摘要
以基金的资金净流入量为基准构建各种投资组合,并对投资组合的收益进行对比分析,以此判断基金持有人是否具有选择能力。实证结果表明,在2004年1月至2008年6月期间,我国开放式基金持有人总是追逐那些前期业绩较好的基金,同时,投资者更倾向于投资规模较小的基金,而回避规模较大的基金。研究还发现,投资者买入的基金,未来能够获得年均12.41%的超额收益,低于投资者卖出基金年均14.24%的超额收益;获得较多资金流入的基金,其收益低于获得较少资金流入基金的收益,投资者踊跃追捧的基金收益普遍较差。实证证据最终表明,我国基金市场上的投资者没有选择能力。
Mutual fund characteristics,such as fund size,age and others,can influence the buying and selling behavior of investors and lead to the change of the fund net cash inflow.Researchers can judge the fund selection ability of investors by means of constructing portfolios based on the net cash inflow of funds and making comparisons between the returns of these portfolios.The empirical results show that open-end mutual investors in China chase the funds with better performance and smaller size.The excess return of the funds bought by investors which is 12.41% annually is lower than the excess return of funds sold by investors which is 14.24% annually.Funds bought by investors underperform the funds sold by investors.The empirical results also show that funds with higher net cash inflow underperform the funds with lower net cash inflow by 2.1% annually.Mutual fund investors in China have no fund selection ability.
出处
《山西财经大学学报》
CSSCI
北大核心
2010年第11期18-26,共9页
Journal of Shanxi University of Finance and Economics
