4034 
3986短期业绩亮眼的“爆款基金”很容易受到投资者的追捧，但投资者购买这类基金的收益并不高。文章认为，这与投资者的博彩偏好有关，即投资者赋予了资产出现极端正收益这种小概率事件过高的权重。文章以中国开放式基金为样本，构建基金投资者博彩偏好指标MAX，即半年内基金月收益最大值，探讨了它与基金资金流入的关系。研究发现：（1）MAX与基金资金流入显著正相关，MAX每增加1%，未来半年内基金资金净流入增加约1.43%。（2）MAX与基金未来业绩负相关，MAX每增加1%，未来半年内经过CAPM调整后的超额收益率降低0.15%，说明基于MAX购买基金是非理性的。（3）MAX可以显著正向预测基金个人投资者的资金净流入，但对机构投资者资金流入的影响并不明显。（4）有限关注理论并不能完全解释基金MAX与资金流动的上述关系，而这与投资者的博彩偏好相符。文章为理解基金业绩与资金流动的关系提供了新视角，加深了对基金投资者行为的认识，对保护基金个人投资者利益和监管机构投资者行为有启发。
基金极端收益与资金流动——来自中国开放式基金的证据
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引用本文
李金龙. 基金极端收益与资金流动——来自中国开放式基金的证据[J]. 财经研究, 2020, 46(9): 153-168.
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