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构建投资者资金流与开放式基金风险之间的理性预期模型,量化了投资者对基金管理人的隐性风险激励,并结合国内市场2006~2012年股票型开放式基金的非平衡面板数据,从预期投资者资金流、实际投资者资金流以及基金风险选择与基金后期业绩关系三个方面对开放式基金的风险选择行为进行研究,结果表明:我国开放式基金投资者没有表现出对基金冒险行为的市场约束作用,相反,基金投资者资金流与基金业绩的局部凸性特征还构成了对基金冒险行为的一种隐性激励;基金冒险行为也并不符合基金投资者的利益,而是基金管理人道德风险的一种具体表现。
This paper constructs a rational expectation model between the investor’s capital flow and the open-end fund’s risk and quantifies the hidden risk incentives of the investors to the fund’s manager. Based on the unbalanced panel data of the domestic open-end funds in 2006 ~ 2012, The paper studies the risk selection behavior of open-end funds from three aspects: expected investor cash flow, actual investor cash flow, and the relationship between fund risk selection and fund future performance. The results show that: On the contrary, the local convex characteristics of the fund investor’s fund flow and the performance of the fund also constitute a recessive incentive to the fund’s risk-taking behavior. The fund’s risk-taking behavior also does not accord with the fund investor’s interest, A concrete manifestation of the moral hazard of fund managers.