Does Mutual Fund's Risk Affect Investors' Sensitivity to Its Performance?

Operations Research and Management Science ›› 2013, Vol. 22 ›› Issue (2): 159-164.

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Does Mutual Fund's Risk Affect Investors' Sensitivity to Its Performance?

HE Pei-fei¹, ZHANG Wei-qiang¹, LIU Chun¹, WANG Zheng-wei²

1. School of Economics and Management, Tsinghua University, Beijing 100084, China;
2. PBC School of Finance, Tsinghua University, Beijing 100083, China

Received:2012-12-20 Online:2013-04-25

基金风险改变了投资者的业绩敏感程度吗？——基于基金业绩波动与资金净流量关系的实证研究

贺裴菲¹, 张伟强¹, 刘淳¹, 王正位²

1.清华大学经济管理学院,北京 100084;
2.清华大学五道口金融学院,北京 100083

作者简介:贺裴菲(1986-),女,博士研究生,研究方向:行为金融、金融市场;张伟强(1974-),男,博士后,研究方向:消费金融;刘淳(1977-),男,副教授,研究方向:实证金融学、金融市场;王正位(1981-),男,助理教授,研究方向:公司金融、消费金融。
基金资助:
国家自然科学基金资助项目(71202019,71232003,71002074)

Abstract

Abstract: Using panel data of open-end mutual funds from 2005 to 2011, this paper investigates how the volatility of mutual fund performance affects investors' sensitivity to its performance. After validating the positive relationship between mutual fund flow and performance, we find that: (1)the volatility of performance will dampen mutual funds' positive “flow-performance” relationship: the more volatile the past performance is, the less strongly the flows respond to it; (2)The dampening effect of volatility on mutual funds' “flow-performance” relationship is not the same for mutual funds in different performance ranges: it is strongest in funds with inferior performance and weaker in funds with middle performance, for star funds with superior performance the volatility even has a strengthening effect.

Key words: finance, mutual fund flows and performance, fixed effect model, volatility of mutual fund performance

摘要： 本文利用我国2005年至2011年期间开放式基金的面板数据,研究了基金业绩波动对投资者业绩敏感程度的影响。在验证了基金资金净流量与基金业绩的正相关关系后,实证研究发现:(1)基金业绩波动降低了投资者对基金业绩的敏感程度:基金业绩波动越大,相同业绩提升带来的资金净流量越少;(2)对于不同业绩类型的基金,业绩波动对基金“业绩—资金净流量”关系的反向影响程度也有所不同:这一影响主要体现在绩劣基金中,中等业绩基金次之,在明星基金中反而体现为正向影响。

关键词: 金融学, 基金业绩与资金净流量, 固定效应模型, 基金业绩波动

CLC Number:

F832.5

HE Pei-fei, ZHANG Wei-qiang, LIU Chun, WANG Zheng-wei. Does Mutual Fund's Risk Affect Investors' Sensitivity to Its Performance?[J]. Operations Research and Management Science, 2013, 22(2): 159-164.

贺裴菲, 张伟强, 刘淳, 王正位. 基金风险改变了投资者的业绩敏感程度吗？——基于基金业绩波动与资金净流量关系的实证研究[J]. 运筹与管理, 2013, 22(2): 159-164.

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Does Mutual Fund's Risk Affect Investors' Sensitivity to Its Performance?

基金风险改变了投资者的业绩敏感程度吗？——基于基金业绩波动与资金净流量关系的实证研究

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