基金规模、投资者关注与基金业绩持续性

Fund Size, Investor Attention and Fund Performance Persistence

绩优基金是基金市场上的“明星”,吸引基民关注,但其优秀的业绩往往很难持续。“明星”基金业绩反转成为“流星”是行业常态,其背后的原因之一是基民的“追涨杀跌”行为。本文基于2005至2020年中国权益类公募基金数据,利用中介效应模型首次研究了“业绩—资金流量关系”对基金业绩持续性的影响。实证结果发现:(1)PFR会造成规模不经济。基金过去一年业绩越高,当季资金净流入越多,进而使得未来半年业绩下降。资金净流入是中介变量,发挥部分中介效应。(2)持股集中度降低可以解释规模不经济内在机制。资金净流入增加导致基金持股集中度降低,进而使得业绩下降,且这一机制对中小盘基金影响更迅速。(3)投资者时间序列维度有限关注影响PFR。牛市期间,乐观的市场环境弱化投资者对基金业绩的关注,因此PFR对基金业绩持续性没有影响。(4)投资者横截面维度有限关注影响PFR,表现为投资者仅根据简单业绩评价标准申购基金。历史单因子α高但不具有多因子α的基金会获得超额资金流入,使得基金经理“管理规模—管理能力”不匹配。进一步将样本划分为“伪明星基金”组和“真明星基金”组,发现规模不经济只存在于“伪明星基金”组。

High return funds are the stars in the fund market and attract investors’attention,but their excellent performance is not persistent.It is normal that star funds become“shooting stars”in market,and one of the most important reasons is the herd behavior of investors.Based on the data of China’s equity mutual funds from 2005 to 2020,the impact of“performance flow relationship”(PFR)on fund performance persistence is studied by using the mediating effect model.The empirical results show that:(1)PFR causes diseconomies of scale.The higher the performance of the fund in the past year,the more net fund flow in the current quarter,which will lead to a decline of the performance in the next half year.Net fund flow is apartial mediator.(2)The decrease ofholding concentration can explain the internal mechanism of diseconomies of scale.The increase of net fund flow leads to the decrease of fund holding concentration,which leads to the decline of performance,and this mechanism has a more rapid impact on small-cap and medium-cap funds.(3)Investors’limited rationality from time series dimension affects PFR.During the bull market,the optimistic market weakens investors’attention to fund past performance,so PFR has no effect on fund performance persistence.(4)Inves⁃tors’limited rationality from cross-sectional dimension affects PFR.Investors purchase funds based on simple performance evaluation criteria.The funds with one factorαbut without multi factorαin history get excess net fund flow,which causes the mismatch between management scale and management skill of fund managers.The sample is further divided into“pseudo star fund”group and“real star fund”group.It is found that diseconomies of scale only exist in“pseudo star fund”group.