投资者关注、资金流量与“聪明钱”效应——来自我国开放式基金的经验证据

Investor Attention, Fund Flow and Smart Money Effect, Anempirical Evidence from Chinese Open-ended Fund

以2005年1月~2017年9月我国市场主动型股票基金为样本,分析基金投资者决策时关注的因素。研究结果表明:投资者对基金回报率关注程度高,而容易忽视风险因素,如规模风险、价值风险、投资风险和盈利风险,并表现出明显的投机偏好。通过进一步区分基金规模和市场状态发现,投资者对大规模基金更倾向于更为稳定的回报率,而对小规模基金则更希望承担高风险而获取高回报;相比于市场上升期,在市场下降期时,经过风险调整后的回报率对资金流量的影响更为显著,投资者对市场因素、规模因素和价值因素的关注程度更高。此外,我国市场聪明钱效果并不显著,投资者难以关注所有有效信息,对基金的投资能力尚需提高。上述实证结果对政策制定者和基金管理者均有一定的参考价值和现实意义。

Taking the active equity funds of the Chinese market from January 2005 to September 2017 as samples, we analyze the factors that investors focus on. The results show that investors pay more attention to the fund＇s return rate, and easily ignore the risk factors, e.g.： scale factors, value factors, profitability and investment factors. In addition, the investors prefer speculation. By further distinguishing the fund size and market status, investors find that large-scale funds tend to have a more stable rate of return, while small-scale funds prefer to take high risks and get high returns; compared to the up period, the riskadjusted rate of return has a more significant impact on the flow of funds during the down period. Investors are more concerned with market factors, scale factors, and value factors. In addition, the smart money effect in China＇s market is not significant. Investors hardly focus on all effective information, and the ability to invest in funds needs to be improved. The empirical results have some reference value and practical significance for policy makers and fund managers.