|
|
E-Commerce Letters 2024
投资者情绪与基金收益的关系研究——以基金净值变动为着眼点
|
Abstract:
本研究探索了投资者情绪对开放式基金收益的影响及其作用机制。研究结果显示，我国开放式基金的收益受到投资者情绪的显著影响。通过构建中介效应模型分析投资者情绪对基金业绩的路径，发现基金净值变动率与基金收益之间存在关系：基金净值变动率较大的基金表现出比基金净值变动率较小的基金更好的收益。研究还揭示了投资者情绪与基金收益之间显著的正相关关系，尤其是当投资者情绪积极时，会显著促进基金的净值，从而提升基金的收益水平。
This study explores the impact of investor sentiment on the returns of open-end funds and its underlying mechanisms. The research findings indicate that the returns of open-end funds in China are significantly influenced by investor sentiment. By constructing a mediation model to analyze the pathways through which investor sentiment affects fund performance, it was found that there is a relationship between the net asset value (NAV) change rate of funds and fund returns: funds with higher NAV change rates demonstrate better returns compared to those with lower NAV change rates. The study also reveals a significant positive correlation between investor sentiment and fund returns, especially highlighting that positive investor sentiment significantly promotes fund NAV, thereby enhancing fund returns.
| [1] | Black, F. (1986) Noise. The Journal of Finance, 41, 529-543. https://doi.org/10.2307/2328481 |
| [2] | 尹海员, 南早红. 基于深度学习的投资者情绪挖掘及其对股价崩盘风险的影响[J]. 中央财经大学学报, 2024(3): 36-56. |
| [3] | 尹海员, 王晓晓. 投资者情绪是否会影响股票定价效率?——来自股票社区的文本证据[J]. 北京联合大学学报(人文社会科学版), 2024, 22(3): 96-111. |
| [4] | 刘建秋, 徐雨露. 中小股东群体负面情绪对管理层讨论与分析语调管理的影响[J]. 首都经济贸易大学学报, 2024, 26(2): 98-112. |
| [5] | 冯攀攀, 庞江武, 秦新辉. ESG表现对股票流动性的影响研究——基于投资者关注与情绪的视角[J]. 金融理论与实践, 2024(1): 79-89. |
| [6] | 郭文伟, 卢立晔, 钟袁妍. 投资者情绪如何影响股市泡沫——兼议对股市泡沫监管的建议[J]. 金融监管研究, 2024(1): 61-78. |
| [7] | 万顺枫, 唐勇, 林娟娟. 整体情绪、背景情绪与股票市场波动——基于TVP-SV-VAR模型的实证研究[J]. 金融理论与实践, 2023(12): 105-115. |
| [8] | 李科, 林雅嘉, 祁宝. 股票发行注册制改革、投资者情绪和IPO抑价[J]. 当代财经, 2023(10): 58-71. |
| [9] | Hudson, Y., Yan, M. and Zhang, D. (2020) Herd Behaviour & Investor Sentiment: Evidence from UK Mutual Funds. International Review of Financial Analysis, 71, Article 101494. https://doi.org/10.1016/j.irfa.2020.101494 |
| [10] | Wang, J., Wang, X., Yang, J. and Zhuang, X. (2020) Impact of Investor Sentiment on Mutual Fund Risk Taking and Performance: Evidence from China. Enterprise Information Systems, 14, 833-857. https://doi.org/10.1080/17517575.2020.1758795 |
| [11] | 谷宇, 段欣. 人民币外汇市场投资者情绪异动的影响因素研究: 兼论汇率沟通的管理作用[J]. 世界经济研究, 2023(11): 93-106, 137. |
| [12] | 张宗新, 周聪. 信用债市场的回报率是否可预测?——基于投资者情绪视角[J]. 证券市场导报, 2023(9): 43-55. |
| [13] | Liao, T., Huang, C. and Wu, C. (2011) Do Fund Managers Herd to Counter Investor Sentiment? Journal of Business Research, 64, 207-212. https://doi.org/10.1016/j.jbusres.2010.01.007 |
| [14] | Indro, D.C. (2004) Does Mutual Fund Flow Reflect Investor Sentiment? Journal of Behavioral Finance, 5, 105-115. https://doi.org/10.1207/s15427579jpfm0502_4 |
| [15] | Wang, H., Li, S., Ma, Y. and Jiang, S. (2022) Does Investor Sentiment Affect Fund Crashes? Evidence from Chinese Open-End Funds. The North American Journal of Economics and Finance, 60, Article 101662. https://doi.org/10.1016/j.najef.2022.101662 |
| [16] | 贾春新, 马梦璇. 机构投资者的“机构化”——基于公募基金持有者结构的实证分析[J]. 农村金融研究, 2024(3): 3-17. |
| [17] | 田正磊, 刘洋溢, 罗荣华. 行业集中与风格均衡: 双向助力基金价值创造[J]. 管理世界, 2023, 39(11): 94-125. |
| [18] | 李曜, 叶航. 爆款新基金的绩效好吗? [J]. 投资研究, 2023, 42(8): 53-70. |
| [19] | 王祥明, 占浩. 股票型基金收益影响因素探析[J]. 中南民族大学学报(人文社会科学版), 2024, 44(1): 155-162, 187. |
| [20] | 苏治, 贺旭, 张永冀. 基金“抱团”: 净值增长与暴跌风险[J]. 管理评论, 2024, 36(3): 30-44, 145. |
| [21] | 邴涛, 高圣贤, 沙叶舟. 基金规模效应与业绩持续性: 投资风格漂移视角[J]. 证券市场导报, 2022(11): 48-59. |
| [22] | 刘家诚, 赵文珍. 持股集中度和持股期限对基金收益的影响[J]. 云南财经大学学报, 2021, 37(12): 35-51. |
| [23] | 陈晓非, 叶蜀君, 任悦轩. 基金经理主动管理能力与基金收益——基于市场周期视角[J]. 经济问题, 2022(1): 47-55. |
| [24] | 易力, 王序东. 投资者情绪对基金收益资金流的影响[J]. 上海金融, 2021(5): 38-49. |
| [25] | 钱菁菁. 投资者情绪、基金业绩与基金净流量[D]: [硕士学位论文]. 杭州: 浙江大学, 2023. |
| [26] | Kim, M.S. (2010) Changes in Mutual Fund Flows and Managerial Incentives. SSRN Electronic Journal, 47, 770-776. |
| [27] | 姜富伟, 孟令超, 唐国豪. 媒体文本情绪与股票回报预测[J]. 经济学(季刊), 2021, 20(4): 1323-1344. |
