媒体关注度是否引起基金现金净流入?——基于中国开放式基金面板数据的证据

Does Media Attention Affect Fund Net Flow?——Evidence from Panel Data of Chinese open fund

基于投资者有限注意理论,研究基金的现金净流入与媒体关注度的关系。选取2004-2009年我国开放式偏股型基金的季度数据,通过手工搜集媒体关注度数据,构建固定效应的面板数据回归模型,对媒体关注度与基金的现金净流入的相关性进行回归分析,实证结果显示两者之间存在显著的正相关关系,表明投资者注意力的有限性使其对基金的购买受媒体关注度的影响,存在注意力驱动交易行为。但这种行为受到基金规模和基金成立时间的影响,基金规模越小,媒体报道所导致基金净流入越多,基金成立时间越短,投资者的注意力驱动交易行为越明显。

Based on the theory of investors＇ limited attentions, this paper examines the relationships between the net cash in-flow of funds and the media attentions. The selected quarterly data is derived from China＇s open-end stock funds, and the media attention data is manually collected. By constructing a regression model with fixed-effects, we conduct a regression analysis to find how the media attention correlates with the fund＇s net capital in-flows. The empirical results show that there are significant positive correlations between them, which indicate that the media attention has an impact, due to the limitedness of investors＇ attention, on the acquisition of the fund. Moreover, there are phenomena of attention-driven trading behavior. However, this type of behavior is directed by the fund size and the establishment time, specifically, the smaller the size of the fund, the more the net inflow of the fund aroused from media coverage. Similarly, the shorter the time-length calculated from the foundation of the fund, the more obvious the trading driven by investors＇ attention.