Critical Finance Review, 2016, 5: 351–398

过去业绩也许是一种幻象：共同基金的业绩、现金流以及佣金

作者：Blake Phillips (University of Waterloo), Kuntara Pukthuanthong (University of Missouri), P. Raghavendra Rau (University of Cambridge)

摘要：共同基金以标准化时间段内的持有期收益率（HPR）报告其业绩。进入报告期的新收益和退出报告期的旧收益对HPR的变动有同等的影响。投资者似乎不能区分这两种联合决定因素，以至于对这两种信号做出同样强度的反应。对于通过广告促进业绩的基金来说，旧业绩追逐被放大，并且在金融市场不确定的时期更加显著。在旧业绩追逐导致投资者需求增加的情况下，基金经理倾向于通过提高佣金以利用投资者的这种行为。

关键词：有限注意，行为金融，投资者心理，资本市场，水平效应，共同基金佣金设置

Past Performance May Be an Illusion: Performance, Flows, and Fees in Mutual Funds

Blake Phillips (University of Waterloo), Kuntara Pukthuanthong (University of Missouri), P. Raghavendra Rau (University of Cambridge)

ABSTRACT

Mutual funds report performance in the form of a holding period return (HPR) over standardized horizons. Changes in HPRs are equally influenced by new and previously reported stale returns which enter and exit the horizon. Investors appear unable to differentiate between the joint determinants, reacting with equal strength to both signals. Stale performance chasing is amplified for funds which promote performance via advertising and is more pronounced during periods of uncertainty in financial markets. Fund managers exploit this behavior by preferentially timing fee increases to align with periods of heightened investor demand resulting from stale performance chasing.

Keywords: Limited attention; Behavioral finance; Investor psychology; Capital markets; Horizon Effects; Mutual fund fee-setting

原文链接：http://cfr.ivo-welch.info/readers/pub/cfr-0032.pdf

翻译：任兆月