资金流波动、基金流动性配置与基金业绩

发布时间：2018-02-27 04:18

本文关键词： 资金流波动资产配置流动性基金业绩　出处：《证券市场导报》2017年11期 　论文类型：期刊论文

【摘要】：现有关于基金资金流的研究多聚焦于基金业绩与资金流的关系,缺乏以基金作为代理中介将资金流与基金资产流动性特征联系起来的分析。本文利用我国开放式基金2005~2015年的数据,考察了基金是否会调整资产组合的流动性以应对资金流的不确定性。研究结果显示,当基金资金流波动较大时,基金倾向于持有更多现金以应对可能出现的大规模赎回,并且规模大的基金持有现金的比例更大;同时,基金会减少高流动性股票的比例并提升低流动性股票的比例。该结果表明当投资者急需流动性时,基金会选择卖出流动性较高的股票以获取现金,保留流动性较差的股票以获取更高的流动性溢价,进而弥补因增持现金产生的机会成本。实证分析还显示,上述资产配置策略并未有效改善基金绩效,当基金资金流波动增大时基金业绩会显著变差,大规模基金尤其如此。本研究有助于更好地理解基金的流动性管理和风险补偿机制。
[Abstract]:The current research on fund flow focuses on the relationship between fund performance and fund flow. This paper makes use of the data of China's open-end funds from 2005 to 2015 to analyze the relationship between fund flow and the liquidity characteristics of fund assets. This paper investigates whether the fund will adjust the liquidity of its portfolio to deal with the uncertainty of the fund flow. The results show that when the fund flow fluctuates, the fund tends to hold more cash to cope with the possible large-scale redemption. And larger funds hold more cash; at the same time, funds reduce the proportion of highly liquid stocks and increase the proportion of illiquid stocks. The results show that when investors are in dire need of liquidity, The foundation chooses to sell more liquid stocks for cash, and reserves less liquid shares to earn a higher liquidity premium, which in turn makes up for the opportunity cost of increasing its cash holdings. These asset allocation strategies can not effectively improve fund performance, especially for large-scale funds. This study will help to better understand the liquidity management and risk compensation mechanism of funds.
【作者单位】：西南财经大学金融学院金融安全协同创新中心;
【基金】：国家自然科学基金项目(71532001)
【分类号】：F275;F832.51

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