偏股型基金业绩与投资者申赎行为的关系研究
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摘要
证券投资基金是资本市场上主要的投资理财产品,本文以我国偏股型基金投资者的申购赎回行为为研究对象,试图对基金业绩和投资者行为间的关系进行尽可能全面的理论研究和实证分析。
具体而言,文章首先选取从2006年一季度到2012年二季度共26个季度的样本数据,分别以基金短期业绩回报率和长期业绩回报率作为解释变量,运用固定效应的非平衡面板数据模型,对基金申购、赎回和净申购流量与基金业绩的关系进行回归分析,找出影响我国偏股型基金投资者进行投资选择的因素；其次,将样本期区分为股市繁荣期和股市萧条期,分别考察在各时期投资者对基金业绩的考虑有何变化；第三,在回归模型中加入明星基金和绩劣基金两个虚拟变量,考察我国基金市场的明星效应现象。
实证结果表明,基金上期季度及年度回报率对当期的申购、赎回和净申购均有显著的正面影响,但季度回报率的系数要大,且我国基金市场不存在赎回异象；在不同的经济周期下,投资者申赎基金考虑的因素不尽相同,股市繁荣时期业绩回报率的系数变大,而市场回报率对基金申购的影响不明显,显示出投资者更加偏好风险,预期效应占优,股市萧条时期业绩回报率的系数变小,市场回报率重新影响基金申购,表明投资者更加谨慎,追逐业绩的趋势见缓；我国基金市场存在明星效应,成为明星基金可以显著增加随后的资金流量,但是沦为绩劣基金不会显著增加资金流出。另外,成为明星基金不能显著阻止资金流出,绩劣基金的资金流入也没有显著减少,表明投资者对绩优和绩劣基金的选择具有不对称性。
由此,本文分别给基金公司和基金投资者提出了相应建议。建议基金公司通过提高投研水平、保持良好的基金业绩；实施稳定的分红政策,为投资者带来实实在在的回报；加强投资者满意的维护,保护基金持有人利益等方式在竞争中寻求稳健发展。建议基金投资者树立理性的投资理念,通过定投的方式获得超越市场趋势的收益；树立长期稳定投资的观念,通过分散配置的方式降低风险,达到财富保值增值的目标。
Open-end fund is a major investment product in Chinese capital market. This article chooses the behavior of equity open-end fund investors as the research object, trying to make comprehensive theoretical research and empirical analysis toward the performance-flow relationship.
Based on fixed effect unbalanced panel data regression model, the article firstly analyzes the relationship between the historical performance and fund inflow, outflow and netflow, separately using quarterly and annual return as explanatory variable; Secondly, according to the stock market index, the article divides the sample period into boom and depression period, to find if there is any change on fund investors' decision in different periods; Thirdly, the article adds two virtual variables, star fund and dog fund, into the previous model, to study if there is celebrity effect in the fund market.
The empirical results show that:(1) previous quarterly and annual rate of return have significant positive impacts on the current fund inflow, outflow and netflow. What's more, the coefficient of quarterly return is larger than the coefficient of annual year, and there is no "Redemption Anomaly" in China's open-end fund market;(2) under different economic cycle, the consideration of fund investors is not the same. In boom period, the coefficient of fund return is larger but the impact of the market rate of return is not obvious, which shows the investors are more willing to take risks and the expected effect is dominant. In depression period, the coefficient of fund return decreases, and market return begins to influence the purchase decision, which suggests that investors are more cautious;(3) there is celebrity effect in Chinese fund market. Star fund can significantly increase the following cash flow, but dog fund will not significantly increase outflow. In addition, being a star fund can not significantly prevent outflow, and the inflow of dog fund doesn't significantly reduce, neither, which means the investors'investment behavior is asymmetry.
Finally, this article proposes some relevant suggestions to the fund companies and investors respectively. The fund companies should improve research skills and implement a stable dividend policy which bring tangible returns to investors; strengthen the maintenance of investor satisfactory, protect the interests of fund holders. The fund investors should have rational and stable investment philosophy, and reduce risk by decentralized configuration.
具体而言,文章首先选取从2006年一季度到2012年二季度共26个季度的样本数据,分别以基金短期业绩回报率和长期业绩回报率作为解释变量,运用固定效应的非平衡面板数据模型,对基金申购、赎回和净申购流量与基金业绩的关系进行回归分析,找出影响我国偏股型基金投资者进行投资选择的因素；其次,将样本期区分为股市繁荣期和股市萧条期,分别考察在各时期投资者对基金业绩的考虑有何变化；第三,在回归模型中加入明星基金和绩劣基金两个虚拟变量,考察我国基金市场的明星效应现象。
实证结果表明,基金上期季度及年度回报率对当期的申购、赎回和净申购均有显著的正面影响,但季度回报率的系数要大,且我国基金市场不存在赎回异象；在不同的经济周期下,投资者申赎基金考虑的因素不尽相同,股市繁荣时期业绩回报率的系数变大,而市场回报率对基金申购的影响不明显,显示出投资者更加偏好风险,预期效应占优,股市萧条时期业绩回报率的系数变小,市场回报率重新影响基金申购,表明投资者更加谨慎,追逐业绩的趋势见缓；我国基金市场存在明星效应,成为明星基金可以显著增加随后的资金流量,但是沦为绩劣基金不会显著增加资金流出。另外,成为明星基金不能显著阻止资金流出,绩劣基金的资金流入也没有显著减少,表明投资者对绩优和绩劣基金的选择具有不对称性。
由此,本文分别给基金公司和基金投资者提出了相应建议。建议基金公司通过提高投研水平、保持良好的基金业绩；实施稳定的分红政策,为投资者带来实实在在的回报；加强投资者满意的维护,保护基金持有人利益等方式在竞争中寻求稳健发展。建议基金投资者树立理性的投资理念,通过定投的方式获得超越市场趋势的收益；树立长期稳定投资的观念,通过分散配置的方式降低风险,达到财富保值增值的目标。
Open-end fund is a major investment product in Chinese capital market. This article chooses the behavior of equity open-end fund investors as the research object, trying to make comprehensive theoretical research and empirical analysis toward the performance-flow relationship.
Based on fixed effect unbalanced panel data regression model, the article firstly analyzes the relationship between the historical performance and fund inflow, outflow and netflow, separately using quarterly and annual return as explanatory variable; Secondly, according to the stock market index, the article divides the sample period into boom and depression period, to find if there is any change on fund investors' decision in different periods; Thirdly, the article adds two virtual variables, star fund and dog fund, into the previous model, to study if there is celebrity effect in the fund market.
The empirical results show that:(1) previous quarterly and annual rate of return have significant positive impacts on the current fund inflow, outflow and netflow. What's more, the coefficient of quarterly return is larger than the coefficient of annual year, and there is no "Redemption Anomaly" in China's open-end fund market;(2) under different economic cycle, the consideration of fund investors is not the same. In boom period, the coefficient of fund return is larger but the impact of the market rate of return is not obvious, which shows the investors are more willing to take risks and the expected effect is dominant. In depression period, the coefficient of fund return decreases, and market return begins to influence the purchase decision, which suggests that investors are more cautious;(3) there is celebrity effect in Chinese fund market. Star fund can significantly increase the following cash flow, but dog fund will not significantly increase outflow. In addition, being a star fund can not significantly prevent outflow, and the inflow of dog fund doesn't significantly reduce, neither, which means the investors'investment behavior is asymmetry.
Finally, this article proposes some relevant suggestions to the fund companies and investors respectively. The fund companies should improve research skills and implement a stable dividend policy which bring tangible returns to investors; strengthen the maintenance of investor satisfactory, protect the interests of fund holders. The fund investors should have rational and stable investment philosophy, and reduce risk by decentralized configuration.
引文
[1]Richard A. Ippolito. Consumer Reaction to Measures of Poor Quality:Evidence From the Mutual Fund Industry [J]. Journal of Law and Economics, 1992(35):45-70.
[2]Rea, John and Richard Marcis. Mutual Fund Shareholder Activity During US Stock Market Cycles,1944-95[J]. Investment Company Institute Perspective, 1996(2):1-16.
[3]Sirri, Erik and Peter Tufano, Costly Search and Mutual Fund Flows [J]. Journal of Finance.1998(53):1589-1622.
[4]Nanda, Vikram, M. P. Narayanan and Vincent A. Warther. Liquidity, Investment Ability, and Mutual Fund Structure [J]. Journal of Financial Economics, 2000(57):417-443.
[5]Warther, Vincent. A. Aggregate Mutual Fund Flows and Security Returns [J]. Journal of Financial Economics,1995 (39):209-235.
[6]Wayne E. Ferson and Vincent A. Warther Evaluating Fund Performance in a Dynamic Market [J].Financial Analysts Journal,1996 (6):20-28.
[7]Santini, D. L., and J. W.Aberl Determinants of Net New Money Flows to the Equity Mutual Fund Industry [J]. Journal of Economics and Business,1998(50): 419-429.
[8]Barber, BradM. and Terrance Odean. Trading Is Hazardous to Your Wealth:The Common Stock Investment Performance of Individual Investors [J]. Journal of Finance,2000(55):773-806.
[9]Fortune, Peterl Mutual Funds, Part Ⅱ:Fund Flows and Security Returns [J].New England Economic Review,1998(1):3-22.
[10]肖峻,石劲.基金业绩与资金流量：我国基金市场存在赎回异象吗?[J].经济研究,2011(1)：112-125.
[11]陆蓉,陈百助,徐龙炳,谢新厚.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[J].经济研究,2006(7)：39-50.
[12]刘志远,姚颐.开放式基金的“赎回困惑”现象研究[J].证券市场导报,2005(2)：37-41.
[13]姚颐,刘志远.我国开放式基金赎回行为的实证研究[J].经济科学,2004(5)：48-57.
[14]陆蓉,赵乾明,谢新厚.开放式基金赎回现象研究综述[J].上海财经大学学报,2007(6)：91-97.
[15]陈荣.中国开放式基金投资者申购赎回行为研究[D].武汉大学,2010.
[16]李跃军.中国开放式基金净申购率的实证研究[D].厦门大学,2009.
[17]张帆.我国开放式基金赎回行为研究[D].华中科技大学,2008.
[18]许宁,刘志新,蔺元.基金现金流、明星基金与溢出效应[J].证券市场导报,2010(1)：64-69.
[19]陆荣,刘亚琴.基金溢出效应研究新进展[J].经济学动态,2009(3)：112-116.
[20]林树,李翔,杨雄胜,Onkit Tam.他们真的是明星吗?——来着中国证券基金市场的经验证据[J].金融研究,2009(5)：107-120.
[21]张家萃,丘晓坚,戴鹤鹏.我国开放式基金投资者赎回的影响因素[J].统计与决策,2006(2)：126-128.
[22]汪慧建,张兵,周安宁.中国开放式基金赎回异象的实证研究[J].南方经济,2007(8)：65-73.
[23]赵学军,工永宏.中国股市处置效应的实证分析[J].金融研究,2001(7)：92-97.
[24]董鹏.中国开放式基金业绩与投资者行为相互关系研究[D].南京大学,2012.
[25]张建江,周长鸣.开放式基金赎回问题的再研究[J].工业技术经济,2009(1)：154-157.
[26]李学峰,李心印,张舰.开放式基金持有人申购赎回行为收益敏感性指标的分析[J].金融理论与实践,2009(5)：21-25.
[27]黎实,雷良桃.开放式基金赎回困惑的Panel-DataGranger因果关系检验[J].系统工程理论与实践,2008(8)：55-62.
[28]薛强军.开放式基金申购赎回：基于分离现金流量的研究[J].南京农业大学 学报(社会科学版),2006(4)：35-45.
[29]束景虹.开放式基金赎回现象的实证研究[J].数量经济技术经济研究,2005(4)：117-126.
[30]胡琦.美国基金市场发展与启示[J].深圳证券交易所研究报告,2010,5.
[31]张宗新,缪婧倩.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[J].金融研究,2012(4)：110-123.
[32]赵乾明.开放式基金赎回异象研究——基于我国股票型开放式基金的分析[D].上海财经大学,2006.
[33]李宁,宋歌.我国开放式基金业绩与申购赎回关系及成因研究[J].经济论坛,2009(7)：112-115.
[34]叶光尧.上证指数变动对偏股型开放式基金投资者交易行为的影响研究[D].复旦大学,2009.
[35]工雯,吴丽华.开放式基金“赎回困惑”：基于行为金融学的成因分析[J].生产力研究,2006(2)：83-84.
[36]谢进,刘高.我国开放式基金赎回异象的成因研究——基于行为金融学的角度分析[J].时代金融,2011(6)：18-19.
[37]工永宏,赵学军.中国股市“惯性策略”和“反转策略”的实证分析[J].经济研究,2001(7)：56-89.
38]冯金余.开放式基金赎回与业绩的内生性：基于中国动态面板数据的分析[J].证券市场导报,2009(3)：28-34.
39]周铭山,周开国,张金华,刘玉珍.我国基金投资者存在处置效应吗?——基于国内某大型开放式基金交易的研究[J].投资研究,2011(10)：87-97.
40]投资者的非理性行为偏差与止损策略——处置效应、参考价格角度的实证研究[J].管理科学学报,2011(10)：54-66.
[2]Rea, John and Richard Marcis. Mutual Fund Shareholder Activity During US Stock Market Cycles,1944-95[J]. Investment Company Institute Perspective, 1996(2):1-16.
[3]Sirri, Erik and Peter Tufano, Costly Search and Mutual Fund Flows [J]. Journal of Finance.1998(53):1589-1622.
[4]Nanda, Vikram, M. P. Narayanan and Vincent A. Warther. Liquidity, Investment Ability, and Mutual Fund Structure [J]. Journal of Financial Economics, 2000(57):417-443.
[5]Warther, Vincent. A. Aggregate Mutual Fund Flows and Security Returns [J]. Journal of Financial Economics,1995 (39):209-235.
[6]Wayne E. Ferson and Vincent A. Warther Evaluating Fund Performance in a Dynamic Market [J].Financial Analysts Journal,1996 (6):20-28.
[7]Santini, D. L., and J. W.Aberl Determinants of Net New Money Flows to the Equity Mutual Fund Industry [J]. Journal of Economics and Business,1998(50): 419-429.
[8]Barber, BradM. and Terrance Odean. Trading Is Hazardous to Your Wealth:The Common Stock Investment Performance of Individual Investors [J]. Journal of Finance,2000(55):773-806.
[9]Fortune, Peterl Mutual Funds, Part Ⅱ:Fund Flows and Security Returns [J].New England Economic Review,1998(1):3-22.
[10]肖峻,石劲.基金业绩与资金流量：我国基金市场存在赎回异象吗?[J].经济研究,2011(1)：112-125.
[11]陆蓉,陈百助,徐龙炳,谢新厚.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[J].经济研究,2006(7)：39-50.
[12]刘志远,姚颐.开放式基金的“赎回困惑”现象研究[J].证券市场导报,2005(2)：37-41.
[13]姚颐,刘志远.我国开放式基金赎回行为的实证研究[J].经济科学,2004(5)：48-57.
[14]陆蓉,赵乾明,谢新厚.开放式基金赎回现象研究综述[J].上海财经大学学报,2007(6)：91-97.
[15]陈荣.中国开放式基金投资者申购赎回行为研究[D].武汉大学,2010.
[16]李跃军.中国开放式基金净申购率的实证研究[D].厦门大学,2009.
[17]张帆.我国开放式基金赎回行为研究[D].华中科技大学,2008.
[18]许宁,刘志新,蔺元.基金现金流、明星基金与溢出效应[J].证券市场导报,2010(1)：64-69.
[19]陆荣,刘亚琴.基金溢出效应研究新进展[J].经济学动态,2009(3)：112-116.
[20]林树,李翔,杨雄胜,Onkit Tam.他们真的是明星吗?——来着中国证券基金市场的经验证据[J].金融研究,2009(5)：107-120.
[21]张家萃,丘晓坚,戴鹤鹏.我国开放式基金投资者赎回的影响因素[J].统计与决策,2006(2)：126-128.
[22]汪慧建,张兵,周安宁.中国开放式基金赎回异象的实证研究[J].南方经济,2007(8)：65-73.
[23]赵学军,工永宏.中国股市处置效应的实证分析[J].金融研究,2001(7)：92-97.
[24]董鹏.中国开放式基金业绩与投资者行为相互关系研究[D].南京大学,2012.
[25]张建江,周长鸣.开放式基金赎回问题的再研究[J].工业技术经济,2009(1)：154-157.
[26]李学峰,李心印,张舰.开放式基金持有人申购赎回行为收益敏感性指标的分析[J].金融理论与实践,2009(5)：21-25.
[27]黎实,雷良桃.开放式基金赎回困惑的Panel-DataGranger因果关系检验[J].系统工程理论与实践,2008(8)：55-62.
[28]薛强军.开放式基金申购赎回：基于分离现金流量的研究[J].南京农业大学 学报(社会科学版),2006(4)：35-45.
[29]束景虹.开放式基金赎回现象的实证研究[J].数量经济技术经济研究,2005(4)：117-126.
[30]胡琦.美国基金市场发展与启示[J].深圳证券交易所研究报告,2010,5.
[31]张宗新,缪婧倩.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[J].金融研究,2012(4)：110-123.
[32]赵乾明.开放式基金赎回异象研究——基于我国股票型开放式基金的分析[D].上海财经大学,2006.
[33]李宁,宋歌.我国开放式基金业绩与申购赎回关系及成因研究[J].经济论坛,2009(7)：112-115.
[34]叶光尧.上证指数变动对偏股型开放式基金投资者交易行为的影响研究[D].复旦大学,2009.
[35]工雯,吴丽华.开放式基金“赎回困惑”：基于行为金融学的成因分析[J].生产力研究,2006(2)：83-84.
[36]谢进,刘高.我国开放式基金赎回异象的成因研究——基于行为金融学的角度分析[J].时代金融,2011(6)：18-19.
[37]工永宏,赵学军.中国股市“惯性策略”和“反转策略”的实证分析[J].经济研究,2001(7)：56-89.
38]冯金余.开放式基金赎回与业绩的内生性：基于中国动态面板数据的分析[J].证券市场导报,2009(3)：28-34.
39]周铭山,周开国,张金华,刘玉珍.我国基金投资者存在处置效应吗?——基于国内某大型开放式基金交易的研究[J].投资研究,2011(10)：87-97.
40]投资者的非理性行为偏差与止损策略——处置效应、参考价格角度的实证研究[J].管理科学学报,2011(10)：54-66.
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