基金的净资金变动量与基金收益的实证研究

本文使用季末基金的重仓持股数据,引入了"流"的概念,在基金和股票两个层次上,研究基金在过去一段时间内的异常净资金流入与该基金(及其重仓股)未来收益率间的关系。实证结果表明,投资者往往将资金投入到了那些持有未来表现较差的股票的基金,而赎回了那些持有未来表现较好的股票的基金;而基金在过去一段时间内的超额净资金流入与该基金的未来收益率无显著的相关关系,这也间接说明基金也过早地减持了未来表现较好的股票,或过早增持了未来表现较差的股票。

Empirical Research on Changes in Net Cash Flow and Fund Return

This paper analyzes the relationship between unusual net cash inflow of a fund over a period of time in the past and the future return of a fund with its major stocks hold. The author uses the data of quarterly major stocks hold by the fund, brings in a concept of ＂flow＂ and takes into account of both levels of fund and stocks. The result shows that investors often put money into funds that hold stocks with poor performance and redeem those funds that hold stocks with better performance; however, there is no significant correlation between the net cash inflow and the future fund return. This also indirectly shows that the funds lessen stocks with better performance in future too early or purchase stock with poor performance in future too early.