投资者行为与基金业绩:基于未预期资金流冲击的视角

Investor Behavior, Unexpected Cash Flow Shock and Mutual Fund Performance

基金资金流与基金业绩之间的关系一直是理论与实务界的热点问题。不同于已有研究,本文着重探讨了基金经理对资金流的不同预期如何引致基金经理不同的应对策略。具体地,基于2005年至2014年的基金历史数据,本文将资金流拆分为预期与未预期两部分,比较了两类资金流并特别关注了未预期资金流对基金业绩的影响及作用渠道。本文的实证结果表明:第一,总体来看,未预期资金流量与基金业绩之间呈正相关关系。第二,进一步分析发现,未预期资金与基金业绩之间的关系是非对称的,未预期赎回对基金业绩的负面影响程度要显著高于未预期申购对基金业绩的提升。第三,本文还发现未预期资金流量对基金业绩的影响可以部分地由基金现金持有比例得到解释。未预期净赎回较大时,基金经理会倾向于持有相对更多的现金以应对未预期到的大规模赎回,因而拉低其业绩。本文的相关研究结论对基金配置资产以及基金经理的激励机制建设具有重要的参考意义。

The relationship between cash flow and fund performance has been a hot issue in the theory and practice field. Different from the existing research, this paper mainly focused on the mechanism of the unexpected cash flow＇ s impact on fund performance. Based on the fund historical data from 2005 to 2014, this paper obtained a series of empirical results. First, overall, we found that the performance of funds that receive unexpected cash flow was positive on two risk-adjusted bases. Second, further analysis found that the relationship between unexpected cash flow and the fund performance was asymmetrical, unexpected redemption has significant stronger impact on fund performance than unexpected subscription. Third, we also found that the unexpected cash flow＇ s impact on fund performance can be partly explained by the proportion of cash holdings： when unexpected redemptions were large, fund managers would tend to hold relatively more cash to cope with large-scale redemptions that couldn＇t be expected, which would decrease its performance. The research conclusion has important reference significance in the fund-asset allocation and the construction of the incentive mechanism of fund managers.