【作者】 冯金余；

【导师】 胡金焱；

【作者基本信息】 山东大学 ， 金融学， 2010， 博士

【摘要】 基金业绩在投资者申购、赎回决策中具有重要作用,正常有序的基金FPR(Flow-performance-Relationship)是基金业健康持续发展的重要激励机制。但是相关研究发现,国外基金FPR机制对优秀业绩基金“激励过度”而对低劣业绩基金却“惩罚不足”,而国内基金FPR机制甚至产生“反向激励”与“劣胜优汰”的作用。国内外相关研究都存在很大不足,因而进一步研究中国开放式基金FPR具有重要理论意义。从现实角度看来,我国开放式基金近年来迅猛发展,己从2001年的3只基金剧增到2009年的533只,基金之间对投资流的争夺日益剧烈：一方面新发行基金面临申购不足,另一方面大多数优秀业绩的老基金面临净赎回。因而进一步研究中国开放式基金FPR,对于重新塑造竞争有序的基金FPR机制,促进开放式基金的健康持续发展,具有非常重要的现实意义。本文的正文共有8章,第1章是导论,第2章是相关文献综述,第3章到第8章是全文主体部分。第2章主要从标准金融理论与基金业绩持续性假说、行为金融理论、消费者行为理论等角度对基金FPR背后的理论机制,进行了综述。第3章对我国开放式基金投资者的基于业绩的申购、赎回机制进行了分析,并且对净赎回、申购、赎回与业绩的变动关系提出了一些理论假设。第4章比较了美国与中国开放式基金的发展沿革与基金投资者特征。在开放式基金投资者特征上,区分考察了投资者结构与投资者行为特征。第5章检验了中国开放式基金的业绩持续性,并根据标准金融理论对我国开放式基金FPR进一步进行理论预测。第6章从基金绝对业绩的角度,应用中国开放式基金面板数据对基金FPR进行实证。首先以普通面板数据模型估计基金FPR,以此作为基准。在此基础上进行稳健性检验与分阶段考察。主要发现是基金净赎回与业绩正相关,基金申购、赎回均与基金业绩负相关,基金“异常净赎回”由“异常申购”所致,并非“异常赎回”所致。申购与赎回高度正相关,短期投资者是国内基金异常FPR的主要原因。实证结果是稳健的。分阶段实证结果发现,第一个熊市阶段与总样本结论恰好相反,接下来的牛市与熊市阶段与总样本结论一致。控制投资流持续性影响后,基金FPR结论依然成立。应用门限面板模型考察基金FPR的非线性特征,发现基金净赎回与业绩凹形正相关,而申购、赎回与基金业绩凸性负相关。本章还进一步发现股票型基金投资者比混合型基金投资者对业绩更敏感；机构投资者对过去业绩敏感,而个人投资者对过去业绩与当期业绩都敏感。第7章进一步从基金相对业绩视角,考察开放式基金的FPR。首先,应用DEA方法计算各开放式基金年度投入、产出转化的相对效率得分,并考虑其对投资者净赎回、申购、赎回的影响。其次,应用非参数法与参数法考察年度与季度相对业绩排名对投资流的影响。第8章总结全文,主要结论是：基金季度绝对业绩不持续而且出现反转；基金季度相对业绩具有短期持续性。无论是年度评价期抑或是季度评价期,基金投资者净赎回与基金绝对业绩正相关,与基金相对业绩负相关；投资者申购、赎回与基金绝对业绩负相关,与基金相对业绩正相关,申购比赎回对基金业绩更敏感,短线操作投资者是其主要原因。实证结果稳健地适用各种业绩指标；剥离投资流影响后,结论依然成立；基金FPR存在非线性特征,净赎回与绝对业绩凹性正相关,而申购、赎回与绝对业绩凸性负相关。除此以外,本文还发现,经济阶段、基金风格、投资者特征对基金FPR也有重要影响。从绝对业绩角度来看,国内开放式基金确实存在“异常净赎回”现象,但并非由投资者“异常赎回”或“处置效应”所致,而是由投资者“异常申购”所致。从相对业绩角度来看,基金并不存在“异常净赎回”现象,投资者没有表现出“异常申购”,但表现出“异常赎回”或“处置效应”。结合基金季度业绩持续性的实证结果,本文进一步推断,无论是针对绝对业绩还是相对业绩,投资者申购行为都是理性行为,而赎回行为都是非理性行为。开放式基金净赎回与绝对业绩表现出“异常净赎回”,是因为基金绝对业绩不具有持续性而且显著反转,投资者对基金长期业绩失去信心,其风险规避心理非常严重,不敢申购业绩好净值高基金,甚至利用基金业绩短期反转信息进行短线操作,低买高卖。开放式基金净赎回与相对业绩之所以表现出“正反馈”关系,是因为基金相对业绩排名具有显著的持续性,理性投资者觉察到这种信息后即可通过选择相对业绩排名靠前的基金获得相对较高收益。除此以外,申购、赎回正相关,而且投资者申购比赎回对基金业绩更敏感,也是重要原因之一。投资者根据基金季度业绩进行的申购行为可以为投资者带来相对较高的收益,具有“聪明钱”效应；而投资者基于业绩的赎回行为,会遭致相对更多的损失。由于基金年度业绩排名不具有持续性,投资者申购、赎回与年度相对业绩排名正相关,因而投资者申购、赎回是无信息的投资,难以判断其申购、赎回行为是否带来收益或损失。最后,本文根据实证结果与理论解释,从政府、基金公司、投资者等角度提出了一些政策建议与进一步研究方向。本文主要创新之处是：第一,主要以标准金融理论与业绩持续性假说以及行为金融理论,为开放式基金投资者的申购、赎回选择行为奠定了理论基础,并且应用动态面板方法检验了基金绝对业绩与相对业绩的持续性。第二,应用中国开放式基金的面板数据对开放式基金FPR进行了比较全面的实证：区分了绝对业绩与相对业绩对投资流的不同影响；考察了基金净赎回与绝对业绩的互动关系；区分了基金短期投资者与长期投资者对业绩的不同反应；不仅考察了基金业绩对净赎回的影响,而且考察了基金业绩对申购、赎回的影响；考察了基金FPR在不同经济周期的变化；应用动态面板方法考察剥离投资流持续性影响后的基金FPR：应用门限面板方法考察了基金FPR的非线性特征。考察了DEA相对绩效得分、业绩排名等相对业绩对投资流的影响。更多还原

【Abstract】 Fund performance plays significant roles in fund investor’s purchase and redemption decision. Regular and orderly Flow-performance-Relationships(FPR) of open-end funds are important mechanisms to promote fund industry’s persistent and healthy development. Related studies find that foreign fund FPR have over-incentive for better peoforming funds but insufficient-punishment for poorer performing funds,while domestic fund FPR have negative incentives for open-end funds. Abroad and domestic literatures are very few, thus further study of Chinese open-end funds FPR has important theoretical significance.From the practical view, China’s open-end funds have witnessed rapid development in recent years,with fund number soaring from 3 funds in 2001 to 533 in 2009. Open-end funds increasingly have to compete for fund investor flows between fund peers:on the one hand,new issues of fund lack of fund subscription,on the other hand, most old funds face net redemption. Thus further research funds’FPR, has also very important practical significance in re-shaping the competitive and orderly fund FPR mechanism, and promoting the healthy and sustainable development of open-end fund.The body of this article total of 8 chapters.ChapterⅠis Introduction, and ChapterⅡis about literature review. ChapterⅢto ChapterⅧare the main part of the full text.ChapterⅡmainly reviewed the theory mechanism behind the fund FPR, including standard finance theory and Fund Performance Persistence, behavioral finance theory, consumer behavior theory.ChapterⅢanalysized purchase and redemption machanism of open-end fund’s invsetors respectively, and made some theoretical assumptions on the relationship between China’s open-end fund net redemptions, purchase, redemption and fund performance.ChapterⅣcompared the reform and development of open-end fund investors, and fund characteristics of United States and China. on Characteristics of open-end fund investors,I investigate investors’structure and investor’s behavior respectively.ChapterⅤtested empirically open-end fund’s performance persistence of China,and further make theory hypothesis on the FPR of China’s open-end funds.ChapterⅥempirically investigated FPR of China’s open-end funds from the view of absolute performance with China’s open-end fund panel data. First of all, I applied an ordinary panel model to estimate Fund FPR as a benchmark. On this basis, the robust test was conducted and the FPR were further investgated in diferrent economic stages. Major finding is that the net fund redemptions are positively related to performance, and fund purchase, redemption are negatively correlated with fund performance, and "abnormal net redemption" is due to "abnormal purchase,", not due to "abnormal Redemption". Purchase and redemption is highly positively correlated with each other, and short-term investors is the main reason for fund’s abnormal FPR. The empirical results are robust. Empirical results in the first bear market is just opposite to that of the total sample,while the conclusion of the next bull and bear market phase are consistant with that of total sample. After Controlling the persistence impact of investment flows, the fund FPR conclusion is still valid. The nonlinear characteristics of the fund FPR were founded in the threshold panel model. The relationship between net redemption of the Fund and fund performance is convex and positive correlated, while the relationship between purchase or redemption and fund performance are concave and negatively correlated. This chapter also further found that equity fund investors is more sensitive than the mixed performance of the Fund; institutional investors is sensitive to past performance, while individual investors are sensitive both to the past performance and to current performance.ChapterⅦfurther empirically investigated FPR of China’s open-end funds from the view of relative performance with China’s open-end fund panel data. First,I applied DEA method and got conversion efficiency scores from annual inputs, outputs data of open-end funds, and considered the effects of relative performance of DEA on investors’net redemption, purchase, redemption. Second, I applied both non-parameter method and parameter method examines the impact of yearly and quarterly relative performance ratings on investment flows. Empirical results indicate that, whether holding period is a quarter or a year, the fund net redemption is negatively correlated with the relative performance,while purchase and redemption are positiely correlated with relative performance.ChapterⅧsummarized the main conclusions of the text as follows:the fund-quarter absolute performance is not sustainable but significantly reversal; fund-quarter relative performance is sustainable.Whether assessment period is a quarter or a year, the net redemption of fund investors is positively related to fund’s absolute performance and negatively related to Fund relative performance; investors’ purchase and redemption is negatively related to absolute performance,but positively correlated with fund relative performance, and purchase is more sensitive to fund performance than redemption; short-term operation investors is the main motivation.The empirical results are robust to various performance indicators; the conclusion is still valid after stripping impact of investment flows; fund FPR have nonlinear characteristics, the relationship between net redemption and absolute performance is concave and positively correlated;purchase and redemption are convex and negatively correlated with absolute performance. In addition, this paper also found that stages of economic development, fund style, investors’characteristics, also have significant impact on Fund FPR.From the point of view of absolute performance, there do exist "abnormal net redemption" phenomenon in open-end funds, however it isn’t caused by investors’ "abnormal Redemption" or "disposition effect", but caused by fund investors’ "abnormal purchase" result. From the perspective of relative performance, there is no "abnormal net redemption" phenomenon in open-end funds, and no "abnormal purchase," but there is "abnormal Redemption" or " disposition effect".Conbined with Fund Performance Persistence results, it can be concluded that investors’purchase behavior is rational, and investors’redemption behavior are non-rational,whether they are based on absolute performance or relative performance. "abnormal net redemption" between fund net redemptions and absolute performance, is because absolute performance of open-end funds can’t persist but significantly reverse,thus investors gradually losed confidence in fund’s future performance; the "positive feedback" relationship between net redemptions and relative performance,is because fund relative performance ranking has significant sustainability,and sophsicated investors will get higher yield through fund information about relative performance. In addition, that purchase positively correlated with redemption, and investors purchase is more sensitive than redemption to Fund’s performance, is also an important reason.Investors performance-based purchase behavior quarterly can earn relatively high income with "smart money" effect; while investors’performance-based redemption behavior will be confronted with relatively greater loss. Since the Fund does not have sustainable annual performance rating, investor’s purchase and redemption are positively correlated with annual relative performance rankings, so investors’purchase or redemption are informationless invest, it is difficult to judge whether their purchase, redemption will bring benefit or loss.Finally, based on the results of this empirical and theoretical interpretation, the paper put forward some policy recommendations from government, fund companies and investors respectively.Innovations of this paper are as follows:Firstly, this paper constructed theory base for open-end fund’s FPR, and studied Fund’s absolute and relative performance persistence using dynamic panel method.Secondly,this paper conducted comprehensive empirical test on FPR of China’s open-end fund with panel data.I examined different effects of both absolute performance and relative performance on investment flows.I also investigated the interaction between net fund redemptions and absolute performance of the Fund,and distincted between the Fund’s short-term investors and long-term investors’s different reaction to fund performance. This paper not only examined the impact of fund performance on net redemption, but also examined the impact of fund performance on Fund’s purchase, redemption. Fund FPR at different economic cycles stages are also examined. Besides,dynamic panels were conducted to investigate fund FPR after controling the continuing impact of investment flows,and threshold panels are applied to investigate the nonlinear characteristics of Fund’s FPR. Moreover, this paper investigated effects of relative performance such as DEA relative performance scores, performance rankings on the investment flows.更多还原