业绩波动率、投资者资金流与基金经理冒险行为

Performance Volatility, Fund Flows and Fund Managerial Risk-Taking

本文构建了一个投资者理性预期的解析模型,并结合我国开放式基金2006-2012年的非平衡面板数据的实证分析,研究了基金业绩波动率对基金投资者资金流入的影响。结果发现:我国投资者资金流入水平与基金业绩波动率之间并没有表现出期望中的负相关关系,但投资者资金流-业绩敏感度与基金业绩波动率之间的负相关关系却是存在的,这表明我国基金投资者对基金波动风险表现出的是一种"有限追逐"态度,这种态度客观上构成了对基金经理"适度冒险"行为的隐性激励,但同时也会对基金经理的"过度冒险"行为有明显抑制作用。

Constructing an analytical model of rational investor expectation, and using an unbalanced panel-data of mutual fund in China over the period 2006 to 2012, we study how performance volatility affects cash flows to equity mutual funds. We that there is no negative relationship between them as we expected. But the negative correlation between the flow-performance sen- sitivity and the fund performance volatility exists. We provide evidence that Chinese investors are limit fund risk chasing. As a consequence, it is the modest incentive for the fund manager for risk-taking. However, it discourages excessive managerial risk-taking behavior.