共同基金的动态流动性偏好——基于预期市场波动和投资者情绪

doi:10.16381/j.cnki.issn1003-207x.2021.0858

摘要/Abstract

摘要： 本文发现预期市场波动和投资者情绪有助于解释基金动态流动性偏好，可能被基金经理作为动态流动性管理的混合信号指标。使用2006-2018年中国市场的共同基金样本实证检验发现，在未来市场不确定性升高时，噪声交易者风险能够显著影响共同基金的赎回压力，具体表现为，在市场波动时期，前期积极的投资者情绪将进一步加重基金的资金外流。基于此，基金经理可能根据预期市场波动和本期投资者情绪这两个信号指标来动态调整流动性偏好。实证检验显示，共同基金的流动性偏好与市场预期波动及当期投资者情绪正相关，共同基金采取以预期市场波动和投资者情绪为混合信号的动态流动性偏好有助于改善基金业绩。

关键词: 基金赎回风险；预期市场波动；投资者情绪；基金动态流动性偏好

Abstract: Liquidity management is particularly relevant for mutual funds as they face redemption risk induced by market liquidity crunch, bearing huge liquidity costs. Fund managers manage liquidity risk by observing signals of future investor redemption, so as to provide a “dynamic liquidity cushion” in advance and to mitigate the adverse effect of fund outflows (Scholes, 2000). Previous literature considers market volatility in gauging redemption risks, but behavioral factors such as investor sentiment that can potentially influence fund flows have not been examined. The gap is filled by considering market volatility and investor sentiment as a combined signal to gauge future fund redemption and to understand funds’ strategic liquidity provision in China.

Key words: fund redemption; expected market volatility; investor sentiment; funds’ dynamic liquidity preference

中图分类号:

F832.51

王丹阳, 姚禄仕. 共同基金的动态流动性偏好——基于预期市场波动和投资者情绪[J]. 中国管理科学, 2023, 31(5): 39-48.

WANG Dan-yang, YAO Lu-shi. Mutual Funds’ Dynamic Liquidity Preference-Based on Expected Market Volatility and Investor Sentiment[J]. Chinese Journal of Management Science, 2023, 31(5): 39-48.

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