Journal of Financial and Quantitative Analysis · Volume 52, Issue 1 February 2017, pp. 71-109

季节性资产配置：来自共同基金流量的证据

作者：Mark J. Kamstra, (Schulich School of Business), Lisa A. Kramer (University of Toronto), Maurice D. Levi (Sauder School of Business), Russ Wermers (Smith School of Business)

摘要：我们通过分析共同基金不同类别之间的资金流动，在风险厌恶型投资者中找到了强有力的季节性证据。总投资流量数据显示，投资者在秋季偏好稳健型共同基金，而春季偏好风险型共同基金。仅9月份，在控制了以往确定的流动性决定因素（例如资本收益突破）的基础上，股票基金的平均流出为130亿美元。投资者风险厌恶的季节性与资金类别之间的大量资金流动相关，与投资者倾向于在秋季（春季）投资较为安全（风险较高）的投资项目相一致。我们在加拿大和澳大利亚市场上找到了一致的证据，其季节效应通过6个月进行相互抵消。

Seasonal Asset Allocation: Evidence from Mutual Fund Flows

Mark J. Kamstra, (Schulich School of Business), Lisa A. Kramer (University of Toronto), Maurice D. Levi (Sauder School of Business), Russ Wermers (Smith School of Business)

ABSTRACT

We analyze the flow of money between mutual fund categories, finding strong evidence of seasonality in investor risk aversion. Aggregate investor flow data reveal an investor preference for safe mutual funds in autumn and risky funds in spring. During September alone, outflows from equity funds average $13 billion, controlling for previously documented flow determinants (e.g., capital-gains overhang). This movement of large amounts of money between fund categories is correlated with seasonality in investor risk aversion, consistent with investors preferring safer (riskier) investments in autumn (spring). We find consistent evidence in Canada and also in Australia, where seasons are offset by 6 months.

原文链接：

https://www.cambridge.org/core/journals/journal-of-financial-and-quantitative-analysis/article/seasonal-asset-allocation-evidence-from-mutual-fund-flows/06BB18462CC138CD003DBB358BA922A9

翻译：熊进宗