择时能力与基金业绩:基于机构和个人基金投资者行为差异研究

Timing Ability and Fund Performance:A Study on the Behavioral Differences between Institutional and Individual Fund Investors

为活跃资本市场、提振投资者信心、促进资本市场的高质量发展,本文基于我国权益性基金产品的历史数据,分别衡量机构基金投资者和个人基金投资者的择时能力,并考察基金投资者择时能力与基金超额回报率等其他因素的关系。研究发现:(1)个人基金投资者的择时能力显著低于机构基金投资者,两类投资者的择时行为均降低了其实际投资回报。(2)个人基金投资者的择时能力与基金超额回报率显著负相关;市场行情越差,个人基金投资者的择时能力越差。基于此,建议合理配置资产,避免盲目择时;加强投资者教育,维护投资者利益;健全基金评价体系,强化投资者风险测评。

In order to activate the capital market,boost investor confidence,and promote high-quality development of the capital market,this article is based on historical data of equity fund products in China,measuring the timing ability of institutional and individual fund investors,and examining the relationship between fund investors‘s timing ability and other factors such as fund excess return.We found that:(1)the timing ability of individual fund investors is significantly lower than that of institutional fund investors,and the timing behavior of both types of investors reduces their actual investment returns.(2)The timing ability of individual fund investors is significantly negatively correlated with the excess return rate of the fund;The worse the market situation,the worse the timing ability of individual fund investors.Based on this,it is recommended to allocate assets reasonably and avoid blind timing;Strengthen investor education and safeguard investor interests;Improve the fund evaluation system and strengthen investor risk assessment.