Journal of Financial and Quantitative Analysis · Volume 52, Issue 3 June 2017, pp. 867-893

共同基金的投资者流失与基金流量

作者：Susan E. K. Christoffersen (University of Toronto), Haoyu Xu (Shanghai University of Finance and Economics)

摘要：我们探索了在业绩不佳后遭受资产损失的股权共同基金的性质。我们发现，流入和流出都对业绩不太敏感，因为对业绩敏感的投资者会在表现不佳后离开或决定不投资。基于投资者流失能够衡量投资者业绩敏感程度排序的思想，我们发现投资者流失对机构基金的流量业绩敏感程度影响较小，因为机构基金的投资者业绩敏感程度较为集中。此外，如果流失发生在好的业绩之后或者投资者不是基于业绩而投资的，流失对流量业绩敏感程度没有影响。

Investor Attrition and Fund Flows in Mutual Funds

Susan E. K. Christoffersen (University of Toronto), Haoyu Xu (Shanghai University of Finance and Economics)

ABSTRACT

We explore the properties of equity mutual funds that experience a loss of assets after poor performance. We document that both inflows and outflows are less sensitive to performance, because performance-sensitive investors leave or decide not to invest after bad performance. Consistent with the idea that attrition measures the sorting of performance-sensitive investors, we find that attrition has less of an impact on the fund’s flow–performance sensitivity for institutional funds where there is less dispersion in investor performance sensitivity. Also, attrition has no effect on the flow–performance sensitivity when attrition arises after good performance or investors invest for nonperformance reasons.

原文链接：

https://doi.org/10.1017/S0022109017000291

翻译：陈然