作　　者： ; (王苏生）;

机构地区： 哈尔滨工业大学深圳研究生院

出　　处： 《华北电力大学学报（社会科学版）》 2017年第5期66-73,共8页

摘　　要： 基金投资者选择行为是否理性对基金经理人策略的执行与基金市场的稳健发展具有举足轻重的作用。本文发现基金投资者的申购和赎回行为与基金收益率成正相关关系,并且两者之间存在非线性关系。基金收益率并没有剔除基金风险的影响,通过构建基金资产组合的系统性风险因子与特质性风险因子,发现基金投资者对基金风险并不敏感,为经理人的冒险行为带来激励效应。通过构建基金净申购和净赎回资产组合,发现基金净赎回组合的风险调整收益率要高于净申购组合,总体而言,基金投资者行为并没有为自己带来更好的投资回报。 Whether investors are rational is important for the managers′strategies and the stable development of mutual fund industry.The paper discovers that the redemption and subscription ratio is positively related to the fund returns,and the relationship is nonlinear.The returns of funds are not isolated from the impact of risk,and the paper constructs the variables of systematic risk and idiosyncratic risk for all funds.The results indicate that investors are insensitive to the risk of fund portfolio,which will incent the managers to take on excessive risk.By computing the net inflow and net outflow portfolios,the paper finds out that the risk-adjusted returns of net outflow portfolio can gain higher performance than that of net inflow portfolio.Therefore,overall,the choices of investors do not generate higher return.

关 键 词： 申购率 赎回率 系统性风险 特质性风险 资产组合

领　　域： [经济管理—金融学]