共同基金业绩与流量的关系——基于分段线性模型和半参数模型的分析

Flow-Performance Relationship in the Mutual Fund Industry——Based on Piecewise Linear Model and Semi-parametric Model

从共同基金竞赛假设理论的前提条件着手进行分析,采用了分段线性模型和半参变系数模型对基金业绩与流量的关系进行检验,实证结果表明,基金流量和基金业绩排名之间存在正向且非对称的关系,但这种不对称性对样本是敏感的,即基金业绩与流量关系的不对称性受经济情况、基金年龄、基金总费率和家族规模等样本特征的影响。

Recent studies are less supportive of ＂Tournament Hypothesis＂ in the mutual fund industry.To provide a unified explanation to these seemingly contradictory results,the authors interpret the flow-performance relationship as an incentive scheme implicitly given to mutual fund managers by mutual fund investors.This paper explores whether the flow-performance relationship varies over time along business cycle and cross-section with fund attributes.Two methodologies are adopted in this study,namely piecewise linear model and semi-parametric varying-coefficient partially linear model.The empirical results show that the flow-performance relationship is sensitive to the sample chosen.