偏股型开放式基金“赎回悖论”的动态特征及申购异象

The Dynamic Characteristics of the“Redemption Paradox”in the Open-end Stock Fund Formed Mainly by the Investment in Stock, and the Purchase Abnormality thereof

本文对偏股型开放式基金赎回悖论进行了系统研究,修正了传统的单期静态"赎回悖论",采用超额收益来评价基金业绩,根据月度面板模型分析了业绩对基金赎回的多期、动态影响,实证表明:基金当期业绩存在较强"赎回悖论",但历史业绩并不存在"赎回悖论",基金的历史业绩越好越能促进资金流入,且赎回悖论仅存在于老基金。为了进一步探索"赎回悖论"动态性的根源,作者引入SVAR模型分别分析了申购、赎回对业绩的多期脉冲反应,发现投资者在赎回行为上表现出相当的理性,并不存在处置效应,"赎回悖论"的根源在于投资者申购行为的异常。投资者反向选择策略、投资者对新基金的偏好以及基金市场的快速扩张是造成申购异象的直接原因。

In this article,we have made a systematic study on the redemption paradox(RP) in the open-end fund that is formed mainly by the investment in stock,revising the traditional RP of the single-period static state.We have used the super-profit to evaluate the performance of fund,and,based on the model of the monthly panel data,we have an alyzed the dynamic and multi-periods impact of the performance on the redemption of fund,The case has indicated that there exists a relatively efficient RP in the then period of performance of fund,but there does not exist the RP in the performance in history.The better the historic performance of fund,the more it can promote the capital in flow;the RP exists only in the old fund.In order to further explore the dynamic root of the RP,we have introduced the SVAR model to respectively analyze the multi-period pulse reaction of applying for purchase and of the redemp tion to the performance,and found that the investors show a good rationality in the behavior of redemption,that there does not exist the disposal effect,and that the origin of the RP is the abnormality of the behavior of investors in applying for purchase.The reverse investment strategy of investors,investors ’ preference for newly-issued fund and the quick expansion of the fund market,are the cause for the aberration in applying for purchase.