共查询到19条相似文献,搜索用时 183 毫秒
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我国基金家族明星基金溢出效应显著性的实证分析 总被引:1,自引:0,他引:1
明星基金溢出效应是指基金家族中业绩高且稳定的基金增加了同家族其它基金的现金流入,国外大量文献也证明基金家族中确实存在明星基金溢出效应。本文基于因子分析对基金业绩进行综合评价,选取两组基金,运用均值检验比较这两组基金现金流入的差异。实证结果显示,存在明星基金的基金组现金流入显著高于不存在明星基金的基金组现金流入,即我国基金家族明星基金溢出效应具有显著性。 相似文献
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全面系统地研究了基金家族长期暂停申购明星基金的内在动因及效果。运用2007年至2013年的数据,发现暂停申购明星基金可以产生溢出效应,提高基金家族的资金净流入增长率,而明星基金暂停申购后的业绩并未改善,说明暂停申购明星基金只是基金家族的一种营销手段,而不是为了保护投资者权益。 相似文献
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实证研究了基金公司为提升家族整体绩效而采用的偏爱性竞争策略,结果显示同一家族旗下的高价值基金(高费用或高历史绩效基金)与低价值基金之间的绩效差异显著大于投资风格类似、但隶属于不同家族的高价值基金与低价值基金间的绩效差异;基金家族会通过转移旗下受托资产绩效的家族竞争策略使家族中高价值基金获取超额绩效,从而为家族吸引更多的净资金流入,最终实现提升基金家族竞争力和整体绩效的目标。 相似文献
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针对基金渠道营销对基金资金流入的影响效应,基于2011-2015年我国147只开放式股票型基金的非平衡面板数据,实证分析渠道营销对基金资金流动的影响.通过采用非平衡面板的固定效应模型研究结果表明:与已有文献所证实的营销资金投入与资金净流入呈正比关系的结论不同,发现营销资金投入的增加,并不会使资金流入增加,反而与资金净申购率呈显著负相关关系,这其中原因与我国投资者的有限理性有很大关系. 相似文献
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业绩排名、投资者选择和投资基金行为 总被引:7,自引:0,他引:7
本文利用中国开放式基金数据,对基金业绩与未来资金流入的关系及投资基金之间的“竞赛假说”进行了检验。结果发现,基金业绩与未来资金流入存在显著的正相关关系。整体而言,中国投资基金行业不存在“竞赛假说”,但投资基金在年末业绩排名竞争中存在显著的竞赛特征,投资基金在年中排名竞争方面则未表现出明显的竞赛特征。 相似文献
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以中国基金市场32家基金管理公司旗下的103只开放式偏股型基金作为样本,选择恰当的面板数据模型形式,分别建立金融危机之前、危机期间和危机之后三个时期基金家族绩效与风险关系模型,以剖析不同经济形势下两者之间的关系。结果表明,金融危机之前和危机期间基金家族绩效与风险显著负相关,而危机之后两者关系不显著,在金融危机期间和危机之后基金业绩效状况持续恶化,危机之后基金业整体风险水平降低;金融危机后,为弥补金融危机中造成的损失,各基金家族倾向于采取"打造明星基金"的投资策略以充分利用有限资源、提升家族整体绩效。 相似文献
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本文基于2011-2015年我国147只开放式股票型基金的非平衡面板数据,实证分析渠道营销对基金资金流动的影响,研究结果发现:与已有文献所证实的营销资金投入与资金净流入呈正比关系的结论不同,营销资金投入的增加,并不会使资金流入增加,反而与资金净申购率呈显著负相关关系,且这一结果与我国投资者的有限理性有很大关系. 相似文献
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本文在梳理相关文献的基础上,对基金家族"造星"策略的基本动因、行为评价和形成机理进行了深入分析,并通过明星绩效溢出效应、家族跨基金补贴行为的存在性与路径选择、家族造星主体识别和形成机理等研究模块构建了基金家族造星策略的理论研究框架,以此来探索基金市场上基金家族造星热潮的"黑箱"操作,以期为后续相关研究奠定基础。 相似文献
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In this paper, we reexamine the mutual fund flow-performance relationship and star effect using mutual funds in China that have unique features of high risk and low performance persistence. Confirming prior studies, we find that fund performance is positively related to flows in subsequent periods. However, our results show that funds that performed well in the past do not attract additional inflows after controlling for performance. In addition, a star fund, a fund with a five-star Morningstar rating, does not have any significant effect on the fund's flows. These results suggest that it is important to recognize the difference in investor groups and factors that affect performance persistence when analyzing the mutual fund flow-performance relationship. 相似文献
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We examine 471,000 mutual fund company advertisements from 1997 to 2003 to study advertising's effect on fund inflows. We find advertising is generally ineffective in attracting inflows but was more effective during the bear market despite smaller advertising expenditures during this time. The top 10 advertisers in our sample were most successful in capturing inflows. These companies generated inflows with mutual fund ads; other companies succeeded when advertising their other products and their brand image. Within a fund family, advertising affects the flagship fund differently than the other funds. Sample firms appeared unable to choose correctly between print and TV ads. 相似文献
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《新兴市场金融与贸易》2013,49(1):87-95
This paper investigates whether Taiwan mutual-fund companies actively pursue a corporate-level strategy of enhancing the performance of "high-value" funds (i.e., high fee-ratio funds or high past performers) at the expense of other "low-value" funds belonging to the same companies. The results show a significant difference between high- and low-value funds within the same fund families and that this difference favors the high past-perorming funds. The future incremental cash inflows from these high-value funds indicate that fund companies indeed benefit from the subsidized strategy. Our findings highlight the potential for agency problems and the importance of corporate and fund governance in the Taiwan asset-management industry. 相似文献
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Christos Alexakis Nikitas Niarchos Sunil Poshakwale 《International Review of Financial Analysis》2005,14(5):559-569
This paper examines the interaction between mutual fund flows and stock returns in Greece. Specifically, we investigate the possibility of a causality mechanism through which mutual funds flows may affect stock returns and vice versa. The statistical evidence derived from the error correction model indicates that there is a bidirectional causality between mutual fund flows and stock returns. Cointegration results show that mutual funds flows cause stock returns to rise or fall. This may be explained by the fact that, in Greece, equity mutual funds are obliged by law to invest a certain percentage of their cash in stocks. Thus, inflows and outflows of cash in equity funds seem to cause higher and lower stock returns in Greek stock market. 相似文献
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《Journal of Financial Economics》2020,135(3):602-628
We develop three novel measures of the incentives of equity mutual funds to internalize the price impact of their trading. We show that mutual funds with stronger incentives to internalize their price impact accommodate inflows and outflows by adjusting their cash buffers instead of trading in portfolio securities. As a result, stocks held by these funds have lower volatility, and flows out of these funds have smaller spillover effects on other funds holding the same securities. Our results provide evidence of meaningful fire sale externalities in the equity mutual fund industry. 相似文献
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This study analyzes the existence of capacity effects and performance persistence for US equity mutual funds for the period from 1992 to 2007. We focus on winner funds and distinguish between capacity effects from both size and inflows and explore their interactions with two measures of family size, i.e. family total net assets under management (family TNA) and the number of funds at the family level (family breadth). The differentiation of family size allows us to analyze competing effects at the family level such as economies of scale as well as organizational complexity costs and conflicts of interest. Our empirical results confirm diseconomies of scale at the winner fund level and indicate that only small winner funds with low inflows significantly outperform the four-factor benchmark on a net return basis. There are no universal benefits from economies of scale at the family level, but our findings suggest the existence of conflicts of interest in families offering a relatively large number of funds. Small winner funds in families offering a small number of funds significantly outperform while economies of scale only materialize among extremely small winner funds. We provide detailed robustness checks for our empirical results. Overall, simply conditioning on fund size is not sufficient for selecting future outperforming funds. The results indicate that fund investors may earn positive abnormal returns when combining information on fund size with information on fund flows or fund family affiliations in their asset allocation decisions. 相似文献
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We explore a new channel for attracting inflows using a unique data set of corporate 401(k) retirement plans and their mutual fund family trustees. Families secure substantial inflows by being named trustee. We find that family trustees significantly overweight, and are reluctant to sell, their 401(k) client firm's stock. Trustee overweighting is more pronounced when the relationship is more valuable to the trustee family, and is concentrated in those funds receiving the greatest benefit from the inflows. We quantify this flow benefit and find that inclusion in the 401(k) plan has an economically and statistically large, positive effect on inflows. 相似文献
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This study examines the role of reputation stretching in the context of mutual funds. We show that the reputation stretching strategy increases net fund inflows to new funds run by well-performing fund managers and yields a net increase of fund inflows to fund families. Reputable fund managers exhibit one-year performance persistence for managing new funds, which can help investors assess managers when selecting funds. We also find that the decrease in information asymmetry associated with managerial reputation benefits investors by leading to an increase in new fund returns in the short run, compared to those of new funds run by managers without track records. Overall, the reputation stretching strategy benefits both investors, by reducing information asymmetry and improving investment returns, and fund families, by increasing net fund inflows to new equity funds. 相似文献
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We study the money flows into and out of socially responsible investment (SRI) funds around the world. In their investment decisions, investors in SRI funds may be more concerned with ethical or social issues than with fund performance. Therefore, SRI money flows are less related to past fund returns. Ethical money is less sensitive to past negative returns than are conventional fund flows, especially when SRI funds primarily use negative or Sin/Ethical screens. Social attributes of SRI funds weaken the relation between money inflows and past positive returns. However, money flows into funds with environmental screens are more sensitive to past positive returns than are conventional fund flows. Stock picking based on in-house SRI research increases the money flows. These results give evidence on the role of nonfinancial attributes, which induce heterogeneity of investor clienteles within SRI funds. We find no evidence of a smart money effect, as the funds that receive more inflows neither outperform nor underperform their benchmarks or conventional funds. 相似文献