我国开放式基金投资者流动性交易行为与基金业绩关系的实证研究

本文考察开放式基金由于投资者的申购和赎回而产生的流动性交易行为及其与基金业绩的关系,得出如下结论:(1)我国开放式基金投资者对单个基金认同程度很不一致,导致了对不同基金的申购和赎回差异悬殊;(2)投资者热衷于炒作小盘基金,使得其流动性交易远比大盘基金活跃,小盘基金更容易被少数大额持有人操纵而从中牟利;(3)我国开放式基金的业绩与其申购率成正向关系,但与赎回率没有明显的负向关系;(4)国外学者的早期研究发现,投资者倾向于购买业绩好的基金,但却不一定赎回业绩差的基金,这种业绩—流量的不对称性现象在我国基金市场同样存在。

Analysis of the Influence of Open-ended Fund Investors' Liquidity Trade Behavior on Their Performance in Our Country

This paper observes the liquidity trade of open-ended funds based on the investor, purchase and redemption, its relationship with the performance of the funds, and then draws the conclusions as follows:Firstly, the great inconsistence of investors, acceptance of open-ended funds in our country leads to obviously different purchases and redemption. Secondly, the liquidity trade of small scale funds is more active than the large scale funds because of the investors, irrational pursuit, which means that they might be manipulated by some large shareholders. Thirdly, the risk-adjusted performance of open-ended funds has a positive relationship with their purchase ratio, whereas it does not show a obvious passive relationship with their redemption ratio. Lastly, foreign scholars find that the investors prefer to purchase excellent performance funds, but they are not sure to redeem the poor performance funds. This asymmetry of the performance-flow exists in the fund market in our country.