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基金规模、投资者关注与基金业绩持续性

  • Yong Ji Zhang
  • , Tian Xiong Li
  • , Zhi Su*
  • , Qiong Huang
  • *此作品的通讯作者
  • Beijing Institute of Technology
  • CITIC Securities Company Limited
  • Central University of Finance and Economics
  • China Merchants Fund Management

科研成果: 期刊稿件 › 文章 › 同行评审

摘要

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.

投稿的翻译标题Fund Size, Investor Attention and Fund Performance Persistence
源语言繁体中文
页(从-至)57-68
页数12
期刊Chinese Journal of Management Science
卷31
期12
DOI
出版状态已出版 - 15 12月 2023
已对外发布是

关键词

  • diseconomies of scale
  • investor limited attention
  • performance flow relationship
  • “scale-skill” mismatch

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