中国开放式基金投资者申购赎回行为研究
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摘要
本文以我国股票型开放式基金投资者的申购赎回行为为研究对象,试图通过分析开放式基金份额变动率与证券市场回报、基金业绩等十大因素的关系来考察影响投资者申赎行为的因素,并对投资者申赎行为是否理性做进一步的分析。
本文通过分阶段回归(以半年为一个考察区间)、区分不同市场环境回归(牛市、熊市)以及综合回归,从三个层面考察影响开放式基金申购赎回的因素。实证结果表明：上期证券市场回报、基金的累计平均净值增长率对开放式基金当期的申购、赎回和净申购都具有显著的正向影响；基金存续时间、基金评级与基金的申购和净申购存在正相关关系,与基金的赎回存在负相关关系；对基金规模的分析表明,规模大的基金能吸引更多的申购,但却不能有效降低基金的赎回；个人持有比例和基金单位净值这两个因素比较特殊,在牛市、熊市不同的市场环境中,与基金申购赎回的关系有所不同。个人持有比例与申购赎回在牛市阶段呈正向关系,而在熊市阶段呈反向关系；单位净值与申购在牛市阶段呈反向关系,熊市阶段呈正向关系。
在对开放式基金投资者申购赎回行为是否理性的实证检验过程中,本文使用累计平均超额回报率(CAR)模型和FF三因素模型分别进行直接检验和间接检验。CAR模型的实证结果表明：被投资者净赎回的基金与被投资者净申购的基金在未来大多数时期业绩表现没有显著差异。在某些时期,被投资者净申购的基金的未来表现甚至比净赎回的基金差。而FF三因素模型更证明了被投资者申购的基金表现明显不如被投资者抛弃的基金,投资者基本上没有表现出明显的鉴别优秀基金的能力。
由此,本文建议开放式基金投资者应该增强独立思考能力,根据自身理财目标和风险承受能力选择长期业绩表现良好、有品牌、份额稳定的基金长期持有,以获得比较稳定的回报。建议基金公司通过保持良好的基金业绩、树立良好的品牌形象、设置合理的收费机制和建立开放式基金投资者信息数据库等手段,吸引投资者,保持基金份额的稳定。建议监管部门通过加强投资者教育、创建良好的证券市场环境、加强基金信息披露的透明度及披露频率、规范基金公司的销售宣传活动,维护基金持有人的利益,促进基金行业的稳健发展。
This paper focuses on investor's purchase and redemption behavior on the open-end fund market in China. To explore the factors affecting investor's behavior, I analyze the relation between fund share's rate of change and 10 possible factors such as market return and fund performance, and further examine the rationality of investor's behavior.
Three major methods employed here to study the factors contributing to purchase and redemption include multi-stage regression on semi-annual data, regressions with different market trends (bull and bear), and comprehensive regression. The empirical results indicate that market return of last period and growth rate of cumulative average return have significantly positive impact on purchase and redemption as well as net purchase of this period, and that the span of fund's existence and fund's rating are positively correlated with purchase and net purchase but negatively correlated to fund's redemption, and that larger funds have advantage in attracting purchase but not in preventing redemption, and that two factors-household shareholding ratio and fund's unit net asset value-are special in that their relation to purchase and redemption vary in bull and bear markets:in bull market household shareholding ratio is positively correlated to purchase, while unit net asset value is negatively correlated, and vice versa in bear markets.
To test the rationality of investor's purchase and redemption behavior, I adopt the cumulative abnormal returns (CAR) model and the FF 3-factor model for direct and indirect tests respectively. The outcome shows little differences between the funds under redemption and the ones on purchase in terms of their performance, demonstrating investor's limited capability in picking quality funds.
Therefore, this paper suggests investors think independently and choose, according to their investment goal and risk-bearing capacity, the well-performed and stable-sized fund with moderately concentrated shares for long-term investment, so as to achieve smooth return. To attract investors, the fund management companies should build the database of investor's characteristics, keep a good level of performance, establish their brand name, and set a reasonable charge mechanism. For protecting investor and boosting the development of the fund industry, the regulatory institutions can promote investor education, improve security market structures, enforce transparency and frequency of fund's disclosure of information, and standardize fund's marketing and sales.
本文通过分阶段回归(以半年为一个考察区间)、区分不同市场环境回归(牛市、熊市)以及综合回归,从三个层面考察影响开放式基金申购赎回的因素。实证结果表明：上期证券市场回报、基金的累计平均净值增长率对开放式基金当期的申购、赎回和净申购都具有显著的正向影响；基金存续时间、基金评级与基金的申购和净申购存在正相关关系,与基金的赎回存在负相关关系；对基金规模的分析表明,规模大的基金能吸引更多的申购,但却不能有效降低基金的赎回；个人持有比例和基金单位净值这两个因素比较特殊,在牛市、熊市不同的市场环境中,与基金申购赎回的关系有所不同。个人持有比例与申购赎回在牛市阶段呈正向关系,而在熊市阶段呈反向关系；单位净值与申购在牛市阶段呈反向关系,熊市阶段呈正向关系。
在对开放式基金投资者申购赎回行为是否理性的实证检验过程中,本文使用累计平均超额回报率(CAR)模型和FF三因素模型分别进行直接检验和间接检验。CAR模型的实证结果表明：被投资者净赎回的基金与被投资者净申购的基金在未来大多数时期业绩表现没有显著差异。在某些时期,被投资者净申购的基金的未来表现甚至比净赎回的基金差。而FF三因素模型更证明了被投资者申购的基金表现明显不如被投资者抛弃的基金,投资者基本上没有表现出明显的鉴别优秀基金的能力。
由此,本文建议开放式基金投资者应该增强独立思考能力,根据自身理财目标和风险承受能力选择长期业绩表现良好、有品牌、份额稳定的基金长期持有,以获得比较稳定的回报。建议基金公司通过保持良好的基金业绩、树立良好的品牌形象、设置合理的收费机制和建立开放式基金投资者信息数据库等手段,吸引投资者,保持基金份额的稳定。建议监管部门通过加强投资者教育、创建良好的证券市场环境、加强基金信息披露的透明度及披露频率、规范基金公司的销售宣传活动,维护基金持有人的利益,促进基金行业的稳健发展。
This paper focuses on investor's purchase and redemption behavior on the open-end fund market in China. To explore the factors affecting investor's behavior, I analyze the relation between fund share's rate of change and 10 possible factors such as market return and fund performance, and further examine the rationality of investor's behavior.
Three major methods employed here to study the factors contributing to purchase and redemption include multi-stage regression on semi-annual data, regressions with different market trends (bull and bear), and comprehensive regression. The empirical results indicate that market return of last period and growth rate of cumulative average return have significantly positive impact on purchase and redemption as well as net purchase of this period, and that the span of fund's existence and fund's rating are positively correlated with purchase and net purchase but negatively correlated to fund's redemption, and that larger funds have advantage in attracting purchase but not in preventing redemption, and that two factors-household shareholding ratio and fund's unit net asset value-are special in that their relation to purchase and redemption vary in bull and bear markets:in bull market household shareholding ratio is positively correlated to purchase, while unit net asset value is negatively correlated, and vice versa in bear markets.
To test the rationality of investor's purchase and redemption behavior, I adopt the cumulative abnormal returns (CAR) model and the FF 3-factor model for direct and indirect tests respectively. The outcome shows little differences between the funds under redemption and the ones on purchase in terms of their performance, demonstrating investor's limited capability in picking quality funds.
Therefore, this paper suggests investors think independently and choose, according to their investment goal and risk-bearing capacity, the well-performed and stable-sized fund with moderately concentrated shares for long-term investment, so as to achieve smooth return. To attract investors, the fund management companies should build the database of investor's characteristics, keep a good level of performance, establish their brand name, and set a reasonable charge mechanism. For protecting investor and boosting the development of the fund industry, the regulatory institutions can promote investor education, improve security market structures, enforce transparency and frequency of fund's disclosure of information, and standardize fund's marketing and sales.
引文
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[3]Andre Santos and Joao Tusi and Newton Da Costa, Jr and Sergio Da Silva, "Evaluating Brazilian mutual funds with stochastic frontiers," Economics Bulletin,2005,13,1-6
[4]Annaert, J., J. Van De Broeck, and R. Vennet, "Determinants of mutual fund underperformance:a Bayesian stochastic frontier approach", European Journal of Operational Research,2003,31,617-632
[5]Annaert, J.V.D.Broeck and R.V.Vennet, "Determinants of Mutual Fund Performance:A Bayesian Stochastic Frontier Approach ", European Journal of Operational Research,2003,151,617-632.
[6]Arya, A., Glover, J., S. Sunder, "Earnings management and revelation principle", Review of Accounting Studies,1998
[7]Barber, B. B., Odean, T., and Zheng, L., "The behavior of mutual fund investors, University of California at Davis", Working Paper,2000.
[8]Battese, G.E., and Coelli, T.J., "Frontier Production Functions, Technical Efficiency and Panel Data with Application to Paddy Farmers in India", Journal of Productivity Analysis 1992,3,153-169
[9]Battese, GE., and G.S. Corra, "Estimation of a Production Frontier model: with Application to the Pastoral Zone of Eastern Australia" Australian Journal of Agricultural Economics,1077,21,169-179
[10]Bergstresser, D. and J. Poterba, "Do After-tax Returns Affect Mutual Fund Infows Journal of Financial Economics,",2002,63,381-414.
[11]Berk, J. B. and Green, R. C., "Mutual Fund Flows and Performance in Rational Markets, Journal of Political Economy,2004,112,1269-1295.
[12]Brown, Stephen J., William N. Goestzman,"Performance Persistence." The Journal of Finance,1995,50,679-698
[13]Caporale G.Maria, Nikolaos Philippas and Nikitas Pittis, "Feedbacks Between Mutual Fund Flows and Security Returns:Evidence from the Greek Capital Market",Applied Financial Economics,2004,14,981-989.
[14]Carhart, Mark, "On Persistence in Mutual Fund Performance",Journal of Finance 1997,52,57-82.
[15]Carlson,R.S., "Aggregate Performance of Mutual Fund,1948-1967", Journal of Financial and Quantitative Analysis,,1970,3,1-31
[16]Chakarabarti, A., and H. Rungta., "Mutual Funds Industry in India:An In-depth Look into the Problems of Credibility, Risk and Brand",The ICFAI Journal of Applied Finance,2000,6,27-45
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