基金规模、投资者关注与基金业绩持续性

High return funds are the stars in the fund market and attract investors' attention, but their excellent performance is not persistent. It is normal that star funds become “shooting stars” in market, and one of the most important reasons is the herd behavior of investors.Based on the data of China's equity mutual funds from 2005 to 2020, the impact of “performance flow relationship” （PFR） on fund performance persistence is studied by using the mediating effect model. The empirical results show that： （1） PFR causes diseconomies of scale. The higher the performance of the fund in the past year, the more net fund flow in the current quarter, which will lead to a decline of the performance in the next half year. Net fund flow is apartial mediator. （2） The decrease ofholding concentration can explain the internal mechanism of diseconomies of scale. The increase of net fund flow leads to the decrease of fund holding concentration, which leads to the decline of performance, and this mechanism has a more rapid impact on small-cap and medium-cap funds. （3） Investors' limited rationality from time series dimension affects PFR. During the bull market, the optimistic market weakens investors' attention to fund past performance, so PFR has no effect on fund performance persistence. （4） Investors' limited rationality from cross-sectional dimension affects PFR. Investors purchase funds based on simple performance evaluation criteria. The funds with one factor α but without multi factor α in history get excess net fund flow, which causes the mismatch between management scale and management skill of fund managers. The sample is further divided into “pseudo star fund” group and “real star fund” group. It is found that diseconomies of scale only exist in “pseudo star fund” group.