风险-收益悖论与绩差基金的业绩持续性

绩差基金的业绩具有持续性，这种现象为何产生，现有文献对此缺乏研究。文章从前景理论和金融市场的异常现象——风险-收益悖论出发，分析绩差基金业绩持续的原因，并提出一种解释这种原因的假说。文章利用我国开放式基金的数据，对这个假说进行了实证检验，检验结果证实：业绩排名落后时基金经理偏好冒险的决策行为，承担高风险却没有得到高收益补偿，是绩差基金业绩持续的重要原因。

The Risk-Return Paradox and the Source of Underperformance Persistence in Mutual Funds

Existing studies have provided fairly strong evidence on persistence in negative performance in mutual fund. From the viewpoint of risk-return paradox, this study brings in the Prospect theory of Kahneman and Tversky to explain this phenomenon. We present a hypothesis to explore the source of underperformance persistence in mutual funds: Below the target return level, the underperformance mutual fund is usually risk-seeking. But the high risk of these funds does not come with high reward, which allows the performance of these funds to be still below aspired level. The empirical evidence presented in this paper strongly confirms the hypothesis.