基金投资中的情绪传染与“愚钱效应”

Emotional Contagion and "Dumb Money Effect" in Fund Investment

本文采用2011~2017年我国开放式基金中的股票型基金和偏股型基金及其重仓股数据,以基金投资中基于金融委托代理关系产生的情绪传染现象为切入点,从资金流动过程中反映情绪传染的角度对其进行量化,考察“基金投资者情绪→基金流量→基金投资组合→基金重仓股价格”的传导结果。研究发现:基金投资中的情绪传染与未来的重仓股收益显著负相关,即基金投资中存在因情绪传染而引发的“愚钱效应”;进一步区分乐观情绪传染与悲观情绪传染,发现二者对重仓股收益存在非对称影响,乐观的情绪传染要比悲观的情绪传染影响更大。本研究从新的视角解释了基金投资中有关“愚钱效应”与“智钱效应”的争论,可为基金投资者、基金管理公司及证券监管部门提供有益参考。

By employing the data of stock funds, partial equity fund and their heavy warehouse stocks of open-end funds in China from 2011 to 2017, this paper takes the emotional contagion phenomenon originating from the financial principal-agent relationship in fund investment as the breakthrough point, which is measured form the view that emotional contagion is reflected in the process of capital flow, and explores the conduction result of “ fund investors’ emotion→fund flow→fundportfolio→fu nd heavy warehouse stocks’ price”. The findings show that the emotional contagion in fund investment has significant negative correlation with the coming returns of fund heavy warehouse stocks, that is there is a “dumb money effect” in fund investment caused by emotional contagion;By further dividing emotional contagion into two different types: optimism emotion contagion and pessimism emotion contagion, the study finds they have asymmetric influence on heavy warehouse stocks’ returns, that the optimism emotion contagion has a greater impact. A series of robust tests support the above conclusions. By explaining the debate on the “dumb money effect” or “smart money effect” in fund investment from a new point of view, this study provides useful reference to fund investors, fund management companies, and securities regulatory authorities.