运筹与管理Issue(2)：159-164,6.
基金风险改变了投资者的业绩敏感程度吗？--基于基金业绩波动与资金净流量关系的实证研究
Does Mutual Fund’s Risk Affect Investors’ Sensitivity to Its Performance?
摘要
Abstract
Using panel data of open-end mutual funds from 2005 to 2011, this paper investigates how the volatili-ty of mutual fund performance affects investors ’ sensitivity to its performance.After validating the positive rela-tionship between mutual fund flow and performance , we find that: (1)the volatility of performance will dampen mutual funds’ positive “ flow-performance” relationship: the more volatile the past performance is, the less strongly the flows respond to it; (2)The dampening effect of volatility on mutual funds ’ “flow -performance”relationship is not the same for mutual funds in different performance ranges : it is strongest in funds with inferior performance and weaker in funds with middle performance , for star funds with superior performance the volatility even has a strengthening effect .关键词
金融学/基金业绩与资金净流量/固定效应模型/基金业绩波动Key words
finance/mutual fund flows and performance/fixed effect model/volatility of mutual fund performance分类
管理科学引用本文复制引用
贺裴菲,张伟强,刘淳,王正位..基金风险改变了投资者的业绩敏感程度吗？--基于基金业绩波动与资金净流量关系的实证研究[J].运筹与管理,2013,(2):159-164,6.基金项目
国家自然科学基金资助项目 （）
