Journal of Financial Markets·Volume 37·March 2018

通货膨胀和股票共同基金资金流

作者：Srinivasan Krishnamurthy（Poole College of Management, North Carolina State University）

Denis Pelletier（Poole College of Management, North Carolina State University）

Richard S.Warr（Poole College of Management, North Carolina State University）

摘要：我们研究了通货膨胀和股票共同基金资金流之间的负相关关系，并假设这种关系部分归因于投资者的通货膨胀幻觉。当投资者没有将通货膨胀的影响纳入他们对名义增长率的估计时，就会出现通货膨胀幻觉。因此，他们降低了他们对股票内在价值的估计，并将他们的资金从股票中转移出去。我们的结果对控制了替代性解释的结果是稳健的，例如对未来较差的实际现金流增长的通胀代理以及较高的通货膨胀期与较高的股权风险溢价相关。

关键词：共同基金，资金流动，通货膨胀幻觉，股权估值

Inflation and equity mutual fund flows

Srinivasan Krishnamurthy（Poole College of Management, North Carolina State University）

Denis Pelletier（Poole College of Management, North Carolina State University）

Richard S.Warr（Poole College of Management, North Carolina State University）

ABSTRACT

We document a negative relation between inflation and aggregate equity mutual fund flows and hypothesize that this relation is partly due to inflation illusion on the part of investors. Inflation illusion occurs when investors fail to incorporate the effect of inflation into their estimates of nominal growth rates. Consequently, they lower their estimates of the intrinsic values of stocks and move their assets away from equities. Our results are robust to controls for alternative explanations such as inflation proxying for poorer future real cash flow growth and periods of higher inflation being associated with higher equity risk premia.

Keywords：Mutual funds, Fund flows, Inflation illusion, Equity valuation

原文链接：https://www.sciencedirect.com/science/article/pii/S1386418117303385#!

翻译：何杉