管理评论

›› 2018, Vol. 30 ›› Issue (7): 3-15.

• 经济与金融管理 •    下一篇

迎合投资者情绪能够为证券投资基金带来超额收益吗？

王珏, 陈永帅   

  1. 对外经济贸易大学金融学院, 北京 100029
  • 收稿日期:2017-08-28 出版日期:2018-07-28 发布日期:2018-07-21
  • 作者简介:王珏,对外经济贸易大学金融学院副教授,博士;陈永帅,对外经济贸易大学金融学院硕士研究生。
  • 基金资助:

    国家社科基金项目（14CGL067）；对外经济贸易大学中央高校基本科研业务费专项资金（CXTD7-04）；对外经济贸易大学研究生课程建设项目（X17101）。

Can Mutual Fund Achieve Abnormal Return by Catering to Investor Sentiment?

Wang Jue, Chen Yongshuai   

  1. University of International Business and Economics, Beijing 100029
  • Received:2017-08-28 Online:2018-07-28 Published:2018-07-21

PDF (PC)

473

摘要：

本文以我国开放式股票型基金披露的持股组合明细为样本，度量基金投资组合的投资者情绪敏感度，进而研究基金投资者情绪敏感度与基金超额收益的关系。研究发现，基金投资者情绪敏感度与基金的超额收益呈凹函数关系，即基金的超额收益随基金投资者情绪敏感度的增加而增加，但当基金投资者情绪敏感度超过一定数值后，基金的超额收益就呈下降趋势。同时发现，基金投资者情绪敏感度对基金业绩的影响不具有持续性。进一步研究发现，基金投资者情绪敏感度受基金经理的职业忧虑和从业经验影响，基金经理的职业忧虑越低，从业时间越短，其管理的基金投资者情绪敏感度越高。本文为投资者情绪理论在基金投资行为和投资业绩领域的研究提供了新的视角。

关键词: 投资者情绪, 情绪敏感度, 超额收益

Abstract:

Based on the portfolio holdings of mutual funds in China, this paper studies the relationship between fund sentiment sensitivity and fund abnormal returns. The findings show that fund abnormal returns have a concave function relationship with fund sentiment sensitivity, which means that fund abnormal returns is positively correlated with fund sentiment sensitivity before reaching the peak, but negatively correlated with it after the peak point. We also find that the fund sentiment sensitivity has no persistence effect on fund abnormal returns and it is affected by the fund manager's career concern and working experience. Specifically the fund managers with rarely career concern and less working experience are more prone to hold high sentiment sensitivity funds. This paper provides a new perspective for the study of investor sentiment theory in the field of mutual fund investment behavior and performance.

Key words: investor sentiment, sentiment sensitivity, abnormal return