基金现金流、明星基金与溢出效应

本文建立动态面板数据模型,运用系统广义矩(System GMM)方法对基金现金流和基金业绩、明星基金和溢出效应的关系进行考察。结果发现,无论是从单只基金层面还是从基金系层面,基金(基金系)现金流都与基金(基金系)业绩呈显著负相关。对明星基金本身来说,表现为净现金流出;但明星基金为同属一个基金系的其他成员基金带来显著的正向溢出效应。另外,从基金系角度看,虽然存在溢出效应,明星基金的存在并没有给整个基金系带来显著的现金流入,说明基金系的造星策略并不十分有效。

Fund cash flow,star fund and spillover effects

In this paper, we set up the DPD model and use System GMM method to investigate cash flow and fund performance, star fund and the spillover effects. It was found that in the level of a single fund or a fund family, the fund (fund family) cash flow and the fund (fund family) performance are negatively correlated. Star fund itself behaves net cash outflow, but for the other members of the fund family, there are significant positive spillover effects. In addition, from the fund family point of view, despite th...