投资者行为与基金业绩:基于未预期资金流冲击的视角
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摘要
基金资金流与基金业绩之间的关系一直是理论与实务界的热点问题。不同于已有研究,本文着重探讨了基金经理对资金流的不同预期如何引致基金经理不同的应对策略。具体地,基于2005年至2014年的基金历史数据,本文将资金流拆分为预期与未预期两部分,比较了两类资金流并特别关注了未预期资金流对基金业绩的影响及作用渠道。本文的实证结果表明:第一,总体来看,未预期资金流量与基金业绩之间呈正相关关系。第二,进一步分析发现,未预期资金与基金业绩之间的关系是非对称的,未预期赎回对基金业绩的负面影响程度要显著高于未预期申购对基金业绩的提升。第三,本文还发现未预期资金流量对基金业绩的影响可以部分地由基金现金持有比例得到解释。未预期净赎回较大时,基金经理会倾向于持有相对更多的现金以应对未预期到的大规模赎回,因而拉低其业绩。本文的相关研究结论对基金配置资产以及基金经理的激励机制建设具有重要的参考意义。
The relationship between cash flow and fund performance has been a hot issue in the theory and practice field. Different from the existing research, this paper mainly focused on the mechanism of the unexpected cash flow's impact on fund performance. Based on the fund historical data from 2005 to 2014, this paper obtained a series of empirical results. First, overall,we found that the performance of funds that receive unexpected cash flow was positive on two risk-adjusted bases. Second, further analysis found that the relationship between unexpected cash flow and the fund performance was asymmetrical, unexpected redemption has significant stronger impact on fund performance than unexpected subscription. Third, we also found that the unexpected cash flow's impact on fund performance can be partly explained by the proportion of cash holdings: when unexpected redemptions were large, fund managers would tend to hold relatively more cash to cope with large-scale redemptions that couldn't be expected, which would decrease its performance. The research conclusion has important reference significance in the fund-asset allocation and the construction of the incentive mechanism of fund managers.
The relationship between cash flow and fund performance has been a hot issue in the theory and practice field. Different from the existing research, this paper mainly focused on the mechanism of the unexpected cash flow's impact on fund performance. Based on the fund historical data from 2005 to 2014, this paper obtained a series of empirical results. First, overall,we found that the performance of funds that receive unexpected cash flow was positive on two risk-adjusted bases. Second, further analysis found that the relationship between unexpected cash flow and the fund performance was asymmetrical, unexpected redemption has significant stronger impact on fund performance than unexpected subscription. Third, we also found that the unexpected cash flow's impact on fund performance can be partly explained by the proportion of cash holdings: when unexpected redemptions were large, fund managers would tend to hold relatively more cash to cope with large-scale redemptions that couldn't be expected, which would decrease its performance. The research conclusion has important reference significance in the fund-asset allocation and the construction of the incentive mechanism of fund managers.
引文
[1]冯旭南和李心愉,2013,《参与成本、基金业绩与投资者选择》,《管理世界》第4期,48-58。
[2]蒋志平、田益祥、郑焕刚,2013,《业绩波动率、投资者资金流与基金经理冒险行为》,《投资研究》第8期,97-112。
[3]李曜和于进杰,2004,《开放式基金赎回机制的外部效应》,《财经研究》第12期,111-120。
[4]刘志远和姚颐,2005,《开放式基金的“赎回困惑”现象研究》,《证券市场导报》第2期,7-41。
[5]刘莎莎、刘玉珍、唐涯,2013,《信息优势、风险调整与基金业绩》,《管理世界》第8期,67-76。
[6]陆蓉、陈百助、徐龙炳、谢新厚,2007,《基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究》,《经济研究》第6期,39-50。
[7]莫泰山,2013,《中国开放式基金真的存在“赎回异象”吗?——对开放式基金业绩和资金流入关系的实证检验》,《投资研究》第9期,126-137。
[8]彭文平和陈延,2015,《基金利益冲突与管理努力替代——基于基金经理“一拖多”现象的研究》,《投资研究》第4期,129-142。
[9]肖峻和石劲,2011,《基金业绩与资金流量:我国基金市场存在“赎回异象”吗?》,《经济研究》第1期,112-125。
[10]张宗新和缪婧倩,2012,《基金流量与基金投资行为——基于动态面板数据模型的实证研究》,《金融研究》第4期,110-123。
[11]Baker M.and J.Wurgler,2007,“Investor Sentiment in the Stock Market”,Journal of Economic Perspectives,21(2),pp.129-152.
[12]Ben-Rephael A.,S.Kandel,and A.Wohl,2012,“Measuring Investor Sentiment with Mutual Fund Flows”,Journal of Financial Economics,104(2),pp.363-382.
[13]Bergstresser D.and J.Poterba,2002,“Do After-Tax Returns Affect Mutual Fund Inflows?”,Journal of Financial Economics,63(3),pp.381-414.
[14]Chevalier J.A.and G.Ellison,1997,“Risk Taking by Mutual Funds as a Response to Incentives”,Journal of Political Economy,105(6),pp.1167-1200.
[15]De Long J.B.,A.Shleifer,L.H.Summers,and R.J.Waldmann,1990,“Noise Trader Risk in Financial Markets”,Journal of Political Economy,98(4),pp.703-738.
[16]Elton E.J.,M.J.Gruber,and C.R.Blake,2012,“An Examination of Mutual Fund Timing Ability Using Monthly Holdings Data”,Review of Finance,16(3),pp.619-645.
[17]Gruber M.J.,1996,“Another Puzzle:The Growth in Actively Managed Mutual Fund”,Journal of Finance,51(3),pp.783-810.
[18]Guercio D.D.and J.Reuter,2014,“Mutual Fund Performance and the Incentive to Generate Alpha”,Journal of Finance,69(4),pp.1673-1704.
[19]Ippolito R.A.,1992,“Consumer Reaction to Measures of Poor Quality:Evidence from the Mutual Fund Industry”,Journal of Law and Economics,35(1),pp.45-70.
[20]Kacperczyk M.,C.Sialm,and L.Zheng,2005,“On the Industry Concentration of Actively Managed Equity Mutual Funds”,Journal of Finance,60(4),pp.1983-2011.
[21]Keswani A.and D.Stolin,2008,“Which Money Is Smart?Mutual Fund Buys and Sells of Individual and Institutional Investors”,Journal of Finance,63(1),pp.85-118.
[22]Li J.and A.Scherbina,2010,“Inheriting Losers”,Review of Financial Studies,24(3),pp.786-820.
[23]Nanda V.,2004,“Family Values and the Star Phenomenon:Strategies of Mutual Fund Families”,Review of Financial Studies,17(3),pp.667-698.
[24]Phalippou L.and M.Massimo,2005,“Mutual Funds and the Market for Liquidity”,EFA Moscow Meetings Paper.
[25]Sapp T.and A.Tiwari,2004,“Does Stock Return Momentum Explain the“Smart Money”Effect?”,Journal of Finance,59(6),pp.2605–2622.
[26]Shleifer A.and R.Vishny,1997,“The Limits of Arbitrage”,Journal of Finance,52(1),pp.35-55.
[27]Sirri E.R.and P.Tufano,1998,“Costly Search and Mutual Fund Flows”,Journal of Finance,53(5),pp.1589-1622.
[28]Smith K.V.,1978,“Is Fund Growth Related to Fund Performance?”,The Journal of Portfolio Management,4(3),pp.49-54.
[29]Spitz A.E.,1970,“Mutual Fund Performance and Cash Inflows”,Applied Economics,2(2),pp.141-145.
[30]Yan X.M.,2006,“The Determinants and Implications of Mutual Fund Cash Holdings:Theory and Evidence”,Financial Management,35(2),pp.67-91.
[31]Zheng Lu.,1999,“Is Money Smart?A Study of Mutual Fund Investors'Fund Selection Ability”,Journal of Finance,54(3),pp.901-933.
①除了现金和股票以外,股票型基金还持有少量债券和票据等,但这些资产在总体资产组合中通常占比都非常小,因此本文不予考虑。
①基于面板模型,本文采用稳健标准误,分别进行固定效应分析和随机效应分析,经检验选取固定效应模型对相关参数进行估计。下同。
①资金净赎回,表明资金流量数值为负,而其对基金业绩的边际效应为正,二者合计负正得负,即资金净流出越多,基金业绩越差。下同。
[2]蒋志平、田益祥、郑焕刚,2013,《业绩波动率、投资者资金流与基金经理冒险行为》,《投资研究》第8期,97-112。
[3]李曜和于进杰,2004,《开放式基金赎回机制的外部效应》,《财经研究》第12期,111-120。
[4]刘志远和姚颐,2005,《开放式基金的“赎回困惑”现象研究》,《证券市场导报》第2期,7-41。
[5]刘莎莎、刘玉珍、唐涯,2013,《信息优势、风险调整与基金业绩》,《管理世界》第8期,67-76。
[6]陆蓉、陈百助、徐龙炳、谢新厚,2007,《基金业绩与投资者的选择——中国开放式基金赎回异常现象的研究》,《经济研究》第6期,39-50。
[7]莫泰山,2013,《中国开放式基金真的存在“赎回异象”吗?——对开放式基金业绩和资金流入关系的实证检验》,《投资研究》第9期,126-137。
[8]彭文平和陈延,2015,《基金利益冲突与管理努力替代——基于基金经理“一拖多”现象的研究》,《投资研究》第4期,129-142。
[9]肖峻和石劲,2011,《基金业绩与资金流量:我国基金市场存在“赎回异象”吗?》,《经济研究》第1期,112-125。
[10]张宗新和缪婧倩,2012,《基金流量与基金投资行为——基于动态面板数据模型的实证研究》,《金融研究》第4期,110-123。
[11]Baker M.and J.Wurgler,2007,“Investor Sentiment in the Stock Market”,Journal of Economic Perspectives,21(2),pp.129-152.
[12]Ben-Rephael A.,S.Kandel,and A.Wohl,2012,“Measuring Investor Sentiment with Mutual Fund Flows”,Journal of Financial Economics,104(2),pp.363-382.
[13]Bergstresser D.and J.Poterba,2002,“Do After-Tax Returns Affect Mutual Fund Inflows?”,Journal of Financial Economics,63(3),pp.381-414.
[14]Chevalier J.A.and G.Ellison,1997,“Risk Taking by Mutual Funds as a Response to Incentives”,Journal of Political Economy,105(6),pp.1167-1200.
[15]De Long J.B.,A.Shleifer,L.H.Summers,and R.J.Waldmann,1990,“Noise Trader Risk in Financial Markets”,Journal of Political Economy,98(4),pp.703-738.
[16]Elton E.J.,M.J.Gruber,and C.R.Blake,2012,“An Examination of Mutual Fund Timing Ability Using Monthly Holdings Data”,Review of Finance,16(3),pp.619-645.
[17]Gruber M.J.,1996,“Another Puzzle:The Growth in Actively Managed Mutual Fund”,Journal of Finance,51(3),pp.783-810.
[18]Guercio D.D.and J.Reuter,2014,“Mutual Fund Performance and the Incentive to Generate Alpha”,Journal of Finance,69(4),pp.1673-1704.
[19]Ippolito R.A.,1992,“Consumer Reaction to Measures of Poor Quality:Evidence from the Mutual Fund Industry”,Journal of Law and Economics,35(1),pp.45-70.
[20]Kacperczyk M.,C.Sialm,and L.Zheng,2005,“On the Industry Concentration of Actively Managed Equity Mutual Funds”,Journal of Finance,60(4),pp.1983-2011.
[21]Keswani A.and D.Stolin,2008,“Which Money Is Smart?Mutual Fund Buys and Sells of Individual and Institutional Investors”,Journal of Finance,63(1),pp.85-118.
[22]Li J.and A.Scherbina,2010,“Inheriting Losers”,Review of Financial Studies,24(3),pp.786-820.
[23]Nanda V.,2004,“Family Values and the Star Phenomenon:Strategies of Mutual Fund Families”,Review of Financial Studies,17(3),pp.667-698.
[24]Phalippou L.and M.Massimo,2005,“Mutual Funds and the Market for Liquidity”,EFA Moscow Meetings Paper.
[25]Sapp T.and A.Tiwari,2004,“Does Stock Return Momentum Explain the“Smart Money”Effect?”,Journal of Finance,59(6),pp.2605–2622.
[26]Shleifer A.and R.Vishny,1997,“The Limits of Arbitrage”,Journal of Finance,52(1),pp.35-55.
[27]Sirri E.R.and P.Tufano,1998,“Costly Search and Mutual Fund Flows”,Journal of Finance,53(5),pp.1589-1622.
[28]Smith K.V.,1978,“Is Fund Growth Related to Fund Performance?”,The Journal of Portfolio Management,4(3),pp.49-54.
[29]Spitz A.E.,1970,“Mutual Fund Performance and Cash Inflows”,Applied Economics,2(2),pp.141-145.
[30]Yan X.M.,2006,“The Determinants and Implications of Mutual Fund Cash Holdings:Theory and Evidence”,Financial Management,35(2),pp.67-91.
[31]Zheng Lu.,1999,“Is Money Smart?A Study of Mutual Fund Investors'Fund Selection Ability”,Journal of Finance,54(3),pp.901-933.
①除了现金和股票以外,股票型基金还持有少量债券和票据等,但这些资产在总体资产组合中通常占比都非常小,因此本文不予考虑。
①基于面板模型,本文采用稳健标准误,分别进行固定效应分析和随机效应分析,经检验选取固定效应模型对相关参数进行估计。下同。
①资金净赎回,表明资金流量数值为负,而其对基金业绩的边际效应为正,二者合计负正得负,即资金净流出越多,基金业绩越差。下同。