three factor alpha （Fama-French three factors model） as explanatory variable. Applying fixed effect unbalanced panel data regression model, we find that： one year lagged return has a significantly positive impact on fund flow. This shows investors generally chase those funds having a long term good performance, so the ＂ redemption anomaly＂ is a sort of false impression. We further find that the star funds can not attract abnormal inflows, which suggests domestic investors are not keen to chase star funds. Finally, on the basis of empirical results, we analyze the performance motivation mechanism of fund market combining with Principal-Agent Theory and give some advices.