REVIEW OF FINANCIAL STUDIES·DOI: https://doi.org/10.1093/rfs/hhx015·Published: 27 March 2017

基金流量与市场状况

作者：Francesco Franzoni (USI Lugano and Swiss Finance Institute), Martin C. Schmalz (Stephen M. Ross School of Business, University of Michigan)

摘要：本文建立了一个新的实证事实：共同基金的流量表现敏感性是总体风险因子实现的驼峰形函数。现存理论只能解释该模式的一小部分。因此，我们开发出一种新的简约的模式。它假设贝叶斯投资者对基金回报暴露于系统风险的程度是不确定的。所以，当因子实现的绝对值越大，基金绩效显示出关于经理技能的信息就越少。数据还支持样本外预测，对于具有更加不确定的风险负荷的资金，驼峰形状更为显著。

Fund Flows and Market States

Francesco Franzoni (USI Lugano and Swiss Finance Institute), Martin C. Schmalz (Stephen M. Ross School of Business, University of Michigan)

ABSTRACT

This paper establishes a new empirical fact: Mutual funds’ flow-performance sensitivity is a hump-shaped function of aggregate risk-factor realizations. Explanations based on extant theories can explain only a fraction of the pattern. We thus develop a new parsimonious model. It assumes Bayesian investors who are uncertain about the degree to which fund returns are exposed to systematic risk. Fund performance is then less informative about manager skill when factor realizations are larger in absolute value. The data also support the out-of-sample prediction that the hump shape is more pronounced for funds with more uncertain risk loadings.

原文链接：

https://academic.oup.com/rfs/article-abstract/doi/10.1093/rfs/hhx015/3001031/Fund-Flows-and-Market-States?redirectedFrom=fulltext

翻译：何杉