基金市场存在绿色偏好吗?——基于投资者异质性的分析

Does Green Preference Exist in the Fund Market? Analysis Based on the Heterogeneity of Investors

在绿色金融体系构建上升为国家战略的背景下,面对吃紧的政府财政,引导社会资本"绿化"成为实现经济可持续发展的重要路径,评价与测度投资者的绿色偏好对于推动民间资本助力绿色金融发展具有重大意义。着眼于绿色证券投资基金领域,在充分考虑投资者异质性的基础上,借鉴传统基金"业绩-资金流量"关系的研究方法,利用静态与动态的非平衡面板数据及Fama-Mecbeth回归模型对投资者绿色偏好进行剖析发现:在绿色基金选择上,机构投资者更具绿色投资偏好,其业绩敏感性低且资金流量的持续性较长;而个人投资者对当期基金业绩的表现存在处置效应、绿色基金的持有也并无现状偏好,故尚未形成绿色价值投资理念;在投资结果上,机构投资者具有聪明钱效应,但个人投资者尚不具备判断绿色基金业绩未来走向的能力。进一步研究发现,个人投资者的处置效应多集中在中等业绩水平的基金上,且在熊市中绿色基金被投资者视为避险投资受到业绩追逐。基于此,提出进一步培养绿色投资者的建议。

Under the background that the construction of green financial system has become a national strategy,and in the face of tight government finance,guiding the"greening"of social capital has become an important path to achieve sustainable economic development.It is of great significance to evaluate and measure the green preferences of investors to promote the development of green finance by making use of private capital.This paper focuses on the field of green securities investment funds,and makes analysis on the green preference of investors by taking the heterogeneity of investors into full consideration.The research method of"performance-capital flow"of traditional fund is borrowed,and static and dynamic unbalanced panel data and Fama-Mecbeth regression model are used to make the analysis.The results show that in the selection of green funds,institutional investors have more green investment preference with low performance sensitivity and long duration of capital flow.However,individual investors have disposal effect on the performance of current fund,and there is no current preference for holding green fund,so green value investment concept has not been formed.In terms of investment results,institutional investors have smart money effect,but they do not have the ability to judge the future trend of the performance of green fund.Further research finds that the disposal effect of individual investors concentrated mostly on the fund with medium level performance,and in the bear market,the green fund was regarded as a hedge investment by investors and was chased by performance.Based on this,this paper puts forward suggestions on further cultivating green investors.