证券市场导报Issue(5)：61-79,19.
基于系统基金流量的股票抛售风险溢价
摘要
Abstract
In the context of collective redemptions by fund investors,the mutual fund industry may experience large-scale and synchronized capital outflows,exposing stocks held by funds to systematic risk of large-scale sell-offs.To identify and quantify this type of systematic risk,this paper constructs a semi-annual fund fire sale risk indicator using fund flow and holding data and finds evidence of a fund fire sale risk premium in China's stock market.The mechanism analysis shows that systematic fund outflows may prompt funds to sell offstocks in large quantities,breaking the liquidity supply-demand balance in the stock market,increasing illiquidity trading costs,and exerting downward pressure on stock prices.When stock investors anticipate that fund sell-offs will lead to price declines,they require compensation for bearing the fund fire sale risk,resulting in a fund fire sale risk premium.The heterogeneity analysis indicates that,after controlling for factors including company fundamentals and mispricings and influenced by the probability of being sold,illiquidity costs,and investor risk aversion levels,the fund fire sale risk premium is relatively lower for stocks with a low fund ownership ratio,stocks included in the margin trading and securities lending list,as well as during bear market periods dominated by the disposition effect.These findings provide references for stock investors to make reasonable investment decisions and for regulators to monitor systematic risks caused by mutual fund flows.关键词
风险溢价/系统风险/公募基金/基金流量Key words
fire sale risk premium/systematic risk/mutual fund/fund flows分类
管理科学引用本文复制引用
肖欣荣,刘洪颖..基于系统基金流量的股票抛售风险溢价[J].证券市场导报,2025,(5):61-79,19.基金项目
对外经济贸易大学中央高校基本科研业务费专项"交易制度、信息披露与资产价格形成"(19YB14) （19YB14）
