我国开放式基金投资者赎回行为研究

发布时间：2018-04-07 17:27

本文选题：开放式基金　切入点：基金赎回　出处：《西南财经大学》2011年硕士论文

【摘要】：开放式基金是指基金份额总额不固定,并且基金份额可以在基金合同约定的时间和场所自由申购或者赎回的基金。相对于封闭式基金而言,开放式基金在激励约束机制的设计、流动性、信息透明度和投资的便利程度等方面都具有较大的优势,从而在目前的全球基金市场上,开放式基金占据着主流的位置,尤其是在发达资本市场上,如美国、英国、我国香港等国家和地区,开放式基金的市场份额都超过了90%,在这些市场上,对投资者的基金申购赎回影响因素最大的则为基金的业绩,具体表现为前期业绩越好,当期的基金申购量越大,赎回量越小,即净赎回率与基金的业绩呈现一定程度上的负相关关系。然而在我国的开放式基金市场上却出现与此完全相反的现象,存在业绩越好,净赎回率越高的现象,显然这是不利于整个开放式基金市场的健康发展,对高水平的基金管理公司也没能形成良性的激励机制,因为业绩相对较好的基金反而会面临更大赎回压力和流动性风险。事实上自从我国第一支开放式基金——华安创新公开上市开始,这种“赎回异象”就伴随着我国开放式基金的发展。现金流量的频繁波动给基金管理公司的操作带来许多的不便,特别是大面积的赎回常常会给基金公司带来致命的打击,因为开放式基金的灵活申购赎回机制,基金管理者无法控制投资者的赎回行为,为了满足投资者的流动性需求,基金管理者必须保持一定的现金流量,在极端情况下,还不得不变现那些具有很好盈利前景的基金资产,也即所谓的开放式基金赎回行为的流动性风险(基金发生份额赎回时,基金管理公司所持有的现金无法满足需求而被迫以较大的成本变现资产,造成基金净值下降,进而可能引发“挤赎”甚至清盘的风险),所以,对我国开放式基金投资者的申购赎回行为进行系统的研究,对于开放式基金的健康发展具有重要的意义。本文在参考了国内外相关学者在关于基金赎回行为方面的研究的基础上,首先从理论的角度分析开放式基金赎回风险的形成机制,这一部分主要包括微观经济分析和行为金融学角度的分析；然后通过实证分析的方法,建立实证模型对我国开放式基金的赎回行为的影响因素进行回归分析；最后结合实证分析的结果,就如何控制我国开放式基金的流动性风险和进一步健全我国开放式基金市场的发展提供一些建议和思路。文章的具体结构安排大致如下：第一部分为导论,全面系统的介绍了开放式基金的起源、发展、以及目前我国开放式基金市场的现实状况,由相关数据统计知,开放式基金数量已经由2001年的3只增长到目前的622只,其中有超过65%的基金为股票型基金；其次对我国开放式基金市场上特有的“赎回异象”进行了简单介绍,目前我国的基金管理公司面临的一个重要难题便是投资者不规则的赎回行为。第二部分为文献综述,分别从国外和国内两个角度总结前人在开放式基金申购赎回等方面的研究成果,关于此类问题的研究最初是从基金现金流量的分析开始的,即基金流量与基金业绩的关系(Flow Performance Relationship,FPR)；还有一些研究是围绕基金自身的特质进行的,比如基金在媒体上的曝光率、广告效应、基金的成立时间、基金品牌、基金的总体规模等；而近年来随着行为金融学的兴起,也开始有越来越多的学者尝试从心理学的角度去解释和分析基金投资者的申购赎回行为,如Kahneman Tversky(1979)提出的展望理论就是大多数行为金融学家分析的起点和理论基础；而国内在此领域的相关的研究开始的比较晚,研究的体系相对也比较分散,其中大多数都是结合实证的研究方法,对影响投资者申购赎回行为的因素进行分析,只有少数的学者对开放式基金的赎回机制进行分析。第三部分着重从理论的角度对开放式基金的赎回行为进行了系统的分析。首先我们根据投资者的赎回动机和赎回心理将投资者的赎回行为分为理性的赎回和非理性的赎回,其中理性赎回属于正常情况下的赎回,不会给开放式基金的管理带来流动性风险,所以我们将研究的重点放在了非理性的赎回上；接下来我们从信息经济学的角度对开放式基金的运作进行了解释,开放式基金中涉及的委托代理关系则是整个非理性赎回的根本原因,因为基金管理人可能会利用信息优势从事对自身利益相关的活动,从而对投资者的利益造成损害；该部分的最后,我们试图结合心理学的相关研究来解释这种非理性赎回现象产生的原因,理论依据主要是参考Kahneman等人提出的非线性效用理论,具体有处置效应、羊群效应、噪声交易和投资者情绪等。第四部分为我国开放式基金赎回行为的实证研究,样本则选取了从2005年1月之前成立的94支开放式基金从2005年第一季度开始到2010年第二季度结束的季度数据,并进一步将影响投资者赎回行为的因素划分为收益衡量指标(如基金的季度收益率、证券市场报酬率、基金分红、基金的赎回费率等)和风险衡量指标(如基金持股集中度、机构投资者持股比例、基金规模等)。首先借助面板数据分析模型从传统因素影响的角度去分析投资者的赎回行为,得出的结论有基金净赎回率与基金的季度收益率、基金持股集中度成正比；与证券市场报酬率、基金分红、机构投资者持股比例、基金规模成反比；与基金赎回费率的相关关系并不十分显著。接下来,我们引入了一个衡量投资者情绪的流动性指标,试图从行为金融学的角度对基金投资者的赎回行为进行实证分析,回归系数0.154也在5%的水平上通过了检验,也就是说我国开放式基金投资者的申购赎回行为确实是受到了除基本面外其他因素的影响,这也从实证的角度证实了文章第三部分的相关理论分析的合理性。第五部分为文章的结尾,主要是针对前面关于我国开放式基金投资者赎回行为的相关分析和解释,分别从监管者的角度和基金管理公司的角度提出一些建议,具体包括积极宣传、培育基民长期投资的理念；更为完善的基金立法和金融创新,健全金融市场；加强对基金管理公司的监管,创造良好的基金投资环境；优化资产配置,寻求流动性和盈利性的平衡；采取积极的定期分红政策；建立基民数据库,统计流动性偏好；研究制定更为合理的申购赎回费率；避免基金营销过度集中化,寻求更先进营销模式。本文的主要贡献和创新点主要有：(1)研究样本数据的相对完整性和合理性,时间跨度长,且覆盖了一个完整的上升、下降行情；(2)分别从收益衡量指标和风险衡量指标两个方向对影响投资者赎回行为进行了全面的分析,更直观的描述了投资者选择赎回基金份额的真正原因；(3)结合心理学和行为金融学的理论,通过引入投资者情绪的衡量指标,积极探讨了非理性因素在投资者赎回决策过程中的影响。另外,本文也还是存在很多的不足和缺陷,一些是受客观因素的影响,如我国开放式基金的历史较短,造成某些数据的获取较困难和不完整；另一些则是受我们的知识水平所限,如实证中加入了投资者情绪指标后的回归结果并不十分理想,可能是因为我们选择的流动性指标并不能很好的衡量投资者情绪,也有可能是还有其他某些影响因素,我们暂时并没有考虑到,这些问题我们希望能在以后的学习和研究中能得到不断完善。
[Abstract]:The open fund refers to the total share of the fund is not fixed, and the fund shares may be stipulated in the contract at the time and place of free purchase or redemption of fund. Compared to the closed-end fund, open-end funds in design, incentive and restraint mechanism of liquidity, have greater advantages of information transparency and investment convenience etc. thus, in the current global fund market, open-end funds occupy the mainstream position, especially in the developed capital market, such as the United States, Britain, China, Hongkong and other countries and regions, the open-end fund market share of more than 90%, in these markets, the influence factors of investor's purchase and redemption the largest is the performance of the fund, the specific performance of the former performance better, the greater the amount of current fund subscription, redemption amount is small, the net redemption rate and the performance of the fund is to a certain extent Negative correlation. However in the open-end fund market in China is completely contrary to the phenomenon, there is a performance better, the higher the net redemption rate phenomenon, this is obviously not conducive to the healthy development of the open-end fund market, the high level of the fund management company has not been able to form a benign incentive system because of the relatively good performance of the fund, but will face greater pressure of redemption and liquidity risk.
In fact, since China's first open-end fund - Huaan innovation open the beginning of the listing, the "Redemption" is accompanied by the development of open-end funds in China. The frequent fluctuation of cash flow brings a lot of inconvenience to the fund management company's operation, especially the redemption of large area often give fund companies bring a fatal blow and because the flexible purchase and redemption mechanism of open-end fund redemption, fund managers can not control the behavior of investors, in order to meet the liquidity needs of investors, fund managers must maintain a certain cash flow, and in extreme cases, but also had realized those with good earnings prospects of fund assets, liquidity risk is also open the so-called fund redemption fund (share redemption, cash held by the fund management company can not meet the demand of forced by a large cost variable The net assets of current assets decrease, which may lead to the risk of "Redemption" or even liquidation. Therefore, a systematic study of the purchase and redemption behavior of open-end fund investors in China is of great significance for the healthy development of open-end funds.
In this paper, with reference to domestic and foreign scholars in the basic research on fund redemption behavior on the formation mechanism of the first open-end fund redemption risk analysis from a theoretical point of view, this part mainly includes the analysis of microeconomic analysis and behavioral finance perspective; then through empirical analysis, an empirical model impact on redemption the behavior of China's open-end fund factor regression analysis; finally, the results of empirical analysis, how to control the open-end fund liquidity risk and further improve the development of China's open-end fund field to provide some suggestions and ideas.
The concrete structure of the article is as follows:
The first part is the introduction, a comprehensive and systematic introduction to the origin and development of open-end fund, and the open-end fund market of our country's reality, by the relevant statistical data, the number of open-end fund has by 3 growth in 2001 to 622 at present, which has more than 65% of the fund for equity funds; secondly on the open-end fund market unique "Redemption" were introduced, an important problem in our country at present the fund management company is facing redemption of investors do not rule.
The second part is literature review, summarize the results of previous studies of open-end fund subscription and redemption and other aspects of the two from the perspective of foreign and domestic research on this problem, beginning with the analysis of cash flow, the relationship between fund flow and performance (Flow Performance, Relationship, FPR); there is some research the fund itself characteristics, such as the fund in the media exposure, advertising effect, set up time, fund brand, fund scale; and in recent years, with the rise of behavioral finance, also began to have more and more scholars try to purchase and redemption from the angle of psychology to explain and analyze the fund investors, such as Kahneman Tversky (1979) put forward the prospect theory is the starting point of the behavior of most financial experts and theoretical basis; and in this field in our country The related research started relatively late, and the research system is relatively dispersed. Most of them combine empirical research methods to analyze the factors that influence investors' purchase and redemption behavior. Only a few scholars analyze the redemption mechanism of open-end funds.
The third part focuses on the open-ended fund from the perspective of the theory of the system are analyzed. Firstly, we based on the investor's redemption motivation and psychological behavior of investors will redeem redemption redemption divided into rational and irrational redemption, the redemption redemption belongs to rational under normal conditions, will not bring the liquidity risk to open the management of funds, so we will focus on the study of the redemption of the non rational; then we of the open-end fund operation from the perspective of information economics explains the principal-agent relationship involving the open-end fund is the essential reason for the irrational redemption, because fund managers may take advantage of information engaged in activities related to their own interests, thus causing damage to the interests of investors; at the end of this part, we try to combine the psychology research To explain the reason of this irrational redemption phenomenon, the theoretical basis is mainly based on the nonlinear utility theory put forward by Kahneman, including disposal effect, herding effect, noise trading and investor sentiment.
The fourth part is the empirical study on the open-ended fund of our country, the samples are selected quarterly data of 94 open-end fund was founded before January 2005 from the beginning to the end of 2010 second quarter from the first quarter of 2005, and will further influence the redemption behavior of investors for divided into revenue measure (such as the fund's quarterly rate of return and the stock market return, dividend fund, fund redemption rate etc.) and risk measures (such as fund ownership concentration, the proportion of institutional investors, fund size). Firstly, by using panel data analysis model from the traditional factors perspective to analyze the redemption behavior of investors, concluded the return rate of fund net redemptions and the rate of the fund's quarterly fund, is proportional to the concentration of ownership; fund dividends and stock market returns, the proportion of institutional investors, the fund size is inversely proportional to; The relationship with the fund redemption rate is not very significant. Next, we introduce a measure of investor sentiment liquidity index, trying to analyze the redemption behavior of investors from the perspective of behavioral finance, the regression coefficient of 0.154 in the 5% level through the test, that is to say investors purchase and redemption behavior type fund in China is affected by other factors in addition to the basic plane, which is from the perspective of empirical analysis confirms the rationality of theory of the third part of the article.
The fifth part is the end of the article, mainly for the previous correlation analysis and interpretation on China's open-end fund redemption behavior, and puts forward some suggestions respectively from the perspective of regulators and fund management company's point of view, including positive publicity, cultivating people long-term investment philosophy; more fund legislation and financial innovation. The perfect financial market; strengthen the supervision of the fund management company, to create a good investment environment; optimize asset allocation, seeking liquidity and profitability balance; take regular dividend policy; establish the base of statistical database, liquidity preference; research to develop more reasonable subscription and redemption rates to avoid excessive centralization of fund marketing; and seek more advanced marketing mode.
The main contributions and innovations of this paper are: (1) the study sample data integrity and rationality, long time span, and covers a complete rise, decline in prices; (2) from the revenue measure and risk measure of the two directions of the redemption behavior of investors conducted a comprehensive effect analysis, a more intuitive description of the investors to choose the real reason for the redemption of fund shares; (3) according to the theory of psychology and behavior finance, by introducing index of investor sentiment, and actively explore the influence of irrational factors in the redemption of investors in the decision-making process. In addition, this paper also has many shortcomings and defects, some is affected by the objective factors, such as open-end fund in China has a relatively short history, which gets some data is difficult and incomplete; others are affected by our knowledge level limit, truthfully card In addition return of investor sentiment index after the results are not very satisfactory, probably because the liquidity index of our choice is not a good measure of investor sentiment, there may be other factors, we temporarily did not consider these issues, I hope in the future study and research can be obtained continue to improve.

【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2011
【分类号】：F832.51;F224

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