基金业绩归因与投资者行为

本文以2006年1月至2016年12月中国64家股票型主动管理基金为样本,从基金净资金流变化的角度,检验了投资者决策与基金业绩结构的关系,以期更好地理解投资者行为。本文结论有:(1)整体上,投资者在衡量基金经理能力时,更关注原始超额收益率或只基于市场风险调整风险敞口,这可能与中国市场投资工具仍然不够充分、风险难以有效对冲有关;(2)机构投资者相比个人投资者对风险敞口的识别更严格;(3)简单模型的优势集中在市场波动低、投资者情绪高的时期;(4)除基金经理能力外,净资金流变化对市场风险报酬也很敏感;(5)从alpha的角度,我国基金市场仍存在“赎回异象”,可能与“处置效应”有关,仍需提升投资者对风险的认知,引导市场形成更加科学的投资观念。

Fund Performance Attribution and Investor Behavior

Open-end funds are one of the most popular asset management tools worldwide, and the past decade has also witnessed their blossoming in China. By the end of 2016, the net asset value of open-end funds in China had increased to 8,886.899 billion RMB, gaining a market share of 97.74% in the whole fund market. Therefore, what most influences Chinese investors when selecting open-end funds is a topic worth exploring.
The literature on how investors make investment decisions is mainly focused on the U.S. market. Some studies find that CAPM alpha explains U.S. mutual fund flows (Barber et al., 2016) and hedge fund flows (Agarwal et al., 2018) better than the alphas of more sophisticated models. As the Chinese fund market is still emerging, and the Chinese market differs from that of the U.S. in terms of microstructure, we are interested in how Chinese investors identify manager ability. Which aspect of fund performance do they value most when making decisions on buying or redeeming？ The risk exposure or the alpha？ And which alpha？ In addition, institutional investors are believed to have greater professional skill and information advantage compared with individual investors, and thus to be less prone to irrational issues when making decisions (Daniel et al., 1997). Do they therefore behave differently from individual investors during fund selection？
The main contribution of this paper lies in seeking to identify how investors distinguish the fund manager's active management ability from fund risk exposure over a long period. We thus compare the impact of alphas adjusted by different risk factors on the net cash flow of funds and the influence of risk exposure. Our paper also supplements the literature on the “redemption anomaly” in China's fund market by providing evidence from a new perspective. Given that rational investment decisions select funds with stable alphas, we explore the link between investor redemption behavior and the fund's alpha rather than its performance as a whole. We find differences between institutional and individual investors in the evaluation of risk adjustment benchmarks and fund manager ability, and thus provide new evidence for their behavioral differences.
In the empirical section, we focus on 64 open-end funds lasting from January 1, 2006 to December 31, 2016, drawing all data from CSMAR. We find that the current and lagged raw excess return, CAPM alpha, Fama-French 3-factor alpha, and Fama-French 5-factor alpha all have strong explanatory power for net fund flows. The current alphas are positively correlated with net capital flow whereas the lagged alphas are negatively correlated. The results indicate that the lagged alpha has a greater effect on buying decisions, whereas the contemporaneous alpha is more responsible for redeeming behavior. Investors tend to redeem their shares when the contemporaneous fund alpha is high, perhaps to realize immediate gains. Such behavior corresponds to the “redemption anomaly” still in suspense based on the perspective of the funds' alpha, which may be related to the disposal effect in China's fund market and is adverse to the long-term development of China's fund industry.
Overall, we discover that simple models such as the raw excess return and CAPM alpha can better explain changes in net fund flows, which may be due to a lack of sufficient investment tools in the Chinese market. Although some risk factors are recognized by the market, it remains difficult for individual investors to hedge against these factors at low cost or to obtain a corresponding benefit in the actual investment. Therefore, investors may resort to simple models such as CAPM as a benchmark and classify the compensation for other potential risk factors as the active management ability of the fund manager. In subsample tests, we find that individual investors rely more on simple adjustments in evaluating a fund managers' ability, while institutional investors make stricter distinctions. Further, we find that the advantages of raw excess return and CAPM alpha are mainly concentrated in periods of lower market volatility and higher investor sentiment.
In addition, we find that fund flows are far more sensitive to risk exposure than to manager ability (alpha), contrary to the findings in the U.S. market (Barber et al., 2016). The tendency of Chinese investors to pay more attention to risk exposure/fund style than manager ability may lead to herding behavior that further aggravates the volatility of the capital market. Therefore, it is necessary to equip individual investors in China with more professional knowledge and more financial products to guide them, particularly to fully understand risk and enable them to manage it effectively.