基金业绩、净值波动与赎回异象

Fund Performance,Fund Net Value Variance and Fund Redemption Anomaly

检验了基金业绩与净赎回的关系和基金净值波动性与净赎回的关系。研究结果显示基金净赎回率与上季度的基金收益显著负相关,表明基金市场并不存在与业绩相关的赎回异象。研究还发现,基金净赎回率与基金净值的波动率和基金的非系统风险均呈显著的负相关关系,即我国基金市场存在"风险——赎回异象"。该研究结果表明,中国投资者是风险追逐型的。由于投资者对风险的追逐,风险与收益的关系反转为风险越大收益越低。

This paper checks the relationship between fund performance and fund net redemption, and the relationship between fund net value variance and fund net redemption. The results show that the present fund redemption rate is negatively related to the past quarterly fund return. Our positive studies verify that the redemption anomaly doesn＇ t exist in fund market. However, our farther observation shows that the present fund redemption rate is negatively related to the variance of fund net value and nonsystematic risk of fund return. The empirical result verifies the existence of the risk - redemption anom- aly in fund market and Chinese fund investors prefer to chasing risk.