基金业绩归因与投资者行为

Abstract

Open-end funds are one of the most popular asset management tools worldwide and the past decade has also witnessed their blossoming in China. By the end of 2016 the net asset value of open-end funds in China had increased to 8,886.899 billion RMB, gaining a market share of 97.74% in the whole fund market. Therefore, what most influences Chinese investors when selecting open-end funds is a topic worth exploring. The literature on how investors make investment decisions is mainly focused on the U.S. market. Some studies find that CAPM alpha explains U.S. mutual fund flows better than the alphas of more sophisticated models. As the Chinese fund market is still emerging and differs from that of the U.S. in terms of microstructure, we are interested in how Chinese investors identify manager ability. Which aspect of fund performance do they value most when making decisions on buying or redeeming? The risk exposure or the alpha? And which alpha? In addition, institutional investors are believed to have greater professional skill and information advantage compared with individual investors, and thus to be less prone to irrational issues when making decisions. Do they therefore behave differently from individual investors during fund selection? The main contribution of this paper lies in seeking to identify how investors distinguish the fund manager's active management ability from fund risk exposure over a long period. We compare the impact of alphas adjusted by different risk factors on the net cash flow of funds and the influence of risk exposure. Our paper also supplements the literature on the redemption anomaly in China's fund market. We find differences between institutional and individual investors in the evaluation of risk adjustment benchmarks and fund manager ability. In the empirical section, we focus on 64 open-end funds lasting from January 1, 2006 to December 31, 2016, drawing all data from CSMAR. We find that the current and lagged raw excess return, CAPM alpha, Fama-French 3-factor alpha and Fama-French 5-factor alpha all have strong explanatory power for net fund flows. The current alphas are positively correlated with net capital flow, whereas the lagged alphas are negatively correlated, indicating that the lagged alpha has a greater effect on buying decisions whereas the contemporaneous alpha is more responsible for redeeming behavior. Investors tend to redeem their shares when the contemporaneous fund alpha is high, perhaps to realize immediate gains. Such behavior corresponds to the redemption anomaly, which may be related to the disposal effect. Overall, we discover that simple models such as the raw excess return and CAPM alpha can better explain changes in net fund flows, which may be due to a lack of sufficient investment tools in the Chinese market. In subsample tests, we find that individual investors rely more on simple adjustments in evaluating a fund manager's ability while institutional investors make stricter distinctions. We also find that the advantages of raw excess return and CAPM alpha are mainly concentrated in periods of lower market volatility and higher investor sentiment. In addition, we find that fund flows are far more sensitive to risk exposure than to manager ability, contrary to the findings in the U.S. market.